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Ludwig-Maximilians-Universität München (LMU)
Sonderforschungsbereich 386: Statistische Analyse diskreter Strukturen, Ludwig-Maximilians-Universität München (LMU)
Discussion Papers, Sonderforschungsbereich 386: Statistische Analyse diskreter Strukturen, Ludwig-Maximilians-Universität München
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Ludwig-Maximilians-Universität München (LMU)
Sonderforschungsbereich 386: Statistische Analyse diskreter Strukturen, Ludwig-Maximilians-Universität München (LMU)
Discussion Papers, Sonderforschungsbereich 386: Statistische Analyse diskreter Strukturen, Ludwig-Maximilians-Universität München
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Results 1-10 of 12.
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Year of Publication
Title
Author(s)
2004
Modelling, estimation and visualization of multivariate dependence for risk management
Hsing, Tailen
;
Klüppelberg, Claudia
;
Kuhn, Gabriel
2006
Copula structure analysis based on robust and extreme dependence measures
Klüppelberg, Claudia
;
Kuhn, Gabriel
2005
Extreme value theory for moving average processes with light-tailed innovations
Klüppelberg, Claudia
;
Lindner, Alexander M.
2005
Estimating the COGARCH(1,1) model: a first go
Haug, Stephan
;
Klüppelberg, Claudia
;
Lindner, A.
;
Zapp, M.
2005
Continuous time volatility modelling: COGARCH versus Ornstein-Uhlenbeck models
Klüppelberg, Claudia
;
Lindner, Alexander M.
;
Maller, Ross
2006
Empirical likelihood methods for an AR(1) process with ARCH(1) errors
Klüppelberg, Claudia
;
Peng, Liang
2006
Estimating tail dependence of elliptical distributions
Klüppelberg, Claudia
;
Kuhn, Gabriel
;
Peng, Liang
2005
Extremal behavior of stochastic volatility models
Fasen, Vicky
;
Klüppelberg, Claudia
;
Lindner, Alexander M.
2006
Multivariate tail copula: modeling and estimation
Klüppelberg, Claudia
;
Kuhn, Gabriel
;
Peng, Liang
2003
Stationarity and second order behaviour of discrete and continuous time GARCH(1,1) processes
Klüppelberg, Claudia
;
Lindner, Alexander M.
;
Maller, Ross
Author
5
Kuhn, Gabriel
5
Lindner, Alexander M.
3
Maller, Ross
3
Peng, Liang
2
Hsing, Tailen
1
Fasen, Vicky
1
Haug, Stephan
1
Lindner, A.
1
Zapp, M.
year of Publication
4
2006
5
2005
1
2004
2
2003