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Tails and extremal behaviour of stochastic unit root models

Gouriéroux, Christian; Robert, Christian Yann - 2001

Persistent link: https://www.econbiz.de/10001626924

The model with uncertainty zones for ultra high frequency prices and durations : applications to statistical estimation and mathematical finance

Robert, Christian Yann; Rosenbaum, Mathieu - In: Econophysics of Order-driven Markets : proceedings of …, (pp. 203-224). 2011

Persistent link: https://www.econbiz.de/10009349684

Stochastic derivative estimation for max-stable random fields

Koch, Erwan; Robert, Christian Yann - In: European journal of operational research : EJOR 302 (2022) 2, pp. 575-588

Persistent link: https://www.econbiz.de/10013270124

Mandelbrot's extremism

Beirlant, Jan (contributor); Schoutens, Wim (contributor); … - 2004 - [Elektronische Ressource]

Persistent link: https://www.econbiz.de/10002513161

Non-parametric inference for bivariate extreme-value copulas

Segers, Johan (contributor) - 2004 - [Elektronische Ressource]

Persistent link: https://www.econbiz.de/10002453243

Semiparametric Gaussian Copula Models : Geometry and Efficient Rank-Based Estimation

Segers, Johan; Van den Akker, Ramon; Werker, Bas J. M. - 2013

For multivariate Gaussian copula models with unknown margins and structured correlation matrices, a rank-based, semiparametrically effi cient estimator is proposed for the Euclidean copula parameter. This estimator is defined as a one-step update of a rank-based pilot estimator in the direction...

Persistent link: https://www.econbiz.de/10014154848