![[höher]](/style/images/multi_up.png)
Eine Ebene höherGruppiert nach:
Dokumententyp
| Veröffentlichungsdatum
Anzahl der Publikationen: 22
Zeitschriftenartikel
Biagini, Francesca 
ORCID: https://orcid.org/0000-0001-9801-5259; Fink, Holger und Klüppelberg, Claudia
(2013):
A fractional credit model with long range dependent default rate.
In: Stochastic Processes and their Applications, Bd. 123, Nr. 4: S. 1319-1347
ORCID: https://orcid.org/0000-0001-9801-5259; Fink, Holger und Klüppelberg, Claudia
(2013):
A fractional credit model with long range dependent default rate.
In: Stochastic Processes and their Applications, Bd. 123, Nr. 4: S. 1319-1347
Klüppelberg, Claudia; Meyer-Brandis, Thilo ORCID: https://orcid.org/0000-0002-6374-7983 und Schmidt, Andrea
(2010):
Electricity spot price modelling with a view towards extreme spike risk.
In: Quantitative Finance, Bd. 10, Nr. 9: S. 963-974
ORCID: https://orcid.org/0000-0002-6374-7983 und Schmidt, Andrea
(2010):
Electricity spot price modelling with a view towards extreme spike risk.
In: Quantitative Finance, Bd. 10, Nr. 9: S. 963-974
Bernhardt, Christine; Klüppelberg, Claudia und Meyer-Brandis, Thilo ORCID: https://orcid.org/0000-0002-6374-7983
(2008):
Estimating high quantiles for electricity prices by stable linear models.
In: Journal of Energy Markets, Bd. 1, Nr. 1: S. 3-19
ORCID: https://orcid.org/0000-0002-6374-7983
(2008):
Estimating high quantiles for electricity prices by stable linear models.
In: Journal of Energy Markets, Bd. 1, Nr. 1: S. 3-19
Paper
Klüppelberg, Claudia und Kuhn, Gabriel
(2006):
Copula Structure Analysis Based on Robust and Extreme Dependence Measures.
Sonderforschungsbereich 386, Discussion Paper 507
[PDF, 393kB]
Klüppelberg, Claudia; Kuhn, Gabriel und Peng, Liang
(2006):
Estimating Tail Dependence of Elliptical Distributions.
Sonderforschungsbereich 386, Discussion Paper 470
[PDF, 327kB]
Klüppelberg, Claudia und Peng, Liang
(2006):
Empirical Likelihodd Methods for an AR(1) process with ARCH(1) errors.
Sonderforschungsbereich 386, Discussion Paper 469
[PDF, 266kB]
Klüppelberg, Claudia; Kuhn, Gabriel und Peng, Liang
(2006):
Multivariate Tail Copula: Modeling and Estimation.
Sonderforschungsbereich 386, Discussion Paper 468
[PDF, 888kB]
Fasen, V.; Klüppelberg, Claudia und Lindner, A.
(2005):
Extremal behavior of stochastic volatility models.
Sonderforschungsbereich 386, Discussion Paper 427
[PDF, 774kB]
Haug, Stephan; Klüppelberg, Claudia; Lindner, A. und Zapp, M.
(2005):
Estimating the COGARCH(1,1) model - a first go.
Sonderforschungsbereich 386, Discussion Paper 458
[PDF, 411kB]
Klüppelberg, Claudia und Lindner, A.
(2005):
Extreme value theory for moving average processes with light-tailed innovations.
Sonderforschungsbereich 386, Discussion Paper 432
[PDF, 400kB]
Klüppelberg, Claudia; Lindner, Alexander M. und Maller, R. A.
(2005):
Continuous time volatility modelling: COGARCH versus Ornstein-Uhlenbeck models.
Sonderforschungsbereich 386, Discussion Paper 426
[PDF, 387kB]
Klüppelberg, Claudia; Lindner, Alexander M. und Maller, R. A.
(2005):
A Continuous Time GARCH Process Driven by a Lévy Process: Stationarity and Second Order Behaviour.
Sonderforschungsbereich 386, Discussion Paper 425
[PDF, 550kB]
Hsing, T.; Klüppelberg, Claudia und Kuhn, Gabriel
(2004):
Modelling, Estimation and Visualization of Multivariate Dependence for Risk Management.
Sonderforschungsbereich 386, Discussion Paper 375
[PDF, 555kB]
Hsing, T.; Klüppelberg, Claudia und Kuhn, Gabriel
(2004):
Dependence Estimation and Visualization in Multivariate Extremes with Applications to Financial Data.
Sonderforschungsbereich 386, Discussion Paper 374
[PDF, 736kB]
Klüppelberg, Claudia; Lindner, Alexander M. und Maller, R. A.
(2003):
Stationarity and second order behaviour of discrete and continuous time GARCH(1,1) processes.
Sonderforschungsbereich 386, Discussion Paper 337
[PDF, 673kB]
Klüppelberg, Claudia
(2002):
Risk Management with Extreme Value Theory.
Sonderforschungsbereich 386, Discussion Paper 270
[PDF, 1MB]
Klüppelberg, Claudia und Pergamenchtchikov, S.
(2002):
The Tail of the Stationary Distribution of a Random Coefficient AR(q) Model.
Sonderforschungsbereich 386, Discussion Paper 267
[PDF, 439kB]
Klüppelberg, Claudia; Maller, R. A.; Van De Vyver, M. und Wee, D.
(2001):
Testing for Reduction to Random Walk in Autoregressive Conditional Heteroskedasticity Models.
Sonderforschungsbereich 386, Discussion Paper 266
[PDF, 376kB]
Klüppelberg, Claudia und Pergamenchtchikov, S.
(2001):
Renewal Theory for Functionals of a Markov Chain with Compact State Space.
Sonderforschungsbereich 386, Discussion Paper 264
[PDF, 424kB]
Klüppelberg, Claudia und Severin, M.
(2001):
Prediction of outstanding insurance claims.
Sonderforschungsbereich 386, Discussion Paper 258
[PDF, 504kB]
Buchbeitrag
Biagini, Francesca ORCID: https://orcid.org/0000-0001-9801-5259; Meyer-Brandis, Thilo ORCID: https://orcid.org/0000-0002-6374-7983 und Svindland, Gregor
(2014):
The Mathematical Concept of Measuring Risk.
In: Klüppelberg, Claudia; Straub, Daniel und Welpe, Isabell M. (Hrsg.):
Risk - A Multidisciplinary Introduction. Cham: Springer. S. 133-150
ORCID: https://orcid.org/0000-0001-9801-5259; Meyer-Brandis, Thilo ORCID: https://orcid.org/0000-0002-6374-7983 und Svindland, Gregor
(2014):
The Mathematical Concept of Measuring Risk.
In: Klüppelberg, Claudia; Straub, Daniel und Welpe, Isabell M. (Hrsg.):
Risk - A Multidisciplinary Introduction. Cham: Springer. S. 133-150
Biagini, Francesca ORCID: https://orcid.org/0000-0001-9801-5259; Fuschini, Serena und Klüppelberg, Claudia
(2011):
Credit Contagion in a Long Range Dependent Macroeconomic Factor Model.
In: Di Nunno, Giulia und Øksendal, Bernt (Hrsg.):
Advanced Mathematical Methods for Finance. Heidelberg: Springer. S. 105-132
ORCID: https://orcid.org/0000-0001-9801-5259; Fuschini, Serena und Klüppelberg, Claudia
(2011):
Credit Contagion in a Long Range Dependent Macroeconomic Factor Model.
In: Di Nunno, Giulia und Øksendal, Bernt (Hrsg.):
Advanced Mathematical Methods for Finance. Heidelberg: Springer. S. 105-132