| Publication | Date of Publication | Type |
|---|
Pro‐cyclicality beyond business cycle
Mathematical Finance | 2023-09-28 | Paper |
Building up cyber resilience by better grasping cyber risk via a new algorithm for modelling heavy-tailed data
European Journal of Operational Research | 2023-09-15 | Paper |
Building up cyber resilience by better grasping cyber risk via a new algorithm for modelling heavy-tailed data
European Journal of Operational Research | 2023-09-15 | Paper |
Multi-normex distributions for the sum of random vectors. Rates of convergence
Extremes | 2023-08-22 | Paper |
| On the relation between extremal dependence and concomitants | 2023-01-20 | Paper |
Probabilistic forecasting of bubbles and flash crashes
Econometrics Journal | 2022-06-22 | Paper |
| Joint FCLT for Sample Quantile and Measures of Dispersion for Functionals of Mixing Processes | 2021-11-15 | Paper |
Risk concentration under second order regular variation
Extremes | 2020-09-10 | Paper |
Characterization of a general class of tail probability distributions
Statistics & Probability Letters | 2019-09-25 | Paper |
On functions bounded by Karamata functions
Journal of Mathematical Sciences (New York) | 2019-07-23 | Paper |
| Introduction to extreme value theory: applications to risk analysis and management | 2019-07-02 | Paper |
| Bivariate FCLT for the Sample Quantile and Measures of Dispersion for Augmented GARCH($p$,$q$) processes | 2019-06-21 | Paper |
| On the Dependence between Functions of Quantile and Dispersion Estimators | 2019-04-26 | Paper |
Central limit theorem for Lipschitz-Killing curvatures of excursion sets of Gaussian random fields
Journal of Theoretical Probability | 2018-10-26 | Paper |
Discussion of ``Elicitability and backtesting: perspectives for banking regulation
The Annals of Applied Statistics | 2018-02-19 | Paper |
On the order of functions at infinity
Journal of Mathematical Analysis and Applications | 2017-08-29 | Paper |
| New results on the order of functions at infinity | 2017-06-28 | Paper |
On the capacity functional of excursion sets of Gaussian random fields on \(\mathbb{R}^{2}\)
Advances in Applied Probability | 2016-11-01 | Paper |
On the capacity functional of excursion sets of Gaussian random fields on \(\mathbb{R}^{2}\)
Advances in Applied Probability | 2016-11-01 | Paper |
| CLT for Lipschitz-Killing curvatures of excursion sets of Gaussian fields | 2016-07-25 | Paper |
Chord-length distribution functions and Rice formulae. Application to random media
Extremes | 2016-01-25 | Paper |
New results for tails of probability distributions according to their asymptotic decay
Statistics & Probability Letters | 2015-12-30 | Paper |
Normex, a new method for evaluating the distribution of aggregated heavy tailed risks
Extremes | 2014-12-19 | Paper |
| An extension of the class of regularly varying functions | 2014-11-19 | Paper |
Level curves crossings and applications for Gaussian models
Extremes | 2011-11-27 | Paper |
How fast can the chord length distribution decay?
Advances in Applied Probability | 2011-07-22 | Paper |
Level crossings and other level functionals of stationary Gaussian processes
Probability Surveys | 2010-06-29 | Paper |
Level crossings and other level functionals of stationary Gaussian processes
Probability Surveys | 2010-06-29 | Paper |
On the second moment of the number of crossings by a stationary Gaussian process
The Annals of Probability | 2006-11-08 | Paper |
A representation of Gibbs measure for the random energy model.
The Annals of Applied Probability | 2004-09-15 | Paper |
Central limit theorems for level functionals of stationary Gaussian processes and fields
Journal of Theoretical Probability | 2002-05-02 | Paper |
Central limit theorems for the number of maxima and an estimator of the second spectral moment of a stationary Gaussian process, with application to hydroscience
Extremes | 2001-07-11 | Paper |
On the rate of convergence for extremes of mean square differentiable stationary normal processes
Journal of Applied Probability | 1999-01-05 | Paper |
Hermite polynomial expansion for non-smooth functionals of stationary Gaussian processes: Crossings and extremes
Stochastic Processes and their Applications | 1998-03-29 | Paper |
On the convergence of the number of exceedances of nonstationary normal sequences
Journal of Research of the National Institute of Standards and Technology | 1998-03-01 | Paper |
The qq-estimator and heavy tails
Communications in Statistics. Stochastic Models | 1998-02-17 | Paper |
Parameter estimation for moving averages with positive innovations
The Annals of Applied Probability | 1997-06-12 | Paper |
| scientific article; zbMATH DE number 417292 (Why is no real title available?) | 1996-07-14 | Paper |
Rate of Poisson approximation of the number of exceedances of nonstationary normal sequences
Stochastic Processes and their Applications | 1995-08-21 | Paper |
Extremal behaviour and convergence rates for sample--based geometric quantiles and half space depths
(available as arXiv preprint) | N/A | Paper |
