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Efficient estimation in extreme value regression models of hedge fund tail risks
Hambuckers, Julien; Kratz, Marie; Usseglio-Carleve, Antoine - 2023
Persistent link: https://www.econbiz.de/10014412457
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Estimating Value-at-Risk for the g-and-h distribution : an indirect inference approach
Bee, Marco; Hambuckers, Julien; Trapin, Luca - In: Quantitative finance 19 (2019) 8, pp. 1255-1266
Persistent link: https://www.econbiz.de/10012194764
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Modeling multivariate operational losses via copula-based distributions with g-and-h marginals
Bee, Marco; Hambuckers, Julien - 2020
Persistent link: https://www.econbiz.de/10012417238
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Modeling multivariate operational losses via copula-based distributions with g-and-h marginals
Bee, Marco; Hambuckers, Julien - In: The journal of operational risk 17 (2022) 1, pp. 81-111
Persistent link: https://www.econbiz.de/10014546257
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Smooth-transition regression models for non-stationary extremes
Hambuckers, Julien; Kneib, Thomas - In: Journal of financial econometrics 21 (2023) 2, pp. 445-484
Persistent link: https://www.econbiz.de/10014314754
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Extremal connectedness of hedge funds
Mhalla, Linda; Hambuckers, Julien; Lambert, Marie - In: Journal of applied econometrics 37 (2022) 5, pp. 988-1009
Persistent link: https://www.econbiz.de/10013464644