| Publication | Date of Publication | Type |
|---|
Information criteria for the number of directions of extremes in high-dimensional data
Electronic Journal of Statistics | 2026-02-06 | Paper |
Estimation of the number of principal components in high-dimensional multivariate extremes
Scandinavian Journal of Statistics | 2025-11-17 | Paper |
Partial correlation graphs for continuous-parameter time series
Metrika | 2025-10-13 | Paper |
Mixed orthogonality graphs for continuous-time state space models and orthogonal projections
Journal of Time Series Analysis | 2025-07-09 | Paper |
Measuring risk contagion in financial networks with CoVaR
Finance and Stochastics | 2025-07-03 | Paper |
Mixed orthogonality graphs for continuous-time stationary processes
Stochastic Processes and their Applications | 2025-01-08 | Paper |
| 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
Stochastic Processes and their Applications | 2022-12-08 | Paper |
Tail probabilities of random linear functions of regularly varying random vectors
Extremes | 2022-11-08 | Paper |
| Factorization and discrete-time representation of multi-variate CARMA processes | 2022-08-02 | Paper |
Factorization and discrete-time representation of multi-variate CARMA processes
(available as arXiv preprint) | 2022-08-02 | Paper |
Cointegrated continuous-time linear state-space and MCARMA models
Stochastics | 2022-07-05 | Paper |
A note on estimation of \(\alpha\)-stable CARMA processes sampled at low frequencies
Journal of Statistical Planning and Inference | 2022-04-08 | Paper |
Whittle estimation for continuous-time stationary state space models with finite second moments
Annals of the Institute of Statistical Mathematics | 2022-04-04 | Paper |
Empirical spectral processes for stationary state space models
(available as arXiv preprint) | 2022-02-25 | Paper |
Robust estimation of stationary continuous-time ARMA models via indirect inference
Journal of Time Series Analysis | 2020-11-20 | Paper |
Whittle estimation for stationary state space models with finite second moments
(available as arXiv preprint) | 2020-02-21 | Paper |
Conditional excess risk measures and multivariate regular variation
Statistics & Risk Modeling | 2020-01-31 | Paper |
Quasi-maximum likelihood estimation for cointegrated continuous-time linear state space models observed at low frequencies
Electronic Journal of Statistics | 2020-01-03 | Paper |
Quasi-maximum likelihood estimation for cointegrated continuous-time linear state space models observed at low frequencies
Electronic Journal of Statistics | 2020-01-03 | Paper |
Risk contagion under regular variation and asymptotic tail independence
Journal of Multivariate Analysis | 2018-04-12 | Paper |
| Hidden regular variation, copula models, and the limit behavior of conditional excess risk measures | 2018-02-06 | Paper |
Partial correlation graphs for continuous-parameter time series
(available as arXiv preprint) | N/A | Paper |
