Vicky Fasen-Hartmann

Available identifiers

zbMath Open fasen-hartmann.vickyMaRDI QIDQ1742741

List of research outcomes

Publication	Date of Publication	Type
Mixed causality graphs for continuous-time state space models and orthogonal projections	2023-11-08	Paper
Systemic risk in financial networks: the effects of asymptotic independence	2023-09-27	Paper
Mixed causality graphs for continuous-time stationary processes	2023-08-17	Paper
On heavy-tailed risks under Gaussian copula: the effects of marginal transformation	2023-04-11	Paper
Aggregating heavy-tailed random vectors: from finite sums to L\'evy processes	2023-01-25	Paper
Empirical spectral processes for stationary state space models	2022-12-08	Paper
Tail probabilities of random linear functions of regularly varying random vectors	2022-11-08	Paper
Factorization and discrete-time representation of multivariate CARMA processes	2022-08-02	Paper
Cointegrated continuous-time linear state-space and MCARMA models	2022-07-05	Paper
A note on estimation of \(\alpha\)-stable CARMA processes sampled at low frequencies	2022-04-08	Paper
Whittle estimation for continuous-time stationary state space models with finite second moments	2022-04-04	Paper
Empirical spectral processes for stationary state space models	2022-02-25	Paper
Robust estimation of stationary continuous‐time arma models via indirect inference	2020-11-20	Paper
Whittle estimation for stationary state space models with finite second moments	2020-02-21	Paper
Conditional excess risk measures and multivariate regular variation	2020-01-31	Paper
Quasi-maximum likelihood estimation for cointegrated continuous-time linear state space models observed at low frequencies	2020-01-03	Paper
Risk contagion under regular variation and asymptotic tail independence	2018-04-12	Paper
Hidden regular variation, copula models, and the limit behavior of conditional excess risk measures	2018-02-06	Paper

Research outcomes over time

Doctoral students

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