| Publication | Date of Publication | Type |
|---|
| Tail behavior of ACD models and consequences for likelihood-based estimation | 2024-02-13 | Paper |
| Modern Extreme Value Theory at the Interface of Risk Management, Bayesian Networks and Heavy-Tailed Time Series | 2023-12-03 | Paper |
| Parameter estimation for a misspecified arma model with infinite variance innovations | 2023-11-24 | Paper |
| Some variations on the extremal index | 2023-07-14 | Paper |
| Large deviations of \(\ell^p\)-blocks of regularly varying time series and applications to cluster inference | 2023-06-19 | Paper |
| Self-normalized partial sums of heavy-tailed time series | 2023-03-30 | Paper |
| Whittle estimation based on the extremal spectral density of a heavy-tailed random field | 2022-12-08 | Paper |
| Distance covariance for random fields | 2022-06-20 | Paper |
| Homogeneous mappings of regularly varying vectors | 2021-11-04 | Paper |
| Point process convergence for the off-diagonal entries of sample covariance matrices | 2021-11-04 | Paper |
| Large sample autocovariance matrices of linear processes with heavy tails | 2021-11-02 | Paper |
| Distance covariance for discretized stochastic processes | 2020-10-07 | Paper |
| Gumbel and Fréchet convergence of the maxima of independent random walks | 2020-07-16 | Paper |
| Heavy tails for an alternative stochastic perpetuity model | 2019-11-27 | Paper |
| On logarithmically optimal exact simulation of max-stable and related random fields on a compact set | 2019-09-25 | Paper |
| The eigenstructure of the sample covariance matrices of high-dimensional stochastic volatility models with heavy tails | 2019-09-25 | Paper |
| The extremogram and the cross-extremogram for a bivariate GARCH(1, 1) process | 2019-09-23 | Paper |
| Distance covariance for stochastic processes | 2018-08-08 | Paper |
| Almost sure convergence of the largest and smallest eigenvalues of high-dimensional sample correlation matrices | 2018-06-13 | Paper |
| Applications of distance correlation to time series | 2018-03-27 | Paper |
| The eigenvalues of the sample covariance matrix of a multivariate heavy-tailed stochastic volatility model | 2017-09-21 | Paper |
| Eigenvalues and eigenvectors of heavy-tailed sample covariance matrices with general growth rates: the iid case | 2017-06-22 | Paper |
| Towards estimating extremal serial dependence via the bootstrapped extremogram | 2017-05-12 | Paper |
| Heavy tails of OLS | 2017-05-12 | Paper |
| Extreme value analysis for the sample autocovariance matrices of heavy-tailed multivariate time series | 2017-02-08 | Paper |
| A large deviations approach to limit theory for heavy-tailed time series | 2016-10-21 | Paper |
| On Optimal Exact Simulation of Max-Stable and Related Random Fields | 2016-09-19 | Paper |
| Book review of: A. J. McNeil et al., Quantitative risk management. Concepts, techniques and tools. Rev. ed. | 2016-08-22 | Paper |
| Stochastic Models with Power-Law Tails | 2016-03-11 | Paper |
| Asymptotic theory for the sample covariance matrix of a heavy-tailed multivariate time series | 2016-02-15 | Paper |
| Exact simulation of Brown-Resnick random fields at a finite number of locations | 2015-07-07 | Paper |
| The integrated periodogram of a dependent extremal event sequence | 2015-05-27 | Paper |
| Aggregation of log-linear risks | 2015-04-14 | Paper |
| General inverse problems for regular variation | 2015-04-14 | Paper |
| The cluster index of regularly varying sequences with applications to limit theory for functions of multivariate Markov chains | 2014-07-02 | Paper |
| A Fourier analysis of extreme events | 2014-05-05 | Paper |
| Measures of serial extremal dependence and their estimation | 2014-04-28 | Paper |
| Estimation of the tail index for lattice-valued sequences | 2014-04-08 | Paper |
| Fractional Moments of Solutions to Stochastic Recurrence Equations | 2014-04-04 | Paper |
| Stochastic volatility models with possible extremal clustering | 2014-02-04 | Paper |
| Prediction of outstanding payments in a Poisson cluster model | 2013-12-13 | Paper |
| Precise large deviations for dependent regularly varying sequences | 2013-09-09 | Paper |
| Large deviations for solutions to stochastic recurrence equations under Kesten's condition | 2013-08-22 | Paper |
| The limit distribution of the maximum increment of a random walk with dependent regularly varying jump sizes | 2013-06-19 | Paper |
| A large deviation principle for Minkowski sums of heavy-tailed random compact convex sets with finite expectation | 2011-10-25 | Paper |
| Stable limits for sums of dependent infinite variance random variables | 2011-09-27 | Paper |
| Weak convergence of the function-indexed integrated periodogram for infinite variance processes | 2011-02-28 | Paper |
| The limit distribution of the maximum increment of a random walk with regularly varying jump size distribution | 2011-02-28 | Paper |
| The extremogram: a correlogram for extreme events | 2010-11-15 | Paper |
| Prediction in a Poisson cluster model | 2010-07-20 | Paper |
| Editorial | 2010-05-21 | Paper |
| A tribute to Professor Kiyosi Itô | 2010-01-15 | Paper |
| Extreme Value Theory for GARCH Processes | 2009-11-27 | Paper |
| Probabilistic Properties of Stochastic Volatility Models | 2009-11-27 | Paper |
| Extremes of Stochastic Volatility Models | 2009-11-27 | Paper |
| Inverse problems for regular variation of linear filters, a cancellation property for \(\sigma\)-finite measures and identification of stable laws | 2009-04-02 | Paper |
| Non-life insurance mathematics. An introduction with the Poisson process | 2008-12-05 | Paper |
| Regularly varying functions | 2008-07-02 | Paper |
| Scaling Limits for Cumulative Input Processes | 2008-05-27 | Paper |
| Extreme value theory for space-time processes with heavy-tailed distributions | 2008-03-18 | Paper |
| Tail behavior of random products and stochastic exponentials | 2008-03-12 | Paper |
| https://portal.mardi4nfdi.de/entity/Q3433265 | 2007-04-27 | Paper |
| Quasi-maximum-likelihood estimation in conditionally heteroscedastic time series: a stochastic recurrence equations approach | 2007-03-12 | Paper |
| Modeling teletraffic arrivals by a Poisson cluster process | 2006-12-20 | Paper |
| A Monte Carlo method for estimating the correlation exponent | 2006-08-23 | Paper |
| Functional large deviations for multivariate regularly varying random walks | 2006-07-10 | Paper |
| Stable limits of martingale transforms with application to the estimation of GARCH parame\-ters | 2006-06-21 | Paper |
| Activity rates with very heavy tails | 2006-04-28 | Paper |
| Large deviations and ruin probabilities for solutions to stochastic recurrence equations with heavy-tailed innovations | 2005-11-14 | Paper |
| How to model multivariate extremes if one must? | 2005-09-01 | Paper |
| Whittle estimation in a heavy-tailed GARCH(1,1) model. | 2005-02-25 | Paper |
| Regular variation of GARCH processes. | 2005-02-25 | Paper |
| Poisson limits for \(U\)-statistics. | 2005-02-25 | Paper |
| Regular variation in the mean and stable limits for Poisson shot noise | 2004-06-18 | Paper |
| https://portal.mardi4nfdi.de/entity/Q4407617 | 2003-12-15 | Paper |
| Non-life insurance mathematics. An introduction with stochastic processes. | 2003-11-25 | Paper |
| The periodogram at the Fourier frequencies | 2003-11-03 | Paper |
| Point process convergence of stochastic volatility processes with application to sample autocorrelation | 2003-10-15 | Paper |
| Ruin probability with claims modeled by a stationary ergodic stable process. | 2003-05-06 | Paper |
| Tail probabilities of subadditive functionals of Lévy processes. | 2003-05-06 | Paper |
| A characterization of multivariate regular variation. | 2003-05-06 | Paper |
| Is network traffic approximated by stable Lévy motion or fractional Brownian motion? | 2003-05-06 | Paper |
| The supremum of a negative drift random walk with dependent heavy-tailed steps. | 2003-05-06 | Paper |
| The maximum of the periodogram for a heavy-tailed sequence. | 2003-05-06 | Paper |
| Rates in approximations to ruin probabilities for heavy-tailed distributions | 2002-11-21 | Paper |
| Limit theory for the sample autocorrelations and extremes of a GARCH \((1,1)\) process. | 2002-11-14 | Paper |
| The sample ACF of a simple bilinear process | 2002-08-29 | Paper |
| Stochastic integral equations without probability | 2001-06-13 | Paper |
| https://portal.mardi4nfdi.de/entity/Q2712146 | 2001-01-01 | Paper |
| Gaussian likelihood-based inference for non-invertible MA(1) processes with S\(\alpha \)S noise | 1999-11-18 | Paper |
| The sample autocorrelations of heavy-tailed processes with applications to ARCH | 1999-11-09 | Paper |
| The maximum of the periodogram of a non-Gaussian sequence. | 1999-11-09 | Paper |
| https://portal.mardi4nfdi.de/entity/Q4247106 | 1999-10-17 | Paper |
| Large deviations of heavy-tailed sums with applications in insurance | 1999-08-10 | Paper |
| https://portal.mardi4nfdi.de/entity/Q4247395 | 1999-06-16 | Paper |
| Elementary Stochastic Calculus, with Finance in View | 1999-03-28 | Paper |
| Uniform convergence of the empirical spectral distribution function | 1999-01-14 | Paper |
| Large deviations of heavy-tailed random sums with applications in insurance and finance | 1999-01-05 | Paper |
| The integrated periodogram for stable processes | 1998-11-03 | Paper |
| The integrated periodogram for long-memory processes with finite or infinite variance | 1998-03-29 | Paper |
| Heavy-tailed modelling in insurance | 1998-02-08 | Paper |
| Gaussian limit fields for the integrated periodogram | 1997-07-08 | Paper |
| https://portal.mardi4nfdi.de/entity/Q4343010 | 1997-06-24 | Paper |
| https://portal.mardi4nfdi.de/entity/Q4866381 | 1996-06-11 | Paper |
| Delay in claim settlement and ruin probability approximations | 1996-05-06 | Paper |
| Correction to: Functional limit theorems for random quadratic forms | 1996-04-22 | Paper |
| Explosive Poisson shot noise processes with applications to risk reserves | 1995-12-12 | Paper |
| Parameter estimation for ARMA models with infinite variance innovations | 1995-10-18 | Paper |
| Random quadratic forms and the bootstrap for \(U\)-statistics | 1995-06-29 | Paper |
| https://portal.mardi4nfdi.de/entity/Q4322402 | 1995-03-29 | Paper |
| Stochastic Discounting, Aggregate Claims, and the Bootstrap | 1995-03-01 | Paper |
| Almost sure convergence of bootstrapped means and \(U\)-statistics | 1995-02-06 | Paper |
| Weak invariance principles for weighted \(U\)-statistics | 1994-06-20 | Paper |
| Spectral estimates and stable processes | 1994-01-19 | Paper |
| A weak invariance principle for weighted \(U\)-statistics with varying kernels | 1993-12-06 | Paper |
| https://portal.mardi4nfdi.de/entity/Q4025269 | 1993-02-18 | Paper |
| https://portal.mardi4nfdi.de/entity/Q4003308 | 1992-09-18 | Paper |
| https://portal.mardi4nfdi.de/entity/Q3988678 | 1992-06-28 | Paper |
| A bootstrap procedure for estimating the adjustment coefficients | 1992-06-28 | Paper |
| A strong law of large numbers for ruled sums | 1992-06-28 | Paper |
| Functional limit theorems for random quadratic forms | 1991-01-01 | Paper |
| Almost sure behavior of tail series in functional spaces | 1990-01-01 | Paper |
| On a Lower Bound in the Law of the Iterated Logarithm for Gaussian Quadratic Forms | 1990-01-01 | Paper |
| https://portal.mardi4nfdi.de/entity/Q3481003 | 1990-01-01 | Paper |
| The rate of convergence in the functional central limit theorem for random quadratic forms with some applications to the law of the iterated logarithm | 1989-01-01 | Paper |
| https://portal.mardi4nfdi.de/entity/Q3774636 | 1988-01-01 | Paper |
| Iterated logarithm results for rapidly growing random walk | 1988-01-01 | Paper |
| On the Law of the Iterated Logarithm for Quadratic Forms in Independent Gaussian Variables | 1988-01-01 | Paper |
| On a problem of Tandori | 1988-01-01 | Paper |
| Bounded laws of the iterated logarithm for quadratic forms in Gaussian random variables | 1988-01-01 | Paper |
| Strong laws of large numbers for fields of Banach space valued random variables | 1987-01-01 | Paper |
| On the convergence of some random series | 1987-01-01 | Paper |
| Limit theorems for methods of summation of independent random variables. II | 1987-01-01 | Paper |
| On Almost Sure Behavior of Sums of Independent B<scp>anach</scp> Space Valued Random Variables | 1986-01-01 | Paper |
| https://portal.mardi4nfdi.de/entity/Q3221108 | 1984-01-01 | Paper |
| https://portal.mardi4nfdi.de/entity/Q3952984 | 1982-01-01 | Paper |
