Claudia Klüppelberg

Publikationen

Publikationen pro Jahr 1987 1999 2004 2008 2010 2011 2013 2014 2015 2016 2018 2019 2021 2024

• 122 Artikel
• 10 Kapitel
• 2 Konferenzbeitrag
• 2 Vorwort/Nachwort
• 4 Mehr
  • 1 Buch
  • 1 Kommentar/Debatte
  • 1 Leitartikel
  • 1 Übersichtsartikel

Publikationen pro Jahr

Publikationen pro Jahr

Suchergebnisse

• 2024

  Estimating a directed tree for extremes

  Tran, N. M., Buck, J. & Klüppelberg, C., Juli 2024, in: Journal of the Royal Statistical Society. Series B: Statistical Methodology. 86, 3, S. 771-792 22 S.

  Publikation: Beitrag in Fachzeitschrift › Artikel › Begutachtung

  Open Access

  • Directed Tree 100%
  • Directed Spanning Tree 100%
  • Bayesian Network 100%
  • Spanning Tree 100%
  • Benchmark Dataset 50%
• 2023

  Modern Extreme Value Theory at the Interface of Risk Management, Bayesian Networks and Heavy-Tailed Time Series

  Embrechts, P., Klüppelberg, C. & Mikosch, T., 2023, Lecture Notes in Mathematics. Springer Science and Business Media Deutschland GmbH, S. 115-139 25 S. (Lecture Notes in Mathematics; Band 2313).

  Publikation: Beitrag in Buch/Bericht/Konferenzband › Kapitel › Begutachtung

  • Bayesian 100%
  • Risk Management 100%
  • Extreme Value 100%
  • Value Theory 100%
  • Time Series 100%
  1 Zitat (Scopus)
• 2022

  Conditional independence in max-linear bayesian networks

  Améndola, C., Klüppelberg, C., Lauritzen, S. & Tran, N. M., Feb. 2022, in: Annals of Applied Probability. 32, 1, S. 1-45 45 S.

  Publikation: Beitrag in Fachzeitschrift › Artikel › Begutachtung

  Open Access

  • Bayesian Network 100%
  • Conditional Independence 100%
  • Bayesian Networks 100%
  • Conditional Independence Relation 40%
  • Independence Relations 28%
  4 Zitate (Scopus)

• Max-linear models in random environment

  Klüppelberg, C. & Sönmez, E., Juli 2022, in: Journal of Multivariate Analysis. 190, 104999.

  Publikation: Beitrag in Fachzeitschrift › Artikel › Begutachtung

  Open Access

  • Random Environment 100%
  • Max-linear Model 100%
  • Linear Models 100%
  • Phase Transition 33%
  • Communication Networks 33%
  1 Zitat (Scopus)

• Tail probabilities of random linear functions of regularly varying random vectors

  Das, B., Fasen-Hartmann, V. & Klüppelberg, C., Dez. 2022, in: Extremes. 25, 4, S. 721-758 38 S.

  Publikation: Beitrag in Fachzeitschrift › Artikel › Begutachtung

  Open Access

  • Random Vector 100%
  • Tail Probability 100%
  • Linear Function 100%
  • Regularly Varying 100%
  • Linear Transformation 50%
• 2021

  Estimating an extreme Bayesian network via scalings

  Klüppelberg, C. & Krali, M., Jan. 2021, in: Journal of Multivariate Analysis. 181, 104672.

  Publikation: Beitrag in Fachzeitschrift › Artikel › Begutachtung

  Open Access

  • Bayesian Network 100%
  • Dependence Parameter 100%
  • Asymptotic Normality 100%
  • Parameter Dependence 50%
  • Estimation Algorithms 50%
  12 Zitate (Scopus)

• Estimation of causal continuous-time autoregressive moving average random fields

  Klüppelberg, C. & Pham, V. S., März 2021, in: Scandinavian Journal of Statistics. 48, 1, S. 132-163 32 S.

  Publikation: Beitrag in Fachzeitschrift › Artikel › Begutachtung

  Open Access

  • Continuous-time 100%
  • Random Field 100%
  • Autoregressive Moving Average 100%
  • Weighted Least Squares 100%
  • Autoregressive Moving 100%
  2 Zitate (Scopus)

• Identifiability and estimation of recursive max-linear models

  Gissibl, N., Klüppelberg, C. & Lauritzen, S., März 2021, in: Scandinavian Journal of Statistics. 48, 1, S. 188-211 24 S.

  Publikation: Beitrag in Fachzeitschrift › Artikel › Begutachtung

  Open Access

  • Linear Models 100%
  • Edge 100%
  • Identifiability 100%
  • Directed Acyclic Graph 100%
  • Edge Weight 100%
  11 Zitate (Scopus)

• Indirect inference for time series using the empirical characteristic function and control variates

  Davis, R. A., do Rêgo Sousa, T. & Klüppelberg, C., 1 Sept. 2021, in: Journal of Time Series Analysis. 42, 5-6, S. 653-684 32 S.

  Publikation: Beitrag in Fachzeitschrift › Artikel › Begutachtung

  Open Access

  • Control Variates 100%
  • Characteristic Function 100%
  • Empirical Characteristic Function 100%
  • Indirect Inference 100%
  • Control Variate 100%
  2 Zitate (Scopus)

• Recursive max-linear models with propagating noise

  Buck, J. & Klüppelberg, C., Okt. 2021, in: Electronic Journal of Statistics. 15, 2, S. 4770-4822 53 S.

  Publikation: Beitrag in Fachzeitschrift › Artikel › Begutachtung

  Open Access

  • Directed Acyclic Graph 100%
  • Max-linear Model 100%
  • Matrix (Mathematics) 100%
  • Linear Models 100%
  • Nodes 100%
  2 Zitate (Scopus)
• 2020

  Explicit results on conditional distributions of generalized exponential mixtures

  Klüppelberg, C. & Seifert, M. I., 1 Sept. 2020, in: Journal of Applied Probability. 57, 3, S. 760-774 15 S.

  Publikation: Beitrag in Fachzeitschrift › Artikel › Begutachtung

  Open Access

  • Conditional Distribution 100%
  • Generalized Exponential 100%
  • Exponential Mixture 100%
  • Random Variables 33%
  • Risk Management 33%
  7 Zitate (Scopus)

• Modelling extremal dependence for operational risk by a bipartite graph

  Kley, O., Klüppelberg, C. & Paterlini, S., Aug. 2020, in: Journal of Banking and Finance. 117, 105855.

  Publikation: Beitrag in Fachzeitschrift › Artikel › Begutachtung

  Open Access

  • Bipartite Graph 100%
  • Operational Risk 100%
  • Extremal Dependence 100%
  • Extremal 100%
  • Estimation Method 100%
  6 Zitate (Scopus)

• Ruin probabilities for risk processes in a bipartite network

  Behme, A., Klüppelberg, C. & Reinert, G., 2020, in: Stochastic Models. 36, 4, S. 548-573 26 S.

  Publikation: Beitrag in Fachzeitschrift › Artikel › Begutachtung

  Open Access

  • Risk Process 100%
  • Ruin Probability 100%
  • Bipartite Network 100%
  • Claim Size 50%
  • Random Parameters 25%
  4 Zitate (Scopus)
• 2019

  Bayesian networks for max-linear models

  Klüppelberg, C. & Lauritzen, S., 1 Jan. 2019, Network Science: An Aerial View. Springer International Publishing, S. 79-97 19 S.

  Publikation: Beitrag in Buch/Bericht/Konferenzband › Kapitel › Begutachtung

  • Bayesian Network 100%
  • Max-linear Model 100%
  • Linear Models 100%
  • Network Applications 50%
  • Generalized Likelihood Ratio Test 50%
  10 Zitate (Scopus)

• Financial risk measures for a network of individual agents holding portfolios of light-tailed objects

  Klüppelberg, C. & Seifert, M. I., 1 Okt. 2019, in: Finance and Stochastics. 23, 4, S. 795-826 32 S.

  Publikation: Beitrag in Fachzeitschrift › Artikel › Begutachtung

  Open Access

  • Individual Agent 100%
  • Light-tailed 100%
  • Financial Risk Assessment 100%
  • Risk Measure 100%
  • Risk Management 100%
  8 Zitate (Scopus)

• Generalised least squares estimation of regularly varying space-time processes based on flexible observation schemes

  Buhl, S. & Klüppelberg, C., 15 Juni 2019, in: Extremes. 22, 2, S. 223-269 47 S.

  Publikation: Beitrag in Fachzeitschrift › Artikel › Begutachtung

  Open Access

  • Process-based 100%
  • Space-time Processing 100%
  • Regularly Varying 100%
  • Generalized Least Squares Estimator 100%
  • Observation Scheme 100%
  3 Zitate (Scopus)

• Indirect Inference for Lévy-driven continuous-time GARCH models

  do Rêgo Sousa, T., Haug, S. & Klüppelberg, C., 2019, in: Scandinavian Journal of Statistics. 46, 3, S. 765-801 37 S.

  Publikation: Beitrag in Fachzeitschrift › Artikel › Begutachtung

  Open Access

  • Continuous-time GARCH Process 100%
  • Generalized Autoregressive Conditional Heteroscedasticity (GARCH) 100%
  • Indirect Inference 100%
  • GARCH Model 100%
  • Continuous Time 100%
  4 Zitate (Scopus)

• Partial mean field limits in heterogeneous networks

  Chong, C. & Klüppelberg, C., Dez. 2019, in: Stochastic Processes and their Applications. 129, 12, S. 4998-5036 39 S.

  Publikation: Beitrag in Fachzeitschrift › Artikel › Begutachtung

  Open Access

  • Asymptotics 100%
  • Stochastic Differential Equation 100%
  • Laws of Large Number 100%
  • Graph Model 100%
  • Deviation Result 100%
  2 Zitate (Scopus)

• Semiparametric estimation for isotropic max-stable space-time processes

  Buhl, S., Davis, R. A., Klüppelberg, C. & Steinkohl, C., 2019, in: Bernoulli. 25, 4 A, S. 2508-2537 30 S.

  Publikation: Beitrag in Fachzeitschrift › Artikel › Begutachtung

  Open Access

  • Estimation Method 100%
  • Simulation Study 100%
  • Space-time Processing 100%
  • Stable Subspaces 100%
  • Semiparametric Estimation 100%
  7 Zitate (Scopus)

• Time series of functional data with application to yield curves

  Sen, R. & Klüppelberg, C., Juli 2019, in: Applied Stochastic Models in Business and Industry. 35, 4, S. 1028-1043 16 S.

  Publikation: Beitrag in Fachzeitschrift › Artikel › Begutachtung

  Open Access

  • Functional Data 100%
  • Yield Curve 100%
  • Interest Rate 100%
  • Principal Components 100%
  • Time Series 100%
  6 Zitate (Scopus)
• 2018

  Conditional risk measures in a bipartite market structure

  Kley, O., Klüppelberg, C. & Reinert, G., 21 Apr. 2018, in: Scandinavian Actuarial Journal. 2018, 4, S. 328-355 28 S.

  Publikation: Beitrag in Fachzeitschrift › Artikel › Begutachtung

  Open Access

  • Market Structure 100%
  • Conditional Risk Measures 100%
  • Conditionals 100%
  • Risk Measure 100%
  • Systemic Risk 50%
  8 Zitate (Scopus)

• Contagion in financial systems: A Bayesian network approach

  Chong, C. & Klüppelberg, C., 2018, in: SIAM Journal on Financial Mathematics. 9, 1, S. 28-53 26 S.

  Publikation: Beitrag in Fachzeitschrift › Artikel › Begutachtung

  Open Access

  • Conditional Probability 100%
  • Network Structure 100%
  • Probabilistic Framework 100%
  • Bayesian Network 100%
  • Financial Institutions 100%
  16 Zitate (Scopus)

• Fractionally integrated COGARCH processes

  Haug, S., Klüppelberg, C. & Straub, G., 1 Sept. 2018, in: Journal of Financial Econometrics. 16, 4, S. 599-628 30 S.

  Publikation: Beitrag in Fachzeitschrift › Artikel › Begutachtung

  Open Access

  • Volatility 100%
  • High-frequency Data 100%
  • Continuous-time GARCH Process 100%
  • COGARCH Process 100%
  • Fractionally Integrated 100%

• Limit theory for the empirical extremogram of random fields

  Buhl, S. & Klüppelberg, C., Juni 2018, in: Stochastic Processes and their Applications. 128, 6, S. 2060-2082 23 S.

  Publikation: Beitrag in Fachzeitschrift › Artikel › Begutachtung

  Open Access

  • Random Field 100%
  • Limit Theory 100%
  • Extremogram 100%
  • Asymptotics 50%
  • Extremal 50%
  5 Zitate (Scopus)

• Max-linear models on directed acyclic graphs

  Gissibl, N. & Klüppelberg, C., Nov. 2018, in: Bernoulli. 24, 4A, S. 2429-2460 32 S.

  Publikation: Beitrag in Fachzeitschrift › Artikel › Begutachtung

  Open Access

  • Directed Acyclic Graph 100%
  • Partial Least Squares Structural Equation Modeling (PLS-SEM) 100%
  • Noise Variables 100%
  • Max-linear Model 100%
  • Linear Models 100%
  33 Zitate (Scopus)

• Smoothing of Transport Plans with Fixed Marginals and Rigorous Semiclassical Limit of the Hohenberg–Kohn Functional

  Cotar, C., Friesecke, G. & Klüppelberg, C., 1 Juni 2018, in: Archive for Rational Mechanics and Analysis. 228, 3, S. 891-922 32 S.

  Publikation: Beitrag in Fachzeitschrift › Artikel › Begutachtung

  Open Access

  • Infinite Dimension 100%
  • Wave Function 100%
  • Semiclassical Limit 100%
  • Transport Plan 100%
  • Strictly Correlated Electrons 100%
  32 Zitate (Scopus)

• Tail dependence of recursive max-linear models with regularly varying noise variables

  Gissibl, N., Klüppelberg, C. & Otto, M., Apr. 2018, in: Econometrics and Statistics. 6, S. 149-167 19 S.

  Publikation: Beitrag in Fachzeitschrift › Artikel › Begutachtung

  Open Access

  • Directed Acyclic Graph 100%
  • Noise Variables 100%
  • Tail Dependence 100%
  • Regularly Varying 100%
  • Max-linear Model 100%
  14 Zitate (Scopus)
• 2017

  An innovations algorithm for the prediction of functional linear processes

  Klepsch, J. & Klüppelberg, C., 1 März 2017, in: Journal of Multivariate Analysis. 155, S. 252-271 20 S.

  Publikation: Beitrag in Fachzeitschrift › Artikel › Begutachtung

  Open Access

  • Functional Linear Process 100%
  • Innovations Algorithm 100%
  • Linear Functionals 100%
  • Infinite Dimension 20%
  • Covariance 20%
  23 Zitate (Scopus)

• Combination of multi-mission altimetry data along the Mekong River with spatio-temporal kriging

  Boergens, E., Buhl, S., Dettmering, D., Klüppelberg, C. & Seitz, F., 1 Mai 2017, in: Journal of Geodesy. 91, 5, S. 519-534 16 S.

  Publikation: Beitrag in Fachzeitschrift › Artikel › Begutachtung

  Open Access

  • Altimetry Data 100%
  • Mekong River 100%
  • Spatio-temporal Kriging 100%
  • Multi-mission Altimetry 100%
  • Kriging 100%
  27 Zitate (Scopus)

• Prediction of functional ARMA processes with an application to traffic data

  Klepsch, J., Klüppelberg, C. & Wei, T., 1 Jan. 2017, in: Econometrics and Statistics. 1, S. 128-149 22 S.

  Publikation: Beitrag in Fachzeitschrift › Artikel › Begutachtung

  Open Access

  • Vector Model 100%
  • Traffic Data 100%
  • ARMA Process 100%
  • Equation Model 50%
  • Sufficient Condition 50%
  59 Zitate (Scopus)

• Testing for non-correlation between price and volatility jumps

  Jacod, J., Klüppelberg, C. & Müller, G., 1 Apr. 2017, in: Journal of Econometrics. 197, 2, S. 284-297 14 S.

  Publikation: Beitrag in Fachzeitschrift › Artikel › Begutachtung

  Open Access

  • Volatility Jumps 100%
  • Price Jumps 100%
  • Non-correlation 100%
  • Log Price 100%
  • Price Process 100%
  10 Zitate (Scopus)
• 2016

  Anisotropic Brown-Resnick space-time processes: estimation and model assessment

  Buhl, S. & Klüppelberg, C., 1 Dez. 2016, in: Extremes. 19, 4, S. 627-660 34 S.

  Publikation: Beitrag in Fachzeitschrift › Artikel › Begutachtung

  Open Access

  • Evaluation Model 100%
  • Space-time Processing 100%
  • Process Estimation 100%
  • Conditional Probability 100%
  • Time Process 100%
  16 Zitate (Scopus)

• Bounds for randomly shared risk of heavy-tailed loss factors

  Kley, O. & Klüppelberg, C., 1 Dez. 2016, in: Extremes. 19, 4, S. 719-733 15 S.

  Publikation: Beitrag in Fachzeitschrift › Artikel › Begutachtung

  Open Access

  • At-risk 100%
  • Loss Factor 100%
  • Individual Agent 100%
  • Aggregate Risk 100%
  • Dependent Components 100%
  4 Zitate (Scopus)

• Passage time and fluctuation calculations for subexponential Lévy processes

  Doney, R., Klüppelberg, C. & Maller, R., Aug. 2016, in: Bernoulli. 22, 3, S. 1491-1519 29 S.

  Publikation: Beitrag in Fachzeitschrift › Artikel › Begutachtung

  Open Access

  • Passage Time 100%
  • Lvy Processes 100%
  • Subexponential 100%
  • Lvy Process 100%
  • Convergence Behavior 33%
  5 Zitate (Scopus)

• Risk in a large claims insurance market with bipartite graph structure

  Kley, O., Klüppelberg, C. & Reinert, G., 1 Sept. 2016, in: Operations Research. 64, 5, S. 1159-1176 18 S.

  Publikation: Beitrag in Fachzeitschrift › Artikel › Begutachtung

  Open Access

  • Bipartite Graph 100%
  • Graph Structure 100%
  • Individual Agent 100%
  • Insurance Market 100%
  • Largest Claim Amount 100%
  18 Zitate (Scopus)

• Time-consistency of risk measures with GARCH volatilities and their estimation

  Klüppelberg, C. & Zhang, J., 1 März 2016, in: Statistics and Risk Modeling. 32, 2, S. 103-124 22 S.

  Publikation: Beitrag in Fachzeitschrift › Artikel › Begutachtung

  Open Access

  • At-risk 100%
  • Time Inconsistency 100%
  • Risk Measures 100%
  • GARCH Volatility 100%
  • Volatility 100%
  2 Zitate (Scopus)
• 2015

  Copula structure analysis based on extreme dependence

  Klüppelberg, C., Haug, S. & Kuhn, G., 2015, in: Statistics and its Interface. 8, 1, S. 93-107 15 S.

  Publikation: Beitrag in Fachzeitschrift › Artikel › Begutachtung

  Open Access

  • Structure Analysis 100%
  • Copula 100%
  • Elliptical Copula 100%
  • Extreme Dependence 100%
  • Dependence Structure 66%
  5 Zitate (Scopus)

• Generalized fractional Lévy processes with fractional Brownian motion limit

  Klüppelberg, C. & Matsui, M., Dez. 2015, in: Advances in Applied Probability. 47, 4, S. 1108-1131 24 S.

  Publikation: Beitrag in Fachzeitschrift › Artikel › Begutachtung

  • Lvy Processes 100%
  • Fractional Brownian Motion 100%
  • Motion Limit 100%
  • Lvy Process 100%
  • Ornstein-Uhlenbeck Process 40%
  11 Zitate (Scopus)

• Integrability conditions for space-time stochastic integrals: Theory and applications

  Chong, C. & Kluppelberg, C., 1 Nov. 2015, in: Bernoulli. 21, 4, S. 2190-2216 27 S.

  Publikation: Beitrag in Fachzeitschrift › Artikel › Begutachtung

  Open Access

  • Integrability Conditions 100%
  • Stochastic Integral 100%
  • Integral Theory 100%
  • Random Measure 100%
  • Integrability Condition 100%
  14 Zitate (Scopus)

• Simulation of stochastic volterra equations driven by space-time Lévy noise

  Chen, B., Chong, C. & Klüppelberg, C., 1 Jan. 2015, The Fascination of Probability, Statistics and their Applications: In Honour of Ole E. Barndorff-Nielsen. Springer International Publishing, S. 209-229 21 S.

  Publikation: Beitrag in Buch/Bericht/Konferenzband › Kapitel › Begutachtung

  Open Access

  • Stochastic Volterra Equations 100%
  • Lvy Noise 100%
  • Stochastics 100%
  • Numerical Scheme 50%
  • Random Variables 50%
  6 Zitate (Scopus)

• Superposition of COGARCH processes

  Behme, A., Chong, C. & Klüppelberg, C., Apr. 2015, in: Stochastic Processes and their Applications. 125, 4, S. 1426-1469 44 S.

  Publikation: Beitrag in Fachzeitschrift › Artikel › Begutachtung

  Open Access

  • Volatility Jumps 100%
  • COGARCH Model 100%
  • Price Jumps 100%
  • COGARCH Process 100%
  • Superposition 100%
  2 Zitate (Scopus)
• 2014

  Asymmetric COGARCH processes

  Behme, A., Klüppelberg, C. & Mayr, K., 1 Dez. 2014, in: Journal of Applied Probability. 51A, S. 161-173 13 S.

  Publikation: Beitrag in Fachzeitschrift › Artikel › Begutachtung

  Open Access

  • COGARCH Model 100%
  • COGARCH Process 100%
  • Continuous Time 100%
  • Asymmetric 100%
  • Continuous-time Model 50%
  6 Zitate (Scopus)

• Dealing with dependent risks

  Klüppelberg, C. & Stelzer, R., 1 Jan. 2014, Risk - A Multidisciplinary Introduction. Springer International Publishing, S. 241-277 37 S.

  Publikation: Beitrag in Buch/Bericht/Konferenzband › Kapitel › Begutachtung

  • Earthquake 100%
  • Interdependent Risks 100%
  • Illustrates 100%
  • Single Source 100%
  • Real Life 100%
  2 Zitate (Scopus)

• Futures pricing in electricity markets based on stable CARMA spot models

  Benth, F. E., Klüppelberg, C., Müller, G. & Vos, L., Juli 2014, in: Energy Economics. 44, S. 392-406 15 S.

  Publikation: Beitrag in Fachzeitschrift › Artikel › Begutachtung

  Open Access

  • Market-based 100%
  • Futures Prices 100%
  • Electricity Market 100%
  • Risk Premium 100%
  • CARMA 100%
  44 Zitate (Scopus)

• Introduction

  Klüppelberg, C., Straub, D. & Welpe, I. M., 1 Jan. 2014, Risk - A Multidisciplinary Introduction. Springer International Publishing, S. v-viii

  Publikation: Beitrag in Buch/Bericht/Konferenzband › Vorwort/Nachwort

  Open Access
  16 Zitate (Scopus)

• Quantifying extreme risks

  Fasen, V., Klüppelberg, C. & Menzel, A., 1 Jan. 2014, Risk - A Multidisciplinary Introduction. Springer International Publishing, S. 151-181 31 S.

  Publikation: Beitrag in Buch/Bericht/Konferenzband › Kapitel › Begutachtung

  • Extreme Events 100%
  • Extreme Risk 100%
  • Rare Event 100%
  • Statistical Method 100%
  • Value at Risk 100%
  13 Zitate (Scopus)

• Risk - A multidisciplinary introduction

  Klüppelberg, C., Straub, D. & Welpe, I. M., 1 Jan. 2014, Springer International Publishing. 476 S.

  Publikation: Buch/Bericht › Buch › Begutachtung

  Open Access

  • Risk Management Practices 100%
  • Common Language 100%
  • Risk Management 100%
  • Case Study 100%
  • Open Research 50%
  11 Zitate (Scopus)

• Spatial risk measures: Local specification and boundary risk

  Föllmer, H. & Klüppelberg, C., 2014, Stochastic Analysis and Applications 2014. Crisan, D., Hambly, B. & Zariphopoulou, T. (Hrsg.). Springer New York LLC, S. 307-326 20 S. (Springer Proceedings in Mathematics and Statistics; Band 100).

  Publikation: Beitrag in Buch/Bericht/Konferenzband › Konferenzbeitrag › Begutachtung

  Open Access

  • Risk Measures 100%
  • Spatial Risk Analysis 100%
  • Global Risk 100%
  • Risk Measure 100%
  • Consistency Problem 50%
  7 Zitate (Scopus)
• 2013

  A fractional credit model with long range dependent default rate

  Biagini, F., Fink, H. & Klüppelberg, C., 2013, in: Stochastic Processes and their Applications. 123, 4, S. 1319-1347 29 S.

  Publikation: Beitrag in Fachzeitschrift › Artikel › Begutachtung

  Open Access

  • Long-range Dependence 100%
  • Credit Models 100%
  • Default Rate 100%
  • Levy Process 100%
  • Interest Rate 100%
  12 Zitate (Scopus)

• Conditional distributions of processes related to fractional brownian motion

  Fink, H., Klüppelberg, C. & Zähle, M., März 2013, in: Journal of Applied Probability. 50, 1, S. 166-183 18 S.

  Publikation: Beitrag in Fachzeitschrift › Artikel › Begutachtung

  Open Access

  • Conditional Distribution 100%
  • Fractional Brownian Motion 100%
  • Levy Process 100%
  • Markov Process 50%
  • Realistic Model 25%
  17 Zitate (Scopus)