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  9. Publications ARC 12/17-045

Publications ARC 12/17-045

Promotor  
 Luc Bauwens

 

(incl. Koch, Daniel; Bagdziunas, Rytis; Yang, Yukai; Servais, Alice; Dufays, Arnaud)

Luc Bauwens

Article de périodique (Journal article)

2017

·  Bauwens, Luc ; Braione, Manuela ; Storti, Giuseppe. A dynamic component model for forecasting high-dimensional realized covariance matrices. In: Econometrics and Statistics, Vol. 1, p. 40-61 (2017). doi:10.1016/j.ecosta.2016.09.003. http://hdl.handle.net/2078.1/191239

·  Bauwens, Luc ; Carpentier, Jean-François ; Dufays, Arnaud. Autoregressive moving average infinite hidden Markov-switching models. In: Journal of Business and Economic Statistics, Vol. 35, no.2, p. 162-182 (2017). doi:10.1080/07350015.2015.1123636. http://hdl.handle.net/2078.1/183791

2016

·  Bauwens, Luc ; Grigoryeva, Lyudmila ; Ortega, Juan-Pablo. Estimation and Empirical Performance of Non-Scalar DCC Models. In: Computational Statistics & Data Analysis, Vol. 100, p. 17-36 (March 2015). doi:10.1016/j.csda.2015.02.013. http://hdl.handle.net/2078.1/178821

·  Bauwens, Luc ; Braione, Manuela ; Giuseppe Storti. Forecasting Comparison of Long Term Component Dynamic Models for Realized Covariance Matrices. In: Annals of Economics and Statistics, Vol. 123/124, p. 103-134 (2016). doi:10.15609/annaeconstat2009.123-124.0103. http://hdl.handle.net/2078.1/190981

·  Bauwens, Luc ; Otranto, Edoardo. Modeling the Dependence of Conditional Correlations on Market Volatility. In: Journal of Business & Economic Statistics, Vol. 34, p. 254-268 (2016). doi:10.1080/07350015.2015.1037882. http://hdl.handle.net/2078.1/190985

2015

·  Bauwens, Luc ; Koop, Gary ; Korobilis, Dimitris ; Rombouts, Jeroen V.K.. The Contribution of Structural Break Models to Forecasting Macroeconomic Series. In: Journal of Applied Econometrics, Vol. 30, no.4, p. 596-620 (2015). doi:10.1002/jae.2387. http://hdl.handle.net/2078.1/162482

2014

·  Bauwens, Luc ; De Backer, Bruno ; Dufays, Arnaud. A Bayesian method of change-point estimation with recurrent regimes: application to GARCH models. In: Journal of Empirical Finance, Vol. 29, p. 207-229 (2014). doi:10.1016/j.jempfin.2014.06.008. http://hdl.handle.net/2078.1/153254

·  Bauwens, Luc ; Dufays, Arnaud ; Rombouts, Jeroen. Marginal likelihood for Markov-switching and change-point GARCH models. In: Journal of Econometrics, Vol. 178, Part 3, p. 508-522 (2014). doi:10.1016/j.jeconom.2013.08.017. http://hdl.handle.net/2078.1/136057

2013

·  Wang, Cindy Shin-Huei ; Bauwens, Luc ; Hsiao, Cheng. Forecasting a long memory process subject to structural breaks. In: Journal of Econometrics, Vol. 177, no.2, p. 171-184 (2013). doi:10.1016/j.jeconom.2013.04.006. http://hdl.handle.net/2078.1/142529

·  Hafner, Christian ; Pierret, Diane. Multivariate volatility modeling of electricity futures, collab. Bauwens, Luc. In: Journal of Applied Econometrics, Vol. 28, no.5, p. 743-761 (2013). doi:10.1002/jae.2280. http://hdl.handle.net/2078.1/135148

Contribution à ouvrage collectif (Book Chapter)

·  Bauwens, Luc ; Storti, Giuseppe. Computationally efficient inference procedures for vast dimensional realized covariance models. In: M. Grigoletto et al., Complex Methods and Computational Methods in Statistics, 2013. doi:10.1007/978-88-470-2871-5_4. http://hdl.handle.net/2078.1/128515

2012

·  Bauwens, Luc ; Hafner, Christian ; Laurent, Sébastien. Volatility Models. In: Bauwens, L., Hafner, C. and S. Laurent, Handbook of Volatility Models and Their Applications, John Wiley & Sons, Inc.: Hoboken, NJ, USA, 2012, p. 1-45. 978-0-470-87251-2. doi:10.1002/9781118272039.ch1. http://hdl.handle.net/2078.1/119729

Document de travail (Working Paper)

2016

·  Augustyniak, Maciej ; Bauwens, Luc ; Dufays, Arnaud. A New Approach to Volatility Modeling : the High-Dimensional Markov Model (CORE Discussion Paper; 2016/42), 2016. 50 p. http://hdl.handle.net/2078.1/179137

·  Bauwens, Luc ; Braione, Manuela ; STORTI, Giuseppe. A dynamic component model for forecasting high-dimensional realized covariance matrices (CORE DP; 2016/01), 2016. 26 p. http://hdl.handle.net/2078.1/171242

·  Bauwens, Luc ; Braione, Manuela ; Storti, Giuseppe. Multiplicative Conditional Correlation Models for Realized Covariance Matrices (CORE Discussion Paper; 2016/41), 2016. 27 p. http://hdl.handle.net/2078.1/178422

2015

·  Bauwens, Luc ; Carpantier, Jean-Francois ; Dufays, Arnaud. Autoregressive Moving Average Infinite Hidden Markov-Switching Models (CORE DISCUSSION PAPER; 2015/07), 2015. 42 p. http://hdl.handle.net/2078.1/157068

2014

·  Bauwens, Luc ; Grigoryeva, Lyudmila ; Ortega, Juan-Pablo. Estimation and empirical performance of non-scalar dynamic conditional correlation models (CORE Discussion Paper; 2014/12), 2014. http://hdl.handle.net/2078.1/143967

·  Bauwens, Luc ; Braione, Manuela ; Storti, Giuseppe. Forecasting comparison of long term component dynamic models for realized covariance matrices (CORE Disccusion Papers; 2014/53), 2014. 31 p. http://hdl.handle.net/2078.1/152566

2013

·  Bauwens, Luc ; Otranto, Edoardo. Modeling the dependence of conditional correlations on volatility (CORE Discussion Paper; 2013/14), 2013. http://hdl.handle.net/2078.1/128437

2012

·  Bauwens, Luc ; Storti, Giuseppe. Computationally efficient inference procedures for vast dimensional realized covariance models (CORE Discussion Paper; 2012/28), 2012. http://hdl.handle.net/2078.1/112951

·  Bauwens, Luc ; Storti, Giuseppe ; Violante, Francesco. Dynamic conditional correlation models for realized covariance matrices (CORE Discussion Paper; 2012/60), 2012. http://hdl.handle.net/2078.1/122203

·  Wang, Shin-Huei ; Bauwens, Luc ; Hsiao, Cheng. Forecasting long memory processes subject to structural breaks (CORE Discussion Paper; 2012/48), 2012. http://hdl.handle.net/2078/118389

Monographie (Book)

·  Handbook of Volatility Models and Their Applications, éd. Bauwens, Luc ; Hafner, Christian ; laurent, Sébastien, John Wiley & Sons, Inc., 2012. 9780470872512. 568 p. doi:10.1002/9781118272039. http://hdl.handle.net/2078.1/119799

Yukai Yang

Document de travail (Working Paper)

2014

·  Terasvirta, Timo ; Yang, Yukai. Linearity and misspecification tests for vector smooth transition regression models (CORE Discussion Papers; 2014/61), 2014. 38 p. http://hdl.handle.net/2078.1/152767

·  Terasvirta, Timo ; Yang, Yukai. Specification, estimation and evaluation of vector smooth transition autoregressive models with applications (CORE Discussion Papers; 2014/62), 2014. 43 p. http://hdl.handle.net/2078.1/152768

·  Yang, Yukai. Testing constancy of the error covariance matrix in vector models against parametric alternatives using a spectral decomposition (CORE Discussion Paper; 2014/17), 2014. http://hdl.handle.net/2078.1/143972

Arnaud Dufays

Article de périodique (Journal article)

2017

·  Bauwens, Luc ; Carpentier, Jean-François ; Dufays, Arnaud. Autoregressive moving average infinite hidden Markov-switching models. In: Journal of Business and Economic Statistics, Vol. 35, no.2, p. 162-182 (2017). doi:10.1080/07350015.2015.1123636. http://hdl.handle.net/2078.1/183791

2014

·  Bauwens, Luc ; De Backer, Bruno ; Dufays, Arnaud. A Bayesian method of change-point estimation with recurrent regimes: application to GARCH models. In: Journal of Empirical Finance, Vol. 29, p. 207-229 (2014). doi:10.1016/j.jempfin.2014.06.008. http://hdl.handle.net/2078.1/153254

·  Bauwens, Luc ; Dufays, Arnaud ; Rombouts, Jeroen. Marginal likelihood for Markov-switching and change-point GARCH models. In: Journal of Econometrics, Vol. 178, Part 3, p. 508-522 (2014). doi:10.1016/j.jeconom.2013.08.017. http://hdl.handle.net/2078.1/136057

Document de travail (Working Paper)

2016

·  Augustyniak, Maciej ; Bauwens, Luc ; Dufays, Arnaud. A New Approach to Volatility Modeling : the High-Dimensional Markov Model (CORE Discussion Paper; 2016/42), 2016. 50 p. http://hdl.handle.net/2078.1/179137

2015

·  Bauwens, Luc ; Carpantier, Jean-Francois ; Dufays, Arnaud. Autoregressive Moving Average Infinite Hidden Markov-Switching Models (CORE DISCUSSION PAPER; 2015/07), 2015. 42 p. http://hdl.handle.net/2078.1/157068

·  Dufays, Arnaud ; Rombouts, Jeroen V.K.. SPARSE CHANGE-POINT TIME SERIES MODELS (CORE Discussion Paper; 2015/32), 2015. 45 p. http://hdl.handle.net/2078.1/162985

2014

·  Dufays, Arnaud. On the conjugacy of off-line and online Sequential Monte Carlo Samplers (National Bank of Belgium Working paper; 263), 2014. 46 p. http://hdl.handle.net/2078/155633

·  Carpantier, Jean-François ; Dufays, Arnaud. Specific Markov-switching behaviour for ARMA parameters (CORE Discussion Paper; 2014/14), 2014. http://hdl.handle.net/2078.1/143969

2012

·  Carpantier, Jean-François ; Dufays, Arnaud. Commodities volatility and the theory of storage (CORE Discussion Paper; 2012/37), 2012. http://hdl.handle.net/2078/115338

·  Dufays, Arnaud. Infinite-state Markov-switching for dynamic volatility and correlation models (CORE Discussion Paper; 2012/43), 2012. http://hdl.handle.net/2078/117313

Thèse (Dissertation)

2013

·  Dufays, Arnaud. Modeling structural changes in volatility, prom. : Bauwens, Luc, 11/07/2013. http://hdl.handle.net/2078.1/132402

Daniel Koch

 
Thèse (Dissertation)
2015
  • Koch, Daniel. Multiscale methods for the analysis of high-dimensional locally stationary time series, prom. : Van Bellegem, Sébastien, 05/06/2015. http://hdl.handle.net/2078.1/162316
Michel Denuit
 
(incl. Pechon, Florian; Pigeon, Mathieu; Gbari, Kock Yed Ake Samuel; Lucas, Nathalie)

Michel Denuit

 
Article de périodique (Journal article)
2017
  • Denuit, Michel ; Mesfioui, Mhamed. Bounds on Kendall’s tau for zero-inflated continuous variables. In: Statistics & Probability Letters, Vol. 126, p. 173-178 (2017). doi:10.1016/j.spl.2017.03.005. http://hdl.handle.net/2078.1/185242
  • Denuit, Michel ; Mesfioui, Mhamed. Preserving the Rothschild–Stiglitz type increase in risk with background risk: A characterization. In: Insurance: Mathematics and Economics, Vol. 72, p. 1-5 (2017). doi:10.1016/j.insmatheco.2016.10.012 (Accepté/Sous presse). http://hdl.handle.net/2078.1/179332
  • Cheung, Ka Chun ; Denuit, Michel ; Dhaene, Jan. Tail mutual exclusivity and Tail-VaR lower bounds. In: Scandinavian Actuarial Journal, Vol. 2017, no.1, p. 88-104 (2017). doi:10.1080/03461238.2015.1084945. http://hdl.handle.net/2078.1/180457
2016
  • Denuit, Michel ; Trufin, Julien. From regulatory life tables to stochastic mortality projections: The exponential decline model. In: Insurance: Mathematics and Economics, Vol. 71, p. 295-303 (2016). doi:10.1016/j.insmatheco.2016.09.015. http://hdl.handle.net/2078.1/179330
  • Denuit, Michel ; Mesfioui, Mhamed. Multivariate Higher-Degree Stochastic Increasing Convexity. In: Journal of Theoretical Probability, Vol. 29, no.4, p. 1599-1623 (2016). doi:10.1007/s10959-015-0628-6. http://hdl.handle.net/2078.1/179329
  • Denuit, Michel ; Eeckhoudt, Louis. Risk aversion, prudence, and asset allocation : a review and some new developments. In: Theory and Decision : an international journal for multidisciplinary advances in decision sciences, Vol. 80, no. 2, p. 227-243 (2016). doi:10.1007/s11238-015-9503-2. http://hdl.handle.net/2078.1/171514
  • Gbari, Kock Yed Ake Samuel ; Denuit, Michel. Stochastic approximations in CBD mortality projection models. In: Journal of Computational and Applied Mathematics, Vol. 296, p. 102-115 (2016). doi:10.1016/j.cam.2015.09.020. http://hdl.handle.net/2078.1/168080
  • Denuit, Michel ; Eeckhoudt, Louis ; Liu, Liqun ; Meyer, Jack. Tradeoffs for Downside Risk-Averse Decision-Makers and the Self-Protection Decision. In: The Geneva Risk and Insurance Review, Vol. 41, no.1, p. 19-47 (2016). doi:10.1057/grir.2015.3. http://hdl.handle.net/2078.1/172847
2015
  • Denuit, Michel ; Huang, Rachel ; Tzeng, Larry. Almost expectation and excess dependence notions. In: Theory and Decision : an international journal for multidisciplinary advances in decision sciences, Vol. 79, no. 3, p. 375-401 (2015). doi:10.1007/s11238-014-9476-6. http://hdl.handle.net/2078.1/168077
  • Mesfioui, Mhamed ; Denuit, Michel. Comonotonicity, orthant convex order and sums of random variables. In: Statistics & Probability Letters, Vol. 96, p. 356-364 (2015). doi:10.1016/j.spl.2014.10.004. http://hdl.handle.net/2078.1/154663
  • Denuit, Michel ; Kiriliouk, Anna ; Segers, Johan. Max-factor individual risk models with application to credit portfolios. In: Insurance: Mathematics and Economics, Vol. 62, p. 162-172 (2015). doi:10.1016/j.insmatheco.2015.03.006. http://hdl.handle.net/2078.1/159060
2014
  • Denuit, Michel ; Liu, Liqun ; Meyer, Jack. A separation theorem for the weak s-convex orders. In: Insurance: Mathematics and Economics, Vol. 59, p. 279-284 (2014). doi:10.1016/j.insmatheco.2014.10.008. http://hdl.handle.net/2078.1/154433
  • Denuit, Michel ; Huang, Rachel J. ; Wang, Christine. Almost marginal conditional stochastic dominance. In: Journal of Banking & Finance, Vol. 41, p. 57-66 (2014). doi:10.1016/j.jbankfin.2013.12.014. http://hdl.handle.net/2078.1/139531
  • Denuit, Michel ; Rey, Béatrice. Benchmark values for higher order coefficients of relative risk aversion. In: Theory and Decision : an international journal for multidisciplinary advances in decision sciences, Vol. 76, no. 1, p. 81-94 (2014). doi:10.1007/s11238-013-9353-8. http://hdl.handle.net/2078.1/139529
  • Denuit, Michel ; Huang, Rachel ; Tzeng, Larry. Bivariate almost stochastic dominance. In: Economic Theory, Vol. 57, no. 2, p. 377-405 (2014). doi:10.1007/s00199-014-0826-y. http://hdl.handle.net/2078.1/146400
  • Denuit, Michel ; Liu, Liqun. Decreasing higher-order absolute risk aversion and higher-degree stochastic dominance. In: Theory and Decision : an international journal for multidisciplinary advances in decision sciences, Vol. 76, no. 2, p. 287-295 (2014). doi:10.1007/s11238-013-9374-3. http://hdl.handle.net/2078.1/139530
  • Gbari, Kock Yed Ake Samuel ; Denuit, Michel. Efficient approximations for numbers of survivors in the Lee–Carter model. In: Insurance: Mathematics and Economics, Vol. 59, p. 71-77 (2014). doi:10.1016/j.insmatheco.2014.08.007. http://hdl.handle.net/2078.1/151306
  • Pigeon, Mathieu ; Henry de Frahan, Bruno ; Denuit, Michel. Evaluation of the EU proposed farm income stabilisation tool by skew normal linear mixed models. In: European Actuarial Journal, Vol. 4, no. 2, p. 383-409 (2014). doi:10.1007/s13385-014-0097-9. http://hdl.handle.net/2078.1/146415
2013
  • Denuit, Michel ; Mesfioui, Mhamed. A sufficient condition of crossing type for the bivariate orthant convex order. In: Statistics & Probability Letters, Vol. 83, no.1, p. 157-162 (2013). doi:10.1016/j.spl.2012.07.014. http://hdl.handle.net/2078.1/125319
  • Denuit, Michel ; Rey, Béatrice. Another look at risk apportionment. In: Journal of Mathematical Economics, Vol. 49, no. 4, p. 335-343 (2013). doi:10.1016/j.jmateco.2013.04.007. http://hdl.handle.net/2078.1/133118
  • Denuit, Michel ; Haberman, Steven ; Renshaw, Arthur E.. Approximations for quantiles of life expectancy and annuity values using the parametric improvement rate approach to modelling and projecting mortality. In: European Actuarial Journal, Vol. 3, no. 1, p. 191-201 (2013). doi:10.1007/s13385-013-0065-9. http://hdl.handle.net/2078.1/133117
  • Denuit, Michel ; Eeckhoudt, Louis. Improving your chances: A new result. In: Economics Letters, Vol. 118, no.3, p. 475-477 (2013). doi:10.1016/j.econlet.2012.12.016. http://hdl.handle.net/2078.1/125366
  • Denuit, Michel ; Eeckhoudt, Louis ; Jokung, Octave. Non-differentiable transformations preserving stochastic dominance. In: Journal of the Operational Research Society, Vol. 64, no. 9, p. 1441-1446 (2013). doi:10.1057/jors.2012.140. http://hdl.handle.net/2078.1/133116
  • Denuit, Michel ; Mesfioui, Mhamed. Ordering Functions of Random Vectors, with Application to Partial Sums. In: Journal of Theoretical Probability, Vol. 26, no. 2, p. 474-479 (2013). doi:10.1007/s10959-012-0402-y. http://hdl.handle.net/2078.1/129536
  • Denuit, Michel ; Eeckhoudt, Louis. Risk attitudes and the value of risk transformations. In: International Journal of Economic Theory, Vol. 9, no.3, p. 245-254 (September 2013). doi:10.1111/j.1742-7363.2013.12017.x. http://hdl.handle.net/2078.1/139501
  • Denuit, Michel ; Eeckhoudt, Louis ; Schlesinger, Harris. When Ross meets Bell: The linex utility function. In: Journal of Mathematical Economics, Vol. 49, no. 2, p. 177-182 (2013). doi:10.1016/j.jmateco.2013.01.006. http://hdl.handle.net/2078.1/127028
2012
  • Denuit, Michel ; Dhaene, Jan. Convex order and comonotonic conditional mean risk sharing. In: Insurance: Mathematics and Economics, Vol. 51, no.2, p. 265-270 (2012). doi:10.1016/j.insmatheco.2012.04.005. http://hdl.handle.net/2078.1/125315
Contribution à ouvrage collectif (Book Chapter)
2013
  • Denuit, Michel ; Eeckhoudt, Louis ; Tsetlin, Ilia ; Winkler, Robert. Multivariate Concave and Convex Stochastic Dominance. In: Francesca Biagini, Andreas Richter, Harris Schlesinger, Risk Measures and Attitudes (European Actuarial Academy Series), springer-Verlag: London, 2013, 11-32. 978-1-4471-4925-5. doi:10.1007/978-1-4471-4926-2. http://hdl.handle.net/2078.1/125881
Document de travail (Working Paper)
2016
  • Denuit, Michel ; Mesfioui, Mhamet ; Trufin, Julien. Bounds on Concordance-Based Validation Statistics in Regression Models for Binary Responses (ISBA Discussion Paper; 2016/46), 2016. 16 p. http://hdl.handle.net/2078.1/179286
  • Denuit, Michel ; Mesfioui, Mhamed. Bounds on Kendall’s Tau for Zero-Inflated Continuous Variables (ISBA Discussion Paper; 2016/43), 2016. 7 p. http://hdl.handle.net/2078.1/179274
  • Denuit, Michel ; Trufin, Julien. Collective Loss Reserving with Two Types of Claims in Motor Third Party Liability Insurance (ISBA Discussion Paper; 2016/29), 2016. 24 p. http://hdl.handle.net/2078.1/176388
  • Denuit, Michel ; Trufin, Julien. Hybrid Loss Development Modelling in P&C Insurance with an Application to Motor Third Party Liability (ISBA Discussion Paper; 2016/08), 2016. 25 p. http://hdl.handle.net/2078.1/172850
  • Denuit, Michel. Risk Apportionment and Multiply Monotone Targets (ISBA Discussion Paper; 2016/44), 2016. 5 p. http://hdl.handle.net/2078.1/179282
  • Denuit, Michel ; Legrand, Catherine. Risk Classification in Life Insurance: Extension to Continuous Covariates (ISBA Discussion Paper; 2016/45), 2016. 6 p. http://hdl.handle.net/2078.1/179284
2015
  • Denuit, Michel ; Trufin, Julien. From Regulatory Life Tables to Stochastic Mortality Projections: The Exponential Decline Model (ISBA Discussion Paper; 2015/26), 2015. 21 p. http://hdl.handle.net/2078.1/172849
  • Cheung, Ka Chung ; Denuit, Michel ; Dhaene, Jan. Tail mutual exclusivity and Tail-VaR lower bounds (ISBA Discussion Paper; 2015/02), 2015. 18 p. http://hdl.handle.net/2078.1/157624
2014
  • Denuit, Michel ; Liu, Liqun ; Meyer, Jack. A separation theorem for the weak S-Convex Orders (ISBA Discussion Paper; 2014/40), 2014. 13 p. http://hdl.handle.net/2078.1/152131
  • Mesfioui, Mhamed ; Denuit, Michel. Comonotonicity, orthant convex order and sums of random variables (ISBA Discussion Paper; 2014/02), 2014. 14 p. http://hdl.handle.net/2078.1/139331
  • Gbari, Kock Yed Ake Samuel ; Denuit, Michel. Efficient approximations for numbers of survivors in the Lee-Carter model (ISBA Discussion Paper; 2014/05), 2014. 22 p. http://hdl.handle.net/2078.1/140391
  • Pigeon, Mathieu ; Henry de Frahan, Bruno ; Denuit, Michel. Evaluation of the EU Proposed Farm Income Stabilisation Tool by Skew Normal Linear Mixed Models (ISBA Discussion Paper; 2014/03), 2014. 23 p. http://hdl.handle.net/2078.1/139359
  • Denuit, Michel ; Kiriliouk, Anna ; Segers, Johan. Max-Factor individual risk models with application to credit portfolios (ISBA Discussion Paper; 2014/48), 2014. 26 p. http://hdl.handle.net/2078.1/154837
  • Bernard, Carole ; Denuit, Michel ; Vanduffel, Steven. Measuring Portfolio Risk under Partial Dependence Information (ISBA Discussion Paper; 2014/09), 2014. 30 p. http://hdl.handle.net/2078.1/141774
  • Pigeon, Mathieu ; Denuit, Michel. Multivariate Skew-Normal Individual Excess-of-Loss Reserving (ISBA Discussion Paper; 2014/29), 2014. 20 p. http://hdl.handle.net/2078.1/146543
  • Denuit, Michel ; Eeckhoudt, Louis. Prudence, Diversification and Optimal Portfolios (ISBA Discussion Paper; 2014/36), 2014. 16 p. http://hdl.handle.net/2078.1/152129
  • Gbari, Kock Yed Ake Samuel ; Denuit, Michel. Stochastic approximations In CBD mortality projection models (ISBA Discussion Paper; 2014/45), 2014. 20 p. http://hdl.handle.net/2078.1/154835
2013
  • Denuit, Michel ; Huang, Rachel ; Tzeng, Larry. Almost Expectation and Excess Dependence Notions (ISBA Discussion Paper; 2013/05), 2013. 23 p. http://hdl.handle.net/2078.1/125797
  • Denuit, Michel ; Huang, Rachel ; Tzeng, Larry. Bivariate Almost Stochastic Dominance (ISBA Discussion Paper; 2013/02), 2013. 24 p. http://hdl.handle.net/2078.1/125786
  • Denuit, Michel ; Liu, Liqun. Decreasing higher-order absolute risk aversion and higher-degree stochastic dominance (ISBA Discussion Paper; 2013/07), 2013. 8 p. http://hdl.handle.net/2078.1/126998
  • Denuit, Michel ; Mesfioui, Mhamed. Multivariate higher-degree stochastic increasing convexity (ISBA Discussion paper; 2013/16), 2013. 17 p. http://hdl.handle.net/2078.1/127965
2012
  • Denuit, Michel ; Mesfioui, Mhamed. A sufficient condition of crossing-type for the bivariate orthant convex order (ISBA Discussion Paper; 2012/28), 2012. 10 p. http://hdl.handle.net/2078.1/128905
  • Denuit, Michel ; Huang, Rachel ; Tzeng, Larry. Almost Marginal Conditional Stochastic Dominance (ISBA Discussion Paper; 2012/33), 2012. 13 p. http://hdl.handle.net/2078.1/128933
  • Denuit, Michel ; Haberman, Steven ; Renshaw, Arthur. Approximations for quantiles of life expectancy and annuity values using the parametric improvement rate approach to modelling and projecting mortality (ISBA Discussion Paper; 2012/34), 2012. 10 p. http://hdl.handle.net/2078.1/128937
  • Pigeon, Mathieu ; Henry de Frahan, Bruno ; Denuit, Michel. Evaluation of the EU proposed Farm Income Stabilisation Tool (ISBA Discussion Paper; 2012/26), 2012. 22 p. http://hdl.handle.net/2078.1/128837
  • Denuit, Michel ; Eeckoudt, Louis. Improving your chances: An extension of Jindapon and Neilson (2007) (ISBA Discussion Paper; 2012/08), 2012. 2 p. http://hdl.handle.net/2078.1/110126
  • Denuit, Michel ; Eeckhoudt, Louis. Risk attitudes and the value of risk transformations (ISBA Discussion Paper; 2012/07), 2012. 11 p. http://hdl.handle.net/2078.1/110125
  • Denuit, Michel ; Rey, Béatrice. Uni- And Multidimensional Risk Attitudes: Some Unifying Theorems (ISBA Discussion Paper; 2012/14), 2012. 13 p. http://hdl.handle.net/2078.1/110509

 

Samuel, Gbari

 
Article de périodique (Journal article)
 
2016
  • Gbari, Kock Yed Ake Samuel ; Denuit, Michel. Stochastic approximations in CBD mortality projection models. In: Journal of Computational and Applied Mathematics, Vol. 296, p. 102-115 (2016). doi:10.1016/j.cam.2015.09.020. http://hdl.handle.net/2078.1/168080
2014
  • Gbari, Kock Yed Ake Samuel ; Denuit, Michel. Efficient approximations for numbers of survivors in the Lee–Carter model. In: Insurance: Mathematics and Economics, Vol. 59, p. 71-77 (2014). doi:10.1016/j.insmatheco.2014.08.007. http://hdl.handle.net/2078.1/151306

 

Thèse (Dissertation)
2017

Mathieu Pigeon

 
Article de périodique (Journal article)
2014
  • Pigeon, Mathieu ; Henry de Frahan, Bruno ; Denuit, Michel. Evaluation of the EU proposed farm income stabilisation tool by skew normal linear mixed models. In: European Actuarial Journal, Vol. 4, no. 2, p. 383-409 (2014). doi:10.1007/s13385-014-0097-9. http://hdl.handle.net/2078.1/146415

 

Thèse (Dissertation)
2014
Christian Hafner    
 
(incl. Braione, Manuela; Pierret, Diane; Bocart, Fabian; Kyriakopoulou, Dimitra)                 

Christian Hafner

Article de périodique (Journal article)

2017

· Hafner, Christian; Walders, Fabian. Heterogeneous Liquidity Effects in Corporate Bond Spreads. In: The Journal of Fixed Income, Vol. 26, p. 73-91 (2017). doi:10.3905/jfi.2017.26.4.073. http://hdl.handle.net/2078.1/191387

· Hafner, Christian ; Linton, Oliver. An Almost Closed Form Estimator For The EGARCH Model. In: Econometric Theory, Vol. 33, no. 4, p. 1013-1038 (August 2017). doi:10.1017/S0266466616000256. http://hdl.handle.net/2078.1/180489

·  Hafner, Christian ; Lauwers, Alexandre. An augmented Taylor rule for the Federal Reserve's response to asset prices. In: International Journal of Computational Economics and Econometrics, Vol. 7, no. 1/2, p. 115-151 (2017). doi:10.1504/IJCEE.2017.10000628. http://hdl.handle.net/2078.1/171468

·  Daniel, Betty ; Hafner, Christian ; Manner, Hans ; Simar, Léopold. Asymmetries in Business Cycles and the Role of Oil Prices. In: Macroeconomic Dynamics, p. n/a-n/a (Accepté/Sous presse). http://hdl.handle.net/2078.1/187200

·  Hafner, Christian ; Preminger, Arie. On Asymptotic Theory for ARCH (∞) Models. In: Journal of Time Series Analysis, Vol. 38, p. 865-879 (2017). doi:10.1111/jtsa.12239. http://hdl.handle.net/2078.1/190444

·  Hafner, Christian ; Laurent, Sebastien ; Violante, Francesco. Weak Diffusion Limits of Dynamic Conditional Correlation Models. In: Econometric Theory, Vol. 33, no. (n/a), p. 691-716 (2017). doi:10.1017/S0266466616000128. http://hdl.handle.net/2078.1/180490

2016

·  Breitung, Jörg ; Hafner, Christian. A simple model for now-casting volatility series. In: International Journal of Forecasting, Vol. 32, no.4, p. 1247-1255 (2016). doi:10.1016/j.ijforecast.2016.04.007. http://hdl.handle.net/2078.1/180491

·  Hafner, Christian ; Premiger, Arie. The effect of additive outliers on a fractional unit root test. In: A St A - Advances in Statistical Analysis, Vol. 100, no. 4, p. 401-420 (2016). doi:10.1007/s10182-015-0265-5. http://hdl.handle.net/2078.1/171467

·  Hafner, Christian ; Manner, Hans ; Simar, Léopold. The “wrong skewness” problem in stochastic frontier models: A new approach. In: Econometric Reviews, no. (n/a, Available online: 14 Jan 2016), p. 1-21 (2016). doi:10.1080/07474938.2016.1140284 (Accepté/Sous presse). http://hdl.handle.net/2078.1/162910

2015

·  Hafner, Christian ; Preminger, Arie. A note on the Tobit model in the presence of a duration variable. In: Economics Letters, Vol. 126, p. 47-50 (2015). doi:10.1016/j.econlet.2014.11.010. http://hdl.handle.net/2078.1/171456

·  Hafner, Christian ; Preminger, Arie. An ARCH model without intercept. In: Economics Letters, Vol. 129, p. 13-17 (2015). doi:10.1016/j.econlet.2015.01.029. http://hdl.handle.net/2078.1/171460

·  Bocart, Fabian Y.R.P. ; Hafner, Christian. Fair Revaluation of Wine as an Investment. In: Journal of Wine Economics, Vol. 10, no.2, p. 190-203 (2015). doi:10.1017/jwe.2015.20. http://hdl.handle.net/2078.1/171464

·  Ben Omrane, Walid ; Hafner, Christian. Macroeconomic news surprises and volatility spillover in foreign exchange markets. In: Empirical Economics : a quarterly journal of the Institute for Advanced Studies, Vienna, Vol. 48, no. 2, p. 577-607 (2015). doi:10.1007/s00181-013-0792-4. http://hdl.handle.net/2078.1/154922

·  Bocart, Fabian ; Hafner, Christian. Volatility of price indices for heterogenous goods with applications to the fine art market. In: Journal of Applied Econometrics, Vol. 30, no. 2, p. 291-312 (2015). doi:10.1002/jae.2355. http://hdl.handle.net/2078.1/154921

2014

·  McAleer, Michael ; Hafner, Christian. A One Line Derivation of EGARCH. In: Econometrics, Vol. 2, no.2, p. 92-97 (2014). doi:10.3390/econometrics2020092. http://hdl.handle.net/2078.1/152629

·  Bertrand, Aurélie ; Hafner, Christian. On heterogeneous latent class models with applications to the analysis of rating scores. In: Computational Statistics, Vol. 29, no. 1-2, p. 307-330 (2014). doi:10.1007/s00180-013-0450-5. http://hdl.handle.net/2078.1/152626

·  Gao, Renfei ; Wang, Cindy ; Hafner, Christian. The Impact of Acquisitions on New Technology Stocks: The Google–Motorola Case. In: Annals of Financial Economics, Vol. 9, no. 2, p. 3-35 (2014). doi:10.1142/S2010495214400028. http://hdl.handle.net/2078.1/152630

2013

·  Hafner, Christian ; Pierret, Diane. Multivariate volatility modeling of electricity futures, collab. Bauwens, Luc. In: Journal of Applied Econometrics, Vol. 28, no.5, p. 743-761 (2013). doi:10.1002/jae.2280. http://hdl.handle.net/2078.1/135148

2012

·  Hafner, Christian. Cross-correlating wavelet coefficients with applications to high-frequency financial time series. In: Journal of Applied Statistics, Vol. 39, no.6, p. 1363-1379 (2012). doi:10.1080/02664763.2011.649716. http://hdl.handle.net/2078.1/119721

·  Hafner, Christian ; Manner, Hans. Dynamic stochastic copula models: estimation, inference and applications. In: Journal of Applied Econometrics, Vol. 27, no. 2, p. 269-295 (March 2012). doi:10.1002/jae.1197. http://hdl.handle.net/2078.1/107856

·  Bocart, Fabian ; Hafner, Christian. Econometric analysis of volatile art markets. In: Computational Statistics & Data Analysis, Vol. 56, no. 11, p. 3091-3104 (2012). doi:10.1016/j.csda.2011.10.019. http://hdl.handle.net/2078.1/119711

·  Hafner, Christian ; Reznikova, Olga. On the estimation of dynamic conditional correlation models. In: Computational Statistics & Data Analysis, Vol. 56, no. 11, p. 3533-3545 (2012). doi:10.1016/j.csda.2010.09.022. http://hdl.handle.net/2078.1/119718

Contribution à ouvrage collectif (Book Chapter)

2014

·  Härdle, Wolfgang Karl ; Prastyo, Dedy Dwi ; Hafner, Christian. Support Vector Machines with Evolutionary Model Selection for Default Prediction. In: Jeffrey S. Racine, Liangjun Su, and Aman Ullah, The Oxford handbook of applied nonparametric and semiparametric econometrics and statistics, Oxford University Press, 2014, 346-373. 978-0-19-985794-4. http://hdl.handle.net/2078.1/144250

2012

·  Hafner, Christian ; Manner, Hans. Multivariate Time Series Models for Asset Prices. In: Duan, Jin Chuan Härdle, Wolfgang Karl Gentle, James E., Handbook of Computational Finance, Springer: London, 2012, p. 89-115. 978-3-642-17253-3. doi:10.1007/978-3-642-17254-0_5. http://hdl.handle.net/2078.1/106846

·  Bauwens, Luc ; Hafner, Christian ; Laurent, Sébastien. Volatility Models. In: Bauwens, L., Hafner, C. and S. Laurent, Handbook of Volatility Models and Their Applications, John Wiley & Sons, Inc.: Hoboken, NJ, USA, 2012, p. 1-45. 978-0-470-87251-2. doi:10.1002/9781118272039.ch1. http://hdl.handle.net/2078.1/119729

Document de travail (Working Paper)

2017

·  Daniel, Betty ; Hafner, Christian ; Manner, Hans ; Simar, Léopold. Asymmetries in Business Cycles and the Role of Oil Prices (ISBA Discussion Paper; 2017/10), 2017. 32 p. http://hdl.handle.net/2078.1/185256

·  Hafner, Christian ; Preminger, Arie. On asymptotic theory for ARCH(∞) models (ISBA Discussion Paper; 2017/09), 2017. 22 p. http://hdl.handle.net/2078.1/185255

2016

·  Breitung, Jörg ; Hafner, Christian. A simple model for now-casting volatility series (ISBA Discussion Paper; 2016/35), 2016. 22 p. http://hdl.handle.net/2078.1/177296

·  Hafner, Christian ; Linton, Olivier. An Almost Closed Form Estimator for the EGARCH model (ISBA Discussion Paper; 2016/36), 2016. 29 p. http://hdl.handle.net/2078.1/177297

·  Hafner, Christian ; Linton, Oliver ; Tang, Haihan. Estimation of a Multiplicative Covariance Structure in the Large Dimensional Case (CORE Discussion Paper; 2016/44), 2016. 72 p. http://hdl.handle.net/2078.1/179160

·  Hafner, Christian ; Walders, Fabian. Heterogeneous Liquidity Effects in Corporate Bond Spreads (ISBA Discussion Paper; 2016/50), 2016. 29 p. http://hdl.handle.net/2078.1/185254

·  Gao, Zhengyuan ; Hafner, Christian. Looking Backward and Looking Forward (CORE Discussion Paper; 2016/14), 2016. 35 p. http://hdl.handle.net/2078.1/173946

·  Hafner, Christian ; Preminger, Arie. On asymptotic theory for ARCH(∞) models (CORE Discussion Paper; 2016/30), 2016. http://hdl.handle.net/2078.1/176186

·  Hafner, Christian ; Laurent, Sébastien ; Violante, Francesco. Weak Diffusion Limits of Dynamic Conditional Correlation Models (CORE Discussion paper ISBA Discussion Paper; 2016/09 2016/34), 2016. 34 p. http://hdl.handle.net/2078.1/173539

2015

·  Breitung, Jörg ; Hafner, Christian. A simple model for now-casting volatility series (ISBA Discussion Paper CORE Discussion Paper; 2015/21 2016/04), 2015. 22 p. http://hdl.handle.net/2078.1/167774

·  Hafner, Christian ; Lauwers, Alexandre. An augmented Taylor rule for the Federal Reserve’s response to asset prices (ISBA Discussion Paper; 2015/28), 2015. 36 p. http://hdl.handle.net/2078.1/177295

·  Hafner, Christian ; Preminger, Arie. The effect of additive outliers on a fractional unit root test (ISBA Discussion Paper; 2015/27), 2015. 26 p. http://hdl.handle.net/2078.1/177294

·  Hafner, Christian ; Manner, Hans ; Simar, Léopold. The “wrong skewness” problem in stochastic frontier models: A new approach (ISBA Discussion Paper; 2015/06), 2015. 33 p. http://hdl.handle.net/2078.1/158865

2014

·  Hafner, Christian ; Preminger, Arie. A note on the Tobit model in the presence of a duration variable (ISBA Discussion Paper CORE Discussion Paper; 2014/10 2014/13), 2014. 10 p. http://hdl.handle.net/2078.1/141775

·  Breitung, Jorg ; Hafner, Christian. A simple model for now-casting volatility series (CORE Discussion Papers ISBA Discussion Paper; 2014/60 2014/46), 2014. 19 p. http://hdl.handle.net/2078.1/152766

2013

·  Hafner, Christian ; Linton, Oliver. An almost closed form estimator for the EGARCH model (CORE Discussion Paper ISBA Discussion Paper; 2013/22 2013/10), 2013. 18 p. http://hdl.handle.net/2078.1/128861

·  Bocart, Fabian ; Hafner, Christian. Fair re-valuation of wine as an investment (ISBA Discussion Paper CORE Discussion Paper; 2013/03 2013/25), 2013. 15 p. http://hdl.handle.net/2078.1/125558

·  El Mehdi, Rachida ; Hafner, Christian. Local government efficiency: The case of Moroccan municipalities (ISBA Discussion Paper; 2013/01), 2013. 22 p. http://hdl.handle.net/2078.1/120964

·  Ben Omrane, Walid ; Hafner, Christian. Macroeconomic news surprises and volatility spillover in foreign exchange markets (ISBA Discussion Papers; 2013/59), 2013. 31 p. http://hdl.handle.net/2078.1/141770

·  Härdle, Wolfgang Karl ; Prastyo, Dedy Dwi ; Hafner, Christian. Support Vector Machines with Evolutionary Feature Selection for Default Prediction (ISBA Discussion Paper; 2013/40), 2013. 24 p. http://hdl.handle.net/2078.1/139870

·  Hafner, Christian ; Manner, Hans ; Simar, Léopold. The “wrong skewness” problem in stochastic frontier models: A new approach (ISBA Discussion Paper; 2013/46), 2013. 27 p. http://hdl.handle.net/2078.1/135743

2012

·  El Mehdi, Rachida ; Hafner, Christian. Inference in stochastic frontier analysis with dependent error terms (ISBA Discussion Paper; 2012/38), 2012. 23 p. http://hdl.handle.net/2078.1/120959

·  Bocart, Fabian ; Hafner, Christian. Volatility of price indices for heterogeneous goods (ISBA Discussion Paper; 2012/19), 2012. http://hdl.handle.net/2078.1/128815

Manuela Braione

Article de périodique (Journal article)

2016

·  Braione, Manuela. A time-varying long run HEAVY model. In: Statistics & Probability Letters, Vol. 119, p. 36-44 (2016). doi:10.1016/j.spl.2016.07.006. http://hdl.handle.net/2078.1/184971

· Braione, Manuela ; Scholtes, Nicolas. Forecasting Value-at-Risk under Different Distributional Assumptions. In: Econometrics, Vol. 4, no.3, p. 1-27 (2016). doi:10.3390/econometrics4010003. http://hdl.handle.net/2078.1/173816

Document de travail (Working Paper)

·  Braione, Manuela. A time-varying long run HEAVY model (CORE DP; 2016/02), 2016. 11 p. http://hdl.handle.net/2078.1/171244

2014

·  Braione, Manuela ; Scholtes, Nicolas. Construction of value-at-risk forecasts under different distributional assumptions within a BEKK framework (CORE Discussion Papers; 2014/59), 2014. 32 p. http://hdl.handle.net/2078/152765

Thèse (Dissertation)

2016

·  Braione, Manuela. Component dynamic models for realized covariance matrices, prom. : Bauwens, Luc ; Hafner, Christian, 28/10/2016. http://hdl.handle.net/2078.1/177862

Diane Pierret

Article de périodique (Journal article)

2014

·  Acharya, Viral ; Engle, Robert ; Pierret, Diane. Testing macroprudential stress tests: The risk of regulatory risk weights. In: Journal of Monetary Economics, Vol. 65, p. 36-53 (2014). doi:10.1016/j.jmoneco.2014.04.014. http://hdl.handle.net/2078.1/151305

2013

·  Hafner, Christian ; Pierret, Diane. Multivariate volatility modeling of electricity futures, collab. Bauwens, Luc. In: Journal of Applied Econometrics, Vol. 28, no.5, p. 743-761 (2013). doi:10.1002/jae.2280. http://hdl.handle.net/2078.1/135148

Document de travail (Working Paper)

2014

·  Pierret, Diane. Systemic risk and the solvency-liquidity nexus of banks (CORE Discussion Paper ISBA Discussion Paper; 2014/38 2014/56), 2014. http://hdl.handle.net/2078.1/152299

2013

·  Pierret, Diane. The systemic risk of energy markets (CORE Discussion Paper ISBA Discussion Paper; 2013/18 2013/61), 2013. http://hdl.handle.net/2078.1/128727

Thèse (Dissertation)

2014

·  Pierret, Diane. Essays on comovements and systemic risk in energy and financial sectors, prom. : Bauwens, Luc ; Hafner, Christian, 20/06/2014. http://hdl.handle.net/2078.1/145167

Fabian Bocart

Article de périodique (Journal article)

2015

·  Bocart, Fabian ; Hafner, Christian. Volatility of price indices for heterogenous goods with applications to the fine art market. In: Journal of Applied Econometrics, Vol. 30, no. 2, p. 291-312 (2015). doi:10.1002/jae.2355. http://hdl.handle.net/2078.1/154921

2012

·  Bocart, Fabian ; Hafner, Christian. Econometric analysis of volatile art markets. In: Computational Statistics & Data Analysis, Vol. 56, no. 11, p. 3091-3104 (2012). doi:10.1016/j.csda.2011.10.019. http://hdl.handle.net/2078.1/119711

Document de travail (Working Paper)

2013

·  Bocart, Fabian ; Hafner, Christian. Fair re-valuation of wine as an investment (ISBA Discussion Paper CORE Discussion Paper; 2013/03 2013/25), 2013. 15 p. http://hdl.handle.net/2078.1/125558

·  Bocart, Fabian ; Noh, Hohsuk. Investment in art companies: a proxy for physical art? (ISBA Discussion Paper; 2013/60), 2013. 20 p. http://hdl.handle.net/2078.1/132519

2012

·  Bocart, Fabian ; Hafner, Christian. Volatility of price indices for heterogeneous goods (ISBA Discussion Paper; 2012/19), 2012. http://hdl.handle.net/2078.1/128815

Thèse (Dissertation)

2014

·  Bocart, Fabian. Econometric analysis of alternative assets with applications to the art market, prom. : Hafner, Christian, 25/03/2014. http://hdl.handle.net/2078.1/142462
Johan Segers
 
(incl PST &
Jan Johannes, incl. PST)

Johan Segers

 
Article de périodique (Journal article)
2018
  • Bücher, Axel ; Segers, Johan. Maximum likelihood estimation for the Fréchet distribution based on block maxima extracted from a time series. In: Bernoulli : a journal of mathematical statistics and probability, Vol. 24, no. 2, p. 1427-1462 (2018). doi:10.3150/16-BEJ903 (Accepté/Sous presse). http://hdl.handle.net/2078.1/180480
2017
  • Asmussen, Soren; Ivanovs, Jevgenijs; Segers, Johan. On the longest gap between power-rate arrivals. In: Bernoulli : a journal of mathematical statistics and probability, Vol. to appear, p. n/a-n/a. (Accepté/Sous-presse). http://hdl.handle.net/2078.1/191354
  • Einmahl, John H. J. ; Kiriliouk, Anna ; Segers, Johan. A continuous updating weighted least squares estimator of tail dependence in high dimensions. In: Extremes : statistical theory and applications in science, engineering and economics, , p. (n/a-n/a) (2017). doi:10.1007/s10687-017-0303-7 (Accepté/Sous presse). http://hdl.handle.net/2078.1/189240
  • Sabourin, Anne ; Segers, Johan. Marginal standardization of upper semicontinuous processes with application to max-stable processes. In: Journal of Applied Probability, Vol. 54, no. 3, p. 773-796 (2017). doi:10.1017/jpr.2017.34. doi:https://doi.org/10.1017/jpr.2017.34. http://hdl.handle.net/2078.1/183731
  • Marcon, Giulia ; Padoan, Simone ; Naveau, Philippe ; Muliere, Pietro ; Segers, Johan. Multivariate nonparametric estimation of the Pickands dependence function using Bernstein polynomials. In: Journal of Statistical Planning and Inference, Vol. 183, no.(Available online 3 November 2016), p. 1-17 (2017). doi:10.1016/j.jspi.2016.10.004. http://hdl.handle.net/2078.1/180235
  • Rootzén, Holger; Segers, Johan; Wadsworth, Jennifer. Multivariate generalized Pareto distributions: parametrizations, representations, and properties. In: Journal of Multivariate Analysis, Vol. to appear, p. n/a-n/a. (Accepté/Sous-presse). http://hdl.handle.net/2078.1/191395
  • Rootzén, Holger ; Segers, Johan ; Wadsworth, Jennifer. Multivariate peaks over thresholds models. In: Extremes : statistical theory and applications in science, engineering and economics, Vol. Firs online 23 June 2017 (2017). doi:10.1007/s10687-017-0294-4 (Accepté/Sous presse). http://hdl.handle.net/2078.1/187125
  • Bücher, Axel ; Segers, Johan. On the maximum likelihood estimator for the Generalized Extreme-Value distribution. In: Extremes : statistical theory and applications in science, engineering and economics, Vol. 20, p. 839-872 (2017). doi:10.1007/s10687-017-0292-6. http://hdl.handle.net/2078.1/183984
  • Segers, Johan ; Zhao, Yuwei ; Meinguet, Thomas. Polar decomposition of regularly varying time series in star-shaped metric spaces. In: Extremes : statistical theory and applications in science, engineering and economics, Vol. 20, no. 3, p. 539-566 (2017). doi:10.1007/s10687-017-0287-3. http://hdl.handle.net/2078.1/183733
  • Segers, Johan ; Sibuya, Masaaki ; Tsukahara, Hideatsu. The empirical beta copula. In: Journal of Multivariate Analysis, Vol. 155, no.(n/a, Available online 1 December 2016), p. 35-51 (2017). doi:10.1016/j.jmva.2016.11.010. http://hdl.handle.net/2078.1/180469
2016
  • Einmahl, John ; Kiriliouk, Anna ; Krajina, Andrea ; Segers, Johan. An M-estimator of spatial tail dependence. In: Journal of the Royal Statistical Society. Series B, Statistical methodology, Vol. 78, no. 1, p. 275-298 (2016). http://hdl.handle.net/2078.1/159064
2015
  • Segers, Johan. Hybrid copula estimators. In: Journal of Statistical Planning and Inference, Vol. 160, p. 23-34 (2015). doi:10.1016/j.jspi.2014.11.006. http://hdl.handle.net/2078.1/154645
  • Denuit, Michel ; Kiriliouk, Anna ; Segers, Johan. Max-factor individual risk models with application to credit portfolios. In: Insurance: Mathematics and Economics, Vol. 62, p. 162-172 (2015). doi:10.1016/j.insmatheco.2015.03.006. http://hdl.handle.net/2078.1/159060
  • Hobæk Haff, Ingrid ; Segers, Johan. Nonparametric estimation of pair-copula constructions with the empirical pair-copula. In: Computational Statistics & Data Analysis, Vol. 84, p. 1-13 (2015). doi:10.1016/j.csda.2014.10.020. http://hdl.handle.net/2078.1/154439
  • Drees, Holger ; Segers, Johan ; Warchol, Michal. Statistics for Tail Processes of Markov Chains. In: Extremes : statistical theory and applications in science, engineering and economics, Vol. 18, no. 3, p. 369-402 (2015). doi:10.1007/s10687-015-0217-1. http://hdl.handle.net/2078.1/159066
2014
  • Bücher, Axel ; Kojadinovic, Ivan ; Rohmer, Tom ; Segers, Johan. Detecting changes in cross-sectional dependence in multivariate time series. In: Journal of Multivariate Analysis, Vol. 132, p. 111-128 (2014). doi:10.1016/j.jmva.2014.07.012. http://hdl.handle.net/2078.1/151300
  • Bücher, Axel ; Segers, Johan. Extreme value copula estimation based on block maxima of a multivariate stationary time series. In: Extremes : statistical theory and applications in science, engineering and economics, Vol. 17, p. 495-528 (2014). doi:10.1007/s10687-014-0195-8. http://hdl.handle.net/2078.1/144722
  • Janssens, Anja ; Segers, Johan. Markov tail chains. In: Journal of Applied Probability, Vol. 51, no. 4, p. 1133-1153 (2014). http://hdl.handle.net/2078.1/144707
  • Grothe, Olivier ; Schnieders, Julius ; Segers, Johan. Measuring association and dependence between random vectors. In: Journal of Multivariate Analysis, Vol. 123, p. 91-110 (2014). doi:10.1016/j.jmva.2013.08.019. http://hdl.handle.net/2078.1/135897
  • Segers, Johan ; Uyttendaele, Nathan. Nonparametric estimation of the tree structure of a nested Archimedean copula. In: Computational Statistics & Data Analysis, Vol. 72, p. 190-204 (2014). doi:10.1016/j.csda.2013.10.028. http://hdl.handle.net/2078.1/135902
  • Segers, Johan ; Van den Akker, Ramon ; Werker, Bas. Semiparametric Gaussian copula models: Geometry and efficient rank-based Estimation. In: Annals of Statistics, Vol. 42, no. 5, p. 1911-1940 (2014). doi:10.1214/14-AOS1244. http://hdl.handle.net/2078.1/144711
  • Bücher, Axel ; Segers, Johan ; Volgushev, Stanislav. When uniform weak convergence fails: empirical processes for dependence functions via epi- and hypographs. In: Annals of Statistics, Vol. 42, no. 4, p. 1598-1634 (2014). doi:10.1214/14-AOS1237. http://hdl.handle.net/2078.1/144709
2013
  • de Carvalho, Miguel ; Oumow, Boris ; Segers, Johan ; Warchol, Michal. A Euclidean Likelihood Estimator for Bivariate Tail Dependence. In: Communications in Statistics: Theory and Methods, Vol. 42, no. 7, p. 1176-1192 (2013). doi:10.1080/03610926.2012.709905. http://hdl.handle.net/2078.1/127021
2012
  • Basrak, Bojan ; Krizmanić, Danijel ; Segers, Johan. A functional limit theorem for dependent sequences with infinite variance stable limits. In: The Annals of Probability, Vol. 40, no. 5, p. 2008-2033 (2012). doi:10.1214/11-AOP669. http://hdl.handle.net/2078.1/130801
  • Einmahl, John H. J. ; Krajina, Andrea ; Segers, Johan. An M-estimator for tail dependence in arbitrary dimensions. In: The Annals of Statistics, Vol. 40, no.3, p. 1764-1793 (2012). doi:10.1214/12-AOS1023. http://hdl.handle.net/2078.1/130793
  • Segers, Johan. Asymptotics of empirical copula processes under non-restrictive smoothness assumptions. In: Bernoulli : a journal of mathematical statistics and probability, Vol. 18, no.3, p. 764-782 (2012). doi:10.3150/11-BEJ387. http://hdl.handle.net/2078.1/127116
  • Segers, Johan. Max-stable models for multivariate extremes. In: Revstat Statistical Journal, Vol. 10, no.1, p. 61-82 (2012). http://hdl.handle.net/2078.1/127113
  • Segers, Johan. Nonparametric Inference for Max-Stable Dependence. In: Statistical Science : a review journal, Vol. 27, no.2, p. 193-196 (2012). doi:10.1214/11-STS376. http://hdl.handle.net/2078.1/127118
  • Gudendorf, Gordon ; Segers, Johan. Nonparametric estimation of multivariate extreme-value copulas. In: Journal of Statistical Planning and Inference, Vol. 142, no.12, p. 3073-3085 (2012). doi:10.1016/j.jspi.2012.05.007. http://hdl.handle.net/2078.1/127114
Contribution à ouvrage collectif (Book Chapter)
2016
  • Kiriliouk, Anna ; Segers, Johan ; Warchol, Michal. Nonparametric Estimation of Extremal Dependence. In: Dipak K. Dey, Jun Yan, Extreme Value Modeling and Risk Analysis: Methods and Applications (CRC Press), Taylor & Francis Group, 2016, p. 353-369. 9781498701297. http://hdl.handle.net/2078.1/180222
Document de travail (Working Paper)
2017
  • Kiriliouk, Anna ; Segers, Johan ; Tafakori, Laleh. An estimator of the stable tail dependence function based on the empirical beta copula (ISBA Discussion Paper; 2017/28), 2017. http://hdl.handle.net/2078.1/189492
  • Vettori, Sabrina ; Huser, Raphaël ; Segers, Johan ; Genton, Marc. Bayesian Clustering and Dimension Reduction in Multivariate Extremes (ISBA Discussion Paper; 2017/17), 2017. 31 p. http://hdl.handle.net/2078.1/185485
  • Bücher, Axel ; Segers, Johan. Inference for heavy tailed stationary time series based on sliding blocks (ISBA Discussion Paper; 2017/18), 2017. 24 p. http://hdl.handle.net/2078.1/185486
  • Rootzén, Holger ; Segers, Johan ; Wadsworth, Jennifer. Multivariate generalized Pareto distributions: parametrizations, representations, and properties (ISBA Discussion Paper; 2017/16), 2017. 20 p. http://hdl.handle.net/2078.1/185484
  • Asmussen, Soren ; Ivanovs, Jevgenijs ; Segers, Johan. On the longest gap between power-rate arrivals (Discussion Paper; 2017/14), 2017. 18 p. http://hdl.handle.net/2078.1/185482
  • Borel-Mathurin, Fabrice ; Loisel, Stéphane ; Segers, Johan. Reevaluation of the capital charge in insurance after a large shock: empirical and theoretical views (ISBA Discussion Paper; 2017/06), 2017. 25 p. http://hdl.handle.net/2078.1/184734
  • Berghaus, Betina ; Segers, Johan. Weak convergence of the weighted empirical beta copula process (ISBA Discussion Paper; 2017/15), 2017. 23 p. http://hdl.handle.net/2078.1/185483
2016
  • Einmahl, John ; Kiriliouk, Anna ; Segers, Johan. A continuous updating weighted least squares estimator of tail dependence in high dimensions (ISBA Discussion Paper; 2016/02), 2016. 23 p. http://hdl.handle.net/2078.1/171495
  • Sabourin, Anne ; Segers, Johan. Marginal standardization of upper semicontinuous processes with application to max-stable processes (ISBA Discussion Paper; 2016/19), 2016. 26 p. http://hdl.handle.net/2078.1/173621
  • Davis, Richard ; Holger, Drees ; Segers, Johan ; Warchol, Michal. Modeling serial extremal dependence (ISBA Discussion Paper; 2016/16), 2016. 20 p. http://hdl.handle.net/2078.1/173616
  • Marcon, Giulia ; Padoan, Simone ; Naveau, Philippe ; Muliere, Pietro ; Segers, Johan. Multivariate Nonparametric Estimation of the Pickands Dependence Function using Bernstein Polynomials (ISBA Discussion Paper; 2016/20), 2016. 27 p. http://hdl.handle.net/2078.1/173623
  • Rootzén, Holger ; Segers, Johan ; Wadsworth, Jenny. Multivariate peaks over thresholds models (ISBA Discussion Paper; 2016/18), 2016. 32 p. http://hdl.handle.net/2078.1/173619
  • Bücher, Axel ; Segers, Johan. On the Maximum Likelihood Estimator for the Generalized Extreme-Value Distribution (ISBA Discussion Paper; 2016/03), 2016. 29 p. http://hdl.handle.net/2078.1/171497
  • Kiriliouk, Anna ; Rootzén, Holger ; Segers, Johan ; Wadsworth, Jennifer. Peaks over thresholds modelling with multivariate generalized Pareto distributions (IBSA Discussion Paper; 2016/40), 2016. 31 p. http://hdl.handle.net/2078.1/179269
  • Segers, Johan ; Zhao, Yuwei ; Meinguet, Thomas. Radial-angular decomposition of regularly varying time series in star-shaped metric spaces (ISBA Discussion Paper; 2016/17), 2016. 28 p. http://hdl.handle.net/2078.1/173618
  • Segers, Johan ; Sibuya, Masaaki ; Tsukahara, Hideatsu. The Empirical Beta Copula (ISBA Discussion Paper; 2016/32), 2016. 21 p. http://hdl.handle.net/2078.1/176393
2015
  • Bücher, Axel ; Segers, Johan. Maximum likelihood estimation for the Fréchet distribution based on block maxima extracted from a time series (ISBA Discussion Paper; 2015/23), 2015. 40 p. http://hdl.handle.net/2078.1/168137
  • Portier, François ; Segers, Johan. On the weak convergence of the empirical conditional copula under a simplifying assumption (ISBA Discussion Paper; 2015/24), 2015. 36 p. http://hdl.handle.net/2078.1/168138
2014
  • Einmahl, John ; Kiriliouk, Anna ; Krajina, Andrea ; Segers, Johan. An M-estimator of spatial tail dependence (ISBA Discussion Paper; 2014/08), 2014. 25 p. http://hdl.handle.net/2078.1/141771
  • Segers, Johan. Hybrid Copula Estimators (ISBA Discussion Paper; 2014/18), 2014. 15 p. http://hdl.handle.net/2078.1/143956
  • Denuit, Michel ; Kiriliouk, Anna ; Segers, Johan. Max-Factor individual risk models with application to credit portfolios (ISBA Discussion Paper; 2014/48), 2014. 26 p. http://hdl.handle.net/2078.1/154837
  • Kiriliouk, Anna ; Segers, Johan ; Warchol, Michal. Nonparametric estimation of extremal dependence (ISBA Discussion Paper; 2014/44), 2014. 22 p. http://hdl.handle.net/2078.1/154832
  • Segers, Johan. On the asymptotic distribution of the mean absolute deviation about the mean (ISBA Discussion Paper; 2014/26), 2014. 11 p. http://hdl.handle.net/2078.1/145260
  • Drees, Holger ; Segers, Johan ; Warchol, Michal. Statistics for Tail Processes of Markov Chains (ISBA Discussion Paper; 2014/22), 2014. 30 p. http://hdl.handle.net/2078.1/144234
2013
  • Kojadinovic, Ivan ; Rohmer, Tom ; Segers, Johan. Detecting changes in cross-sectional dependence in multivariate time series (ISBA Discussion Paper; 2013/51), 2013. 29 p. http://hdl.handle.net/2078.1/139264
  • Bücher, Axel ; Segers, Johan. Extreme value copula estimation based on block maxima of a multivariate stationary time series (ISBA Discussion Paper; 2013/49), 2013. 30 p. http://hdl.handle.net/2078.1/135775
  • janssen, Anja ; Segers, Johan. Markov Tail Chains (ISBA Discussion paper; 2013/17), 2013. 27 p. http://hdl.handle.net/2078.1/128338
  • Grothe, Oliver ; Schnieders, Julius ; Segers, Johan. Measuring Association and Dependence Between Random Vectors (ISBA Discussion Paper; 2013/26), 2013. 32 p. http://hdl.handle.net/2078.1/130783
  • Segers, Johan ; Uyttendaele, Nathan. Nonparametric estimation of the tree structure of a nested Archimedean copula (ISBA Discussion paper; 2013/09), 2013. 25 p. http://hdl.handle.net/2078.1/127230
  • Segers, Johan ; van den Akker, Ramon ; Werker, Bas. Semiparametric Gaussian copula models: Geometry and efficient rank-based Estimation (ISBA Discussion Paper; 2013/30), 2013. 47 p. http://hdl.handle.net/2078.1/131771
  • Bücher, Axel ; Segers, Johan ; Volgushev, Stanislav. When uniform weak convergence fails: empirical processes for dependence functions via epi- and hypographs (ISBA Discussion Paper; 2013/19), 2013. 44 p. http://hdl.handle.net/2078.1/129418
2012
  • de Carvalho, Miguel ; Oumow, Boris ; Segers, Johan ; Warchoł, Michał. A Euclidean likelihood estimator for bivariate tail dependence (ISBA Discussion Paper; 2012/13), 2012. 18 p. http://hdl.handle.net/2078.1/110508
  • Segers, Johan. MAX-STABLE MODELS FOR MULTIVARIATE EXTREMES (ISBA Discussion Paper; 2012/11), 2012. 22 p. http://hdl.handle.net/2078.1/110130
  • Hoebak Haff, Ingrid ; Segers, Johan. Nonparametric estimation of pair-copula constructions with the empirical pair-copula (ISBA Discussion Paper; 2012/03), 2012. 23 p. http://hdl.handle.net/2078.1/106734
  • Segers, Johan. Nonparametric inference for max-stable dependence : Discussion of "Statistical Modelling of Spatial Extremes" by A. C. Davison, S. Padoan and M. Ribatet, to appear in Statistical Science (ISBA Discussion Paper; 2012/12), 2012. 4 p. http://hdl.handle.net/2078.1/110131

Jan Johannes

Article de périodique (Journal article)
2015
  • Breunig, Christoph ; Johannes, Jan. Adaptive estimation of functionals in nonparametric instrumental regression. In: Econometric Theory, Vol. 32, no. 3, p. 612-654 (2016). doi:10.1017/S0266466614000966. http://hdl.handle.net/2078.1/158983
2014
  • Dunker, Fabian ; Florens, Jean-Pierre ; Hohage, Thorsten ; Johannes, Jan ; Mammen, Enno. Iterative estimation of solutions to noisy nonlinear operator equations in nonparametric instrumental regression. In: Journal of Econometrics, Vol. 178, no.3, p. 444-455 (2014). doi:10.1016/j.jeconom.2013.06.001. http://hdl.handle.net/2078.1/141230
2013
  • Johannes, Jan ; Schwarz, Maik. Adaptive Gaussian Inverse Regression with Partially Unknown Operator. In: Communications in Statistics - Theory and Methods, Vol. 42, no. 7, p. 1343-1362 (2013). doi:10.1080/03610926.2012.731548. http://hdl.handle.net/2078.1/130565
  • Johannes, Jan ; Schwarz, Maik. Adaptive circular deconvolution by model selection under unknown error distribution. In: Bernoulli : a journal of mathematical statistics and probability, Vol. 19, no.5A, p. 1576-1611 (2013). doi:10.3150/12-BEJ422. http://hdl.handle.net/2078.1/152617
  • Johannes, Jan ; Van Bellegem, Sébastien ; Vanhems, Anne. Iterative regularisation in nonparametric instrumental regression. In: Journal of Statistical Planning and Inference, Vol. 143, no.1, p. 24-39 (2013). doi:10.1016/j.jspi.2012.07.010. http://hdl.handle.net/2078.1/116279
  • Johannes, Jan ; Schenk, Rudolf. On rate optimal local estimation in functional linear regression. In: Electronic Journal of Statistics, Vol. 7, p. 191-216 (2013). doi:10.1214/13-EJS767. http://hdl.handle.net/2078.1/127331
  • Bereswill, Mareike ; Johannes, Jan. On the effect of noisy measurements of the regressor in functional linear models. In: Test, Vol. 22, no.3, p. 488-513 (2013). doi:10.1007/s11749-013-0325-7. http://hdl.handle.net/2078.1/152619
2012
  • Johannes, Jan ; Schenk, Rudolf. Adaptive estimation of linear functionals in functional linear models. In: Mathematical Methods of Statistics, Vol. 21, no.3, p. 189-214 (2012). doi:10.3103/S1066530712030027. http://hdl.handle.net/2078.1/127330
  • Comte, Fabienne ; Johannes, Jan. Adaptive functional linear regression. In: Annals of Statistics, Vol. 40, no. 6, p. 2765-2797 (2012). doi:10.1214/12-AOS1050. http://hdl.handle.net/2078.1/127327
  • Florens, Jean-Pierre ; Johannes, Jan ; Van Bellegem, Sébastien. Instrumental regression in partially linear models. In: The Econometrics Journal, Vol. 15, no.2, p. 304-324 (2012). doi:10.1111/j.1368-423X.2011.00358.x. http://hdl.handle.net/2078.1/126973
Contribution à ouvrage collectif (Book Chapter)
2014
  • Johannes, Jan ; Schenk, Rudolf ; Simoni, Anna. adaptive Bayesian estimation in Gaussian. In: Enea G. Bongiorno, Ernesto Salinelli, Aldo Goia, Philippe Vieu, Contributions in Infinite-Dimensional Statistics And Related Topics, Società Editrice Escapulio sad, 2014, p. 162-172. 9788874887637. doi:10.15651/978-88-748-8763-7. http://hdl.handle.net/2078.1/152622
Document de travail (Working Paper)
2016
  • Asin, Nicolas ; Johannes, Jan. Adaptive non-parametric estimation in the presence of dependence (ISBA Discussion Paper; 2016/07), 2016. 39 p. http://hdl.handle.net/2078.1/171509
  • Asin, Nicolas ; Johannes, Jan. Adaptive non-parametric instrumental regression in the presence of dependence (ISBA Discussion Paper; 2016/15), 2016. 53 p. http://hdl.handle.net/2078.1/173547
2015
  • Johannes, Jan ; Simoni, Anna ; Schenk, Rudolf. Adaptive Bayesian estimation in indirect Gaussian sequence space models (ISBA Discussion Paper; 2015/03), 2015. 35 p. http://hdl.handle.net/2078.1/157626
2014
  • Johannes, Jan ; Schenk, Rudolf ; Simoni, Anna. Adaptive Bayesian estimation in Gaussian sequence space models (ISBA Discussion Paper; 2014/06), 2014. 14 p. http://hdl.handle.net/2078.1/141434
2013
  • Breunig, Christoph ; Johannes, Jan. Adaptive estimation of functionals in nonparametric instrumental regression (ISBA Discussion Papers; 2013/58), 2013. 34 p. http://hdl.handle.net/2078.1/141430
  • Dunker , Fabian ; Florens, Jean-Pierre ; Hohage, Thorsten ; Johannes, Jan ; Mammen, Enno. Iterative estimation of solutions to noisy nonlinear operator equations in nonparametric instrumental regression (ISBA Discussion Paper; 2013/41), 2013. 12 p. http://hdl.handle.net/2078.1/135724

Nicolas Asin

 
Document de travail (Working Paper)
2016
  • Asin, Nicolas ; Johannes, Jan. Adaptive non-parametric estimation in the presence of dependence (ISBA Discussion Paper; 2016/07), 2016. 39 p. http://hdl.handle.net/2078.1/171509
  • Asin, Nicolas ; Johannes, Jan. Adaptive non-parametric instrumental regression in the presence of dependence (ISBA Discussion Paper; 2016/15), 2016. 53 p. http://hdl.handle.net/2078.1/173547

Rudolf Schenk

 
Article de périodique (Journal article)
2013
  • Johannes, Jan ; Schenk, Rudolf. On rate optimal local estimation in functional linear regression. In: Electronic Journal of Statistics, Vol. 7, p. 191-216 (2013). doi:10.1214/13-EJS767. http://hdl.handle.net/2078.1/127331
2012
  • Johannes, Jan ; Schenk, Rudolf. Adaptive estimation of linear functionals in functional linear models. In: Mathematical Methods of Statistics, Vol. 21, no.3, p. 189-214 (2012). doi:10.3103/S1066530712030027. http://hdl.handle.net/2078.1/127330
Contribution à ouvrage collectif (Book Chapter)
2014
  • Johannes, Jan ; Schenk, Rudolf ; Simoni, Anna. adaptive Bayesian estimation in Gaussian. In: Enea G. Bongiorno, Ernesto Salinelli, Aldo Goia, Philippe Vieu, Contributions in Infinite-Dimensional Statistics And Related Topics, Società Editrice Escapulio sad, 2014, p. 162-172. 9788874887637. doi:10.15651/978-88-748-8763-7. http://hdl.handle.net/2078.1/152622
Document de travail (Working Paper)
2015
  • Johannes, Jan ; Simoni, Anna ; Schenk, Rudolf. Adaptive Bayesian estimation in indirect Gaussian sequence space models (ISBA Discussion Paper; 2015/03), 2015. 35 p. http://hdl.handle.net/2078.1/157626
2014
  • Johannes, Jan ; Schenk, Rudolf ; Simoni, Anna. Adaptive Bayesian estimation in Gaussian sequence space models (ISBA Discussion Paper; 2014/06), 2014. 14 p. http://hdl.handle.net/2078.1/141434

Nathan Uyttendaele

 
Article de périodique (Journal article)
2017
  • Uyttendaele, Nathan. On the estimation of nested Archimedean copulas: a theoretical and an experimental comparison. In: Computational Statistics, Vol. First Online: 14 June 2017, p. n/a-n/a (2017). doi:10.1007/s00180-017-0743-1 (Accepté/Sous-presse). http://hdl.handle.net/2078.1/191640
2014
  • Segers, Johan ; Uyttendaele, Nathan. Nonparametric estimation of the tree structure of a nested Archimedean copula. In: Computational Statistics & Data Analysis, Vol. 72, p. 190-204 (2014). doi:10.1016/j.csda.2013.10.028. http://hdl.handle.net/2078.1/135902
Document de travail (Working Paper)
2016
  • Mazo, Gildas ; Uyttendaele, Nathan. Building conditionally dependent parametric one-factor copulas (ISBA Discussion Paper; 2016/04), 2016. 25 p. http://hdl.handle.net/2078.1/171498
  • Uyttendaele, Nathan. On the estimation of nested Archimedean copulas: A theoretical and an experimental comparison (ISBA Discussion Paper; 2016/05), 2016. 27 p. http://hdl.handle.net/2078.1/171500
2014
  • Uyttendaele, Nathan. Nested Archimedean copulas: a new class of nonparametric tree structure estimators (ISBA Discussion Paper; 2014/28), 2014. 24 p. http://hdl.handle.net/2078.1/146542
2013
  • Segers, Johan ; Uyttendaele, Nathan. Nonparametric estimation of the tree structure of a nested Archimedean copula (ISBA Discussion paper; 2013/09), 2013. 25 p. http://hdl.handle.net/2078.1/127230
Thèse (Dissertation)
2016

Anna Kiriliouk

 
Article de périodique (Journal article)
2017
  • Einmahl, John H. J. ; Kiriliouk, Anna ; Segers, Johan. A continuous updating weighted least squares estimator of tail dependence in high dimensions. In: Extremes : statistical theory and applications in science, engineering and economics, , p. (n/a-n/a) (2017). doi:10.1007/s10687-017-0303-7 (Accepté/Sous presse). http://hdl.handle.net/2078.1/189240
2016
  • Einmahl, John ; Kiriliouk, Anna ; Krajina, Andrea ; Segers, Johan. An M-estimator of spatial tail dependence. In: Journal of the Royal Statistical Society. Series B, Statistical methodology, Vol. 78, no. 1, p. 275-298 (2016). http://hdl.handle.net/2078.1/159064
2015
  • Denuit, Michel ; Kiriliouk, Anna ; Segers, Johan. Max-factor individual risk models with application to credit portfolios. In: Insurance: Mathematics and Economics, Vol. 62, p. 162-172 (2015). doi:10.1016/j.insmatheco.2015.03.006. http://hdl.handle.net/2078.1/159060
Contribution à ouvrage collectif (Book Chapter)
2016
  • Kiriliouk, Anna ; Segers, Johan ; Warchol, Michal. Nonparametric Estimation of Extremal Dependence. In: Dipak K. Dey, Jun Yan, Extreme Value Modeling and Risk Analysis: Methods and Applications (CRC Press), Taylor & Francis Group, 2016, p. 353-369. 9781498701297. http://hdl.handle.net/2078.1/180222
Document de travail (Working Paper)
2017
  • Kiriliouk, Anna ; Segers, Johan ; Tafakori, Laleh. An estimator of the stable tail dependence function based on the empirical beta copula (ISBA Discussion Paper; 2017/28), 2017. http://hdl.handle.net/2078.1/189492
  • Kiriliouk, Anna. Hypothesis testing for tail dependence parameters on the boundary of the parameter space with application to generalized max-linear models (ISBA Discussion Paper; 2017/27), 2017. 18 p. http://hdl.handle.net/2078.1/189479
2016
  • Einmahl, John ; Kiriliouk, Anna ; Segers, Johan. A continuous updating weighted least squares estimator of tail dependence in high dimensions (ISBA Discussion Paper; 2016/02), 2016. 23 p. http://hdl.handle.net/2078.1/171495
  • Kiriliouk, Anna ; Rootzén, Holger ; Segers, Johan ; Wadsworth, Jennifer. Peaks over thresholds modelling with multivariate generalized Pareto distributions (IBSA Discussion Paper; 2016/40), 2016. 31 p. http://hdl.handle.net/2078.1/179269
2014
  • Einmahl, John ; Kiriliouk, Anna ; Krajina, Andrea ; Segers, Johan. An M-estimator of spatial tail dependence (ISBA Discussion Paper; 2014/08), 2014. 25 p. http://hdl.handle.net/2078.1/141771
  • Denuit, Michel ; Kiriliouk, Anna ; Segers, Johan. Max-Factor individual risk models with application to credit portfolios (ISBA Discussion Paper; 2014/48), 2014. 26 p. http://hdl.handle.net/2078.1/154837
  • Kiriliouk, Anna ; Segers, Johan ; Warchol, Michal. Nonparametric estimation of extremal dependence (ISBA Discussion Paper; 2014/44), 2014. 22 p. http://hdl.handle.net/2078.1/154832
Thèse (Dissertation)
2016
  • Kiriliouk, Anna. Modelling extreme-value dependence in high dimensions using threshold exceedances, prom. : Segers, Johan ; Denuit, Michel, 26/08/2016. http://hdl.handle.net/2078.1/176770

Michal Warchol

 
Article de périodique (Journal article)
2015
  • Drees, Holger ; Segers, Johan ; Warchol, Michal. Statistics for Tail Processes of Markov Chains. In: Extremes : statistical theory and applications in science, engineering and economics, Vol. 18, no. 3, p. 369-402 (2015). doi:10.1007/s10687-015-0217-1. http://hdl.handle.net/2078.1/159066
2013
  • de Carvalho, Miguel ; Oumow, Boris ; Segers, Johan ; Warchol, Michal. A Euclidean Likelihood Estimator for Bivariate Tail Dependence. In: Communications in Statistics: Theory and Methods, Vol. 42, no. 7, p. 1176-1192 (2013). doi:10.1080/03610926.2012.709905. http://hdl.handle.net/2078.1/127021
Contribution à ouvrage collectif (Book Chapter)
2016
  • Kiriliouk, Anna ; Segers, Johan ; Warchol, Michal. Nonparametric Estimation of Extremal Dependence. In: Dipak K. Dey, Jun Yan, Extreme Value Modeling and Risk Analysis: Methods and Applications (CRC Press), Taylor & Francis Group, 2016, p. 353-369. 9781498701297. http://hdl.handle.net/2078.1/180222
Document de travail (Working Paper)
  • Davis, Richard ; Holger, Drees ; Segers, Johan ; Warchol, Michal. Modeling serial extremal dependence (ISBA Discussion Paper; 2016/16), 2016. 20 p. http://hdl.handle.net/2078.1/173616
2014
  • Kiriliouk, Anna ; Segers, Johan ; Warchol, Michal. Nonparametric estimation of extremal dependence (ISBA Discussion Paper; 2014/44), 2014. 22 p. http://hdl.handle.net/2078.1/154832
  • Drees, Holger ; Segers, Johan ; Warchol, Michal. Statistics for Tail Processes of Markov Chains (ISBA Discussion Paper; 2014/22), 2014. 30 p. http://hdl.handle.net/2078.1/144234
Thèse (Dissertation)
2016
Sébastien Van Bellegem                             

Sébastien Van Bellegem

Article de périodique (Journal article)

2017

·  Birke, Melanie ; Van Bellegem, Sébastien ; Van Keilegom, Ingrid. Semi-parametric Estimation in a Single-index Model with Endogenous Variables. In: Scandinavian Journal of Statistics : theory and applications, Vol. 44, no.1, p. 168-191 (2017). doi:10.1111/sjos.12247. http://hdl.handle.net/2078.1/185667

2016

·  Milla, Joniada ; San Martin Gutiérrez, Ernesto ; Van Bellegem, Sébastien. Higher Education Value Added Using Multiple Outcomes. In: Journal of Educational Measurement, Vol. 53, no.3, p. 368-400 (Fall 2016) (Accepté/Sous presse). http://hdl.handle.net/2078.1/176295

2014

·  Manzi, Jorge ; San Martin, Ernesto ; Van Bellegem, Sébastien. School system evaluation by value added analysis under endogeneity. In: Psychometrika, Vol. 79, no.1, p. 130-153 (2014). doi:10.1007/s11336-013-9338-0. http://hdl.handle.net/2078.1/151691

2013

·  Johannes, Jan ; Van Bellegem, Sébastien ; Vanhems, Anne. Iterative regularisation in nonparametric instrumental regression. In: Journal of Statistical Planning and Inference, Vol. 143, no.1, p. 24-39 (2013). doi:10.1016/j.jspi.2012.07.010. http://hdl.handle.net/2078.1/116279

2012

·  Florens, Jean-Pierre ; Johannes, Jan ; Van Bellegem, Sébastien. Instrumental regression in partially linear models. In: The Econometrics Journal, Vol. 15, no.2, p. 304-324 (2012). doi:10.1111/j.1368-423X.2011.00358.x. http://hdl.handle.net/2078.1/126973

Contribution à ouvrage collectif (Book Chapter)

·  Schwarz, Maik ; Van Bellegem, Sébastien ; Florens, Jean-Pierre. Nonparametric frontier estimation from noisy data. In: Van Keilegom, Ingrid Wilson, Paul W., Exploring Research Frontiers in Contemporary Statistics and Econometrics Exploring Research Frontiers in Contemporary Statistics and Econometrics, Springer: Londres, 2012, p. 45-64. 978-3-7908-2348-6. http://hdl.handle.net/2078.1/106144

Document de travail (Working Paper)

2016

·  Birke, Mélanie ; Van Bellegem, Sébastien ; Van Keilegom, Ingrid. Semi-Parametric Estimation in a Single- Index Model with Endogenous Variables (CORE Discussion Paper; 2016/22), 2016. 32 p. http://hdl.handle.net/2078.1/174857

2015

·  Milla, Joniada ; San Martin, Ernesto ; Van Bellegem, Sébastien. Higher education value added using multiple outcomes (CORE Discussion Papers; 2015/45), 2015. 53 p. http://hdl.handle.net/2078.1/165906

2014

·  Florens, Jean-Pierre ; Van Bellegem, Sébastien. Instrumental variable estimation in functional linear models (CORE Discussion Papers; 2014/56), 2014. 28 p. http://hdl.handle.net/2078/152570

·  Birke, Mélanie ; Van Bellegem, Sébastien ; Van Keilegom, Ingrid. Semi-parametric estimation in a single-index model with endogenous variables (ISBA Discussion Paper; 2014/43), 2014. 29 p. http://hdl.handle.net/2078.1/154830
Rainer von Sachs
 
(incl. PST)

Rainer von Sachs

Article de périodique (Journal article)
2017
  • Steland, Ansgar ; von Sachs, Rainer. Asymptotics for high-dimensional covariance matrices and quadratic forms with applications to the trace functional and shrinkage. In: Stochastic Processes and their Applications, p. n/a-n/a. doi:https://doi.org/10.1016/j.spa.2017.10.007. doi:10.1016/j.spa.2017.10.007 (Accepté/Sous-presse). http://hdl.handle.net/2078.1/191604
  • Steland, Ansgar ; von Sachs, Rainer. Large-Sample Approximations for Variance-Covariance Matrices of High-Dimensional Time Series. In: Bernoulli : a journal of mathematical statistics and probability, Vol. 23, no. 4A, p. 2299-2329 (2017). doi:10.3150/16-BEJ811. http://hdl.handle.net/2078.1/170149
  • Fiecas, Marc ; Franke, Jürgen ; von Sachs, Rainer ; Tadjuidje, Joseph. Shrinkage Estimation for Multivariate Hidden Markov Mixture Models. In: Journal of the American Statistical Association, Vol. 112, no. 517, p. 424-435 (2017). doi:10.1080/01621459.2016.1148608. http://hdl.handle.net/2078.1/170146
2016
  • Chau, Van Vinh ; von Sachs, Rainer. Functional mixed effects wavelet estimation for spectra of replicated time series. In: Electronic Journal of Statistics, Vol. 10, no.2, p. 2461-2510 (2016). doi:10.1214/16-EJS1181. http://hdl.handle.net/2078.1/176976
  • Roueff, François ; von Sachs, Rainer ; Sansonnet, Laure. Locally stationary Hawkes processes. In: Stochastic Processes and Their Applications, Vol. 126, no. 6, p. 1710-1743 (2016). doi:10.1016/j.spa.2015.12.003. http://hdl.handle.net/2078.1/170138
2015
  • Timmermans, Catherine ; von Sachs, Rainer. A novel semi-distance for measuring dissimilarities of curves with sharp local patterns. In: Journal of Statistical Planning and Inference, Vol. 160, p. 35-50 (2015). doi:10.1016/j.jspi.2014.11.007. http://hdl.handle.net/2078.1/154928
  • Varughese, Melvin ; von Sachs, Rainer ; Stephanou, Michael ; Bassett, Bruce. Nonparametric Transient Classification using Adaptive Wavelets. In: Monthly Notices of the Royal Astronomical Society, Vol. 453, no. 3, p. 2848-2861 (2015). doi:10.1093/mnras/stv1816. http://hdl.handle.net/2078.1/165197
2014
  • Autin, Florent ; Freyermuth, Jean-Marc ; von Sachs, Rainer. Block-threshold-adapted Estimators via a Maxiset Approach. In: Scandinavian Journal of Statistics : theory and applications, Vol. 41, no.1, p. 240-258 (2014). doi:10.1111/sjos.12012. http://hdl.handle.net/2078.1/141145
  • Fiecas, Mark ; von Sachs, Rainer. Data-driven shrinkage of the spectral density matrix of a high-dimensional time series. In: Electronic Journal of Statistics, Vol. 8, p. 2975-3003 (2014). doi:10.1214/14-EJS977. http://hdl.handle.net/2078.1/154446
2013
  • Timmermans, Catherine ; Delsol, Laurent ; von Sachs, Rainer. Using Bagidis in nonparametric functional data analysis: Predicting from curves with sharp local features. In: Journal of Multivariate Analysis, Vol. 115, p. 421-444 (2013). doi:10.1016/j.jmva.2012.10.013. http://hdl.handle.net/2078.1/118369
2012
  • Autin, Florent ; Freyermuth, Jean-Marc ; von Sachs, Rainer. Combining thresholding rules: a new way to improve the performance of wavelet estimators. In: Journal of Nonparametric Statistics, Vol. 24, no. 4, p. 905-922 (2012). doi:10.1080/10485252.2012.709854. http://hdl.handle.net/2078.1/127048
  • Freyermuth, Jean-Marc ; von Sachs, Rainer. Discussion: Time-threshold maps: Using information from wavelet reconstructions with all threshold values simultaneously. In: Journal of the Korean Statistical Society, Vol. 41, no.2, p. 161-164 (2012). doi:10.1016/j.jkss.2012.02.001. http://hdl.handle.net/2078.1/127294
Communication à un colloque (Conference Paper)
  • Timmermans, Catherine ; de Tullio, Pascal ; Lambert, Vincent ; Frédérich, Michel ; Rousseau, Réjane ; von Sachs, Rainer. Advantages of the Bagidis methodology for metabonomics analyses: application to a spectroscopic study of Age-related Macular Degeneration. 12th European Symposium on Statistical Methods for the Food Industry (Paris - France, du 29/02/2012 au 02/03/2012). http://hdl.handle.net/2078.1/106879
Contribution à ouvrage collectif (Book Chapter)
2015
  • von Sachs, Rainer ; Timmermans, Catherine. The BAGIDIS distance: about a fractal topology, with applications to functional classification and prediction. In: Anestis Antoniadis, Jean-Michel Poggi, Xavier Brossat, Modeling and Stochastic Learning for Forecasting in High Dimensions (Lecture Notes in Statistics; 217), Springer New York LLC: (United States) New York, 2015, 319-339. 978-3-319-18731-0. doi:10.1007/978-3-319-18732-7_16. http://hdl.handle.net/2078.1/146393
Document de travail (Working Paper)
2017
  • Chau, Van Vinh ; Ombao, Hernando ; von Sachs, Rainer. Data depth and rank-based tests for covariance and spectral density matrices (ISBA Discussion Paper; 2017/19), 2017. 47 p. http://hdl.handle.net/2078.1/187151
  • Chau, Van Vinh ; von Sachs, Rainer. Positive-Definite Multivariate Spectral Estimation: A Geometric Wavelet Approach (ISBA Discussion Paper; 2017/02), 2017. 47 p. http://hdl.handle.net/2078.1/182634
  • Roueff, François ; von Sachs, Rainer. Time-frequency analysis of locally stationary Hawkes processes (ISBA Discussion Paper; 2017/05), 2017. 34 p. http://hdl.handle.net/2078.1/183997
2016
  • Steland, Ansgar ; von Sachs, Rainer. Asymptotics for High–Dimensional Covariance Matrices and Quadratic Forms with Applications to the Trace Functional and Shrinkage (ISBA Discussion Paper; 2016/38), 2016. 40 p. http://hdl.handle.net/2078.1/179267
  • Chau, Van Vinh ; von Sachs, Rainer. Functional mixed effects wavelet estimation for spectra of replicated time series (ISBA Discussion Paper; 2016/13), 2016. 45 p. http://hdl.handle.net/2078.1/173546
2015
  • Varughese, Melvin ; von Sachs, Rainer ; Stephanou, Michael ; Bassett, Bruce. Nonparametric Transient Classification using Adaptive Wavelets (IBSA Discussion Paper; 2015/05), 2015. 14 p. http://hdl.handle.net/2078.1/158855
  • Roueff, François ; von Sachs, Rainer ; Sansonnet, Laure. Time-frequency analysis of locally stationary Hawkes processes (ISBA Discussion Paper; 2015/11), 2015. 32 p. http://hdl.handle.net/2078.1/160933
2014
  • Steland, Ansgar ; von Sachs, Rainer. Large-Sample Approximations for Variance-Covariance Matrices of High-Dimensional Time Series (ISBA Discussion Paper; 2014/31), 2014. 22 p. http://hdl.handle.net/2078.1/146545
  • von Sachs, Rainer ; Timmermans, Catherine. The BAGIDIS distance: about a fractal topology, with applications to functional classification and prediction (ISBA Discussion Paper; 2014/07), 2014. 20 p. http://hdl.handle.net/2078.1/141439
  • Gorrostieta, Cristina ; Ombao, Hernando ; von Sachs, Rainer. Time-Dependent Dual-Frequency Coherence in Multivariate Non-Stationary Time Series (ISBA Discussion Paper; 2014/30), 2014. 27 p. http://hdl.handle.net/2078.1/146544
2013
  • Timmermans, Catherine ; von Sachs, Rainer. BAGIDIS: Statistically investigating curves with sharp local patterns using a new functional measure of dissimilarity (ISBA Discussion Paper; 2013/31), 2013. 35 p. http://hdl.handle.net/2078.1/131773
  • Fiecas, Mark ; von Sachs, Rainer. Data-driven Shrinkage of the Spectral Density Matrix of a High-dimensional Time Series (ISBA Discussion Paper; 2013/44), 2013. 28 p. http://hdl.handle.net/2078.1/135715
2012
  • Timmermans, Catherine ; de Tullio, Pascal ; Lambert, Vincent ; Frédérich, Michel ; Rousseau, Réjane ; von Sachs, Rainer. Advantages of the Bagidis methodology for metabonomics analyses: application to a spectroscopic study of Age-related Macular Degeneration (ISBA Discussion Paper; 2012/04), 2012. 10 p. http://hdl.handle.net/2078.1/129824
  • Fiecas , Mark ; Franke, Jürgen ; von Sachs, Rainer ; Tadjuidje , Joseph. Shrinkage Estimation for Multivariate Hidden Markov Mixture Models (ISBA Discussion Paper; 2012/16), 2012. 24 + 8 p. http://hdl.handle.net/2078.1/111005
  • Fiecas, Mark ; von Sachs, Rainer. Spectral density shrinkage for high-dimensional time series (ISBA Discussion Paper; 2012/37), 2012. 31 p. http://hdl.handle.net/2078.1/118661

Anne Van Delft

Document de travail (Working Paper)
2017
  • van Delft, Anne ; Eichler, Michael. Locally Stationary Functional Time Series (ISBA Discussion Paper; 2017/23), 2017. 57 p. http://hdl.handle.net/2078.1/187160
  • Aue, Alexander ; Van Delft, Anne. Testing for stationarity of functional time series in the frequency domain (ISBA Discussion Paper; 2017/01), 2017. 56 p. http://hdl.handle.net/2078.1/180401

Van Vinh Chau

Article de périodique (Journal article)
2016
  • Chau, Van Vinh ; von Sachs, Rainer. Functional mixed effects wavelet estimation for spectra of replicated time series. In: Electronic Journal of Statistics, Vol. 10, no.2, p. 2461-2510 (2016). doi:10.1214/16-EJS1181. http://hdl.handle.net/2078.1/176976
Document de travail (Working Paper)
2017
  • Chau, Van Vinh ; Ombao, Hernando ; von Sachs, Rainer. Data depth and rank-based tests for covariance and spectral density matrices (ISBA Discussion Paper; 2017/19), 2017. 47 p. http://hdl.handle.net/2078.1/187151
  • Chau, Van Vinh ; von Sachs, Rainer. Positive-Definite Multivariate Spectral Estimation: A Geometric Wavelet Approach (ISBA Discussion Paper; 2017/02), 2017. 47 p. http://hdl.handle.net/2078.1/182634
2016
  • Chau, Van Vinh ; von Sachs, Rainer. Functional mixed effects wavelet estimation for spectra of replicated time series (ISBA Discussion Paper; 2016/13), 2016. 45 p. http://hdl.handle.net/2078.1/173546