Dusson, Geneviève; Klüppelberg, Claudia; Friesecke, Gero
Copula methods for modeling pair densities in density functional theory
The Journal of Chemical Physics
2025
162
14
Apr

Klüppelberg, Claudia; Krali, Mario
Causal analysis of extreme risk in a network of industry portfolios
Preprint
2025
Apr

Pham, Viet Son
Lévy-driven causal CARMA random fields
Stochastic Processes and their Applications
2020
130
12
Dec
7547-7574

Chong, Carsten H.; Delerue, Thomas; Li, Guoying
When Frictions Are Fractional: Rough Noise in High-Frequency Data
Journal of the American Statistical Association
2025
Jan
1-14

Tran, Ngoc Mai; Buck, Johannes; Klüppelberg, Claudia
Estimating a directed tree for extremes
Journal of the Royal Statistical Society Series B: Statistical Methodology
2024
86
3
Feb
771-792

Klüppelberg, Claudia; Pham, Viet Son
Estimation of causal continuous‐time autoregressive moving average random fields
Scandinavian Journal of Statistics
2020
48
1
Jan
132-163

Embrechts, Paul, Klüppelberg, Claudia and Mikosch, Thomas
Modern extreme value theory at the interface of risk management, Bayesian networks and heavy-tailed time series.
Mathematics Going Forward - Collected Mathematical Brushstrokes
Morel, J.-M. and Teissier, B.
Springer
2022

Klüppelberg, Claudia; Sönmez, Ercan
Max-linear models in random environment
Journal of Multivariate Analysis
2022
190
Jul
104999

Chong, Carsten; Delerue, Thomas; Mies, Fabian
Rate-optimal estimation of mixed semimartingales
Preprint
2022

Chong, Carsten
High-frequency analysis of parabolic stochastic {PDE}s with multiplicative noiseHigh-frequency analysis of parabolic stochastic PDEs with multiplicative noise: Part I
Preprint
2019