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; Delerue, Thomas; Li, Guoying
When Frictions are Fractional: Rough Noise in High-Frequency Data
Preprint
2021

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

Chong, Carsten; Delerue, Thomas; Li, Guoying
Mixed semimartingales: Volatility estimation in the presence of rough noise
Preprint
2021
Dec

Tran, Ngoc Mai; Buck, Johannes; Klüppelberg, Claudia
Estimating a Latent Tree for Extremes
Preprint
2021

Kley, Oliver; Klüppelberg, Claudia; Paterlini, Sandra
Modelling extremal dependence for operational risk by a bipartite graph
Journal of Banking & Finance
2020
117
Aug
105855

Behme, A.; Klüppelberg, C.; Reinert, G.
Ruin probabilities for risk processes in a bipartite network
Stochastic Models
2020
36
4
May
548-573