| Publication | Date of Publication | Type |
|---|
Time consistency of multi-period distortion measures
Statistics & Risk Modeling | 2021-08-05 | Paper |
Information criteria for multivariate CARMA processes
Bernoulli | 2017-09-21 | Paper |
Information criteria for multivariate CARMA processes
Bernoulli | 2017-09-21 | Paper |
Statistical estimation of multivariate Ornstein-Uhlenbeck processes and applications to co-integration
Journal of Econometrics | 2017-05-12 | Paper |
Dependence estimation for high-frequency sampled multivariate CARMA models
Scandinavian Journal of Statistics | 2016-03-16 | Paper |
Stable random fields, point processes and large deviations
Stochastic Processes and their Applications | 2016-02-15 | Paper |
Four theorems and a financial crisis
International Journal of Approximate Reasoning | 2015-07-10 | Paper |
Limit theory for high frequency sampled MCARMA models
Advances in Applied Probability | 2014-09-25 | Paper |
Quantifying Extreme Risks
Risk - A Multidisciplinary Introduction | 2014-06-30 | Paper |
Statistical inference of spectral estimation for continuous-time MA processes with finite second moments
Mathematical Methods of Statistics | 2014-03-26 | Paper |
Spectral estimates for high-frequency sampled continuous-time autoregressive moving average processes
Journal of Time Series Analysis | 2014-02-25 | Paper |
Time series regression on integrated continuous-time processes with heavy and light tails
Econometric Theory | 2013-04-29 | Paper |
On the limit behavior of the periodogram of high-frequency sampled stable CARMA processes
Stochastic Processes and their Applications | 2012-11-15 | Paper |
Modelling and quantification of extreme risks
Facettenreiche Mathematik | 2012-10-01 | Paper |
High-level dependence in time series models
Extremes | 2011-11-26 | Paper |
Extremes of Lévy driven mixed MA processes with convolution equivalent distributions
Extremes | 2011-02-22 | Paper |
Modeling network traffic by a cluster Poisson input process with heavy and light-tailed file sizes
Queueing Systems | 2010-12-03 | Paper |
Asymptotic results for sample autocovariance functions and extremes of integrated generalized Ornstein-Uhlenbeck processes
Bernoulli | 2010-11-12 | Paper |
Extremes of Continuous–Time Processes.
Handbook of Financial Time Series | 2009-11-27 | Paper |
A fluid cluster Poisson input process can look like a fractional Brownian motion even in the slow growth aggregation regime
Advances in Applied Probability | 2009-07-22 | Paper |
Extremes of autoregressive threshold processes
Advances in Applied Probability | 2009-07-22 | Paper |
| Extremal behavior of stochastic volatility models | 2008-07-11 | Paper |
| Extremes of supOU processes | 2008-01-17 | Paper |
Extremes of subexponential Lévy driven moving average processes
Stochastic Processes and their Applications | 2006-10-05 | Paper |
Extremes of regularly varying Lévy-driven mixed moving average processes
Advances in Applied Probability | 2006-06-19 | Paper |
