1

High-level dependence in time series models

Vicky Fasen, Claudia Klüppelberg, Martin Schlather
Journal:
Extremes
Année:
2010
Langue:
english
Fichier:
PDF, 601 KB
english, 2010
2

Time consistency of multi-period distortion measures

Fasen, Vicky, Svejda, Adela
Journal:
Statistics & Risk Modeling
Année:
2012
Langue:
english
Fichier:
PDF, 196 KB
english, 2012
3

Extremes of Lévy driven mixed MA processes with convolution equivalent distributions

Vicky Fasen
Journal:
Extremes
Année:
2009
Langue:
english
Fichier:
PDF, 636 KB
english, 2009
4

Modeling network traffic by a cluster Poisson input process with heavy and light-tailed file sizes

Vicky Fasen
Journal:
Queueing Systems
Année:
2010
Langue:
english
Fichier:
PDF, 753 KB
english, 2010
5

Extremes of subexponential Lévy driven moving average processes

Vicky Fasen
Journal:
Stochastic Processes and their Applications
Année:
2006
Langue:
english
Fichier:
PDF, 401 KB
english, 2006
6

Søren Asmussen und Hansjörg Albrecher: “Ruin Probabilities”

Vicky Fasen
Journal:
Jahresbericht der Deutschen Mathematiker-Vereinigung
Année:
2011
Langue:
german
Fichier:
PDF, 179 KB
german, 2011
10

Four theorems and a financial crisis

Das, Bikramjit, Embrechts, Paul, Fasen, Vicky
Journal:
International Journal of Approximate Reasoning
Année:
2013
Langue:
english
Fichier:
PDF, 1.42 MB
english, 2013
11

EXTREMES OF AUTOREGRESSIVE THRESHOLD PROCESSES

CLAUDIA BRACHNER, VICKY FASEN and ALEXANDER LINDNER
Journal:
Advances in Applied Probability
Année:
2009
Langue:
english
Fichier:
PDF, 1.58 MB
english, 2009
13

Extremes of Regularly Varying Lévy-Driven Mixed Moving Average Processes

Vicky Fasen
Journal:
Advances in Applied Probability
Année:
2005
Langue:
english
Fichier:
PDF, 1.88 MB
english, 2005
14

Extremes of regularly varying Lévy-driven mixed moving average processes

Fasen, Vicky
Journal:
Advances in Applied Probability
Année:
2005
Langue:
english
Fichier:
PDF, 250 KB
english, 2005
15

TIME SERIES REGRESSION ON INTEGRATED CONTINUOUS-TIME PROCESSES WITH HEAVY AND LIGHT TAILS

Fasen, Vicky
Journal:
Econometric Theory
Année:
2013
Langue:
english
Fichier:
PDF, 309 KB
english, 2013
16

Stable random fields, point processes and large deviations

Fasen, Vicky, Roy, Parthanil
Journal:
Stochastic Processes and their Applications
Année:
2016
Langue:
english
Fichier:
PDF, 326 KB
english, 2016
17

Limit Theory for High Frequency Sampled MCARMA Models

Fasen, Vicky
Journal:
Advances in Applied Probability
Année:
2014
Langue:
english
Fichier:
PDF, 253 KB
english, 2014
19

Risk contagion under regular variation and asymptotic tail independence

Das, Bikramjit, Fasen-Hartmann, Vicky
Journal:
Journal of Multivariate Analysis
Année:
2017
Langue:
english
Fichier:
PDF, 513 KB
english, 2017
20

Extremes of regularly varying Lévy-driven mixed moving average processes

Fasen, Vicky
Journal:
Advances in Applied Probability
Année:
2005
Langue:
english
Fichier:
PDF, 235 KB
english, 2005
21

Extremes of autoregressive threshold processes

Brachner, Claudia, Fasen, Vicky, Lindner, Alexander
Journal:
Advances in Applied Probability
Année:
2009
Langue:
english
Fichier:
PDF, 248 KB
english, 2009
22

Information criteria for multivariate CARMA processes

Fasen, Vicky, Kimmig, Sebastian
Journal:
Bernoulli
Année:
2017
Langue:
english
Fichier:
PDF, 267 KB
english, 2017
23

Limit Theory for High Frequency Sampled MCARMA Models

Fasen, Vicky
Journal:
Advances in Applied Probability
Année:
2014
Langue:
english
Fichier:
PDF, 302 KB
english, 2014
26

Conditional excess risk measures and multivariate regular variation

Das, Bikramjit, Fasen-Hartmann, Vicky
Journal:
Statistics & Risk Modeling
Année:
2019
Langue:
english
Fichier:
PDF, 857 KB
english, 2019
28

Cointegrated continuous-time linear state-space and MCARMA models

Fasen-Hartmann, Vicky, Scholz, Markus
Journal:
Stochastics
Année:
2019
Langue:
english
Fichier:
PDF, 2.58 MB
english, 2019