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Modelling, estimation and visualization of multivariate dependence for high-frequency data

Brodin, Erik; Klüppelberg, Claudia - In: Statistical modelling and regression structures : …, (pp. 267-300). 2010

Persistent link: https://www.econbiz.de/10003964488

Copula structure analysis based on robust and extreme dependence measures

Klüppelberg, Claudia (contributor); … - 2006

In this paper we extend the standard approach of correlation structure analysis in order to reduce the dimension of highdimensional statistical data. The classical assumption of a linear model for the distribution of a random vector is replaced by the weaker assumption of a model for the copula....

Persistent link: https://www.econbiz.de/10003422208

Conditional risk measures in a bipartite market structure

Kley, Oliver; Klüppelberg, Claudia; Reinert, Gesine - In: Scandinavian actuarial journal (2018) 4, pp. 328-355

Persistent link: https://www.econbiz.de/10011881106

Financial risk measures for a network of individual agents holding portfolios of light-tailed objects

Klüppelberg, Claudia; Seifert, Miriam - In: Finance and stochastics 23 (2019) 4, pp. 795-826

Persistent link: https://www.econbiz.de/10012114659

Financial risk measures for a network of individual agents holding portfolios of light-tailed objects

Klüppelberg, Claudia; Seifert, Miriam - Sonderforschungsbereich Statistical Modelling of … - 2019

Persistent link: https://www.econbiz.de/10012035248

Modelling extremal dependence for operational risk by a bipartite graph

Kley, Oliver; Klüppelberg, Claudia; Paterlini, Sandra - In: Journal of banking & finance 117 (2020), pp. 1-17

Persistent link: https://www.econbiz.de/10012495775