Browsing All of EconStor by Author Klüppelberg, Claudia


Showing results 1 to 13 of 13
Year of PublicationTitleAuthor(s)
2003Stationarity and second order behaviour of discrete and continuous time GARCH(1,1) processesKlüppelberg, Claudia; Lindner, Alexander M.; Maller, Ross
2003Dependence estimation and visualization in multivariate extremes with applications to financial dataHsing, Tailen; Klüppelberg, Claudia; Kuhn, Gabriel
2004Modelling, estimation and visualization of multivariate dependence for risk managementHsing, Tailen; Klüppelberg, Claudia; Kuhn, Gabriel
2005Extreme value theory for moving average processes with light-tailed innovationsKlüppelberg, Claudia; Lindner, Alexander M.
2005Estimating the COGARCH(1,1) model: a first goHaug, Stephan; Klüppelberg, Claudia; Lindner, A.; Zapp, M.
2005Continuous time volatility modelling: COGARCH versus Ornstein-Uhlenbeck modelsKlüppelberg, Claudia; Lindner, Alexander M.; Maller, Ross
2005Extremal behavior of stochastic volatility modelsFasen, Vicky; Klüppelberg, Claudia; Lindner, Alexander M.
2005A continuous time GARCH process driven by a Levy process: stationarity and second order behaviourKlüppelberg, Claudia; Lindner, Alexander M.; Maller, Ross
2006Copula structure analysis based on robust and extreme dependence measuresKlüppelberg, Claudia; Kuhn, Gabriel
2006Empirical likelihood methods for an AR(1) process with ARCH(1) errorsKlüppelberg, Claudia; Peng, Liang
2006Estimating tail dependence of elliptical distributionsKlüppelberg, Claudia; Kuhn, Gabriel; Peng, Liang
2006Multivariate tail copula: modeling and estimationKlüppelberg, Claudia; Kuhn, Gabriel; Peng, Liang
2021Indirect inference for time series using the empirical characteristic function and control variatesDavis, Richard A.; do Rêgo Sousa, Thiago; Klüppelberg, Claudia