Journal Articles

Journal Articles 2018

Bücher, Axel; Segers, Johan
Maximum likelihood estimation for the Fréchet distribution based on block maxima extracted from a time series.
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

Journal Articles 2017

Bauwens, Luc; Braione, Manuela; Storti, Giuseppe
A dynamic component model for forecasting high-dimensional realized covariance matrices.
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.
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

Birke, Melanie; Van Bellegem, Sébastien; Van Keilegom, Ingrid
Semi-parametric Estimation in a Single-index Model with Endogenous Variables.
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

Bücher, Axel; Segers, Johan
On the maximum likelihood estimator for the Generalized Extreme-Value distribution.
Extremes : statistical theory and applications in science, engineering and economics, (2017). doi:10.1007/s10687-017-0292-6 (Accepté/Sous presse). http://hdl.handle.net/2078.1/183984

Cheung, Ka Chun; Denuit, Michel; Dhaene, Jan
Tail mutual exclusivity and Tail-VaR lower bounds
Scandinavian Actuarial Journal, Vol. 2017, no.1, p. 88-104 (2017). doi:10.1080/03461238.2015.1084945. http://hdl.handle.net/2078.1/180457

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

Denuit, Michel; Mesfioui, Mhamed
Preserving the Rothschild–Stiglitz type increase in risk with background risk: A characterization.
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

Denuit, Michel; Mesfioui, Mhamed
Bounds on Kendall’s tau for zero-inflated continuous variables.
Statistics & Probability Letters, Vol. 126, p. 173-178 (2017). doi:10.1016/j.spl.2017.03.005. http://hdl.handle.net/2078.1/185242

Einmahl, John H. J.; Kiriliouk, Anna; Segers, Johan
A continuous updating weighted least squares estimator of tail dependence in high dimensions.
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

Fiecas, Marc; Franke, Jürgen; von Sachs, Rainer; Tadjuidje, Joseph
Shrinkage Estimation for Multivariate Hidden Markov Mixture Models.
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

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

Hafner, Christian; Lauwers, Alexandre
An augmented Taylor rule for the Federal Reserve's response to asset prices.
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

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

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

Marcon, Giulia; Padoan, Simone; Naveau, Philippe; Muliere, Pietro; Segers, Johan
Multivariate nonparametric estimation of the Pickands dependence function using Bernstein polynomials.
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; L. Wadsworth, Jennifer.
Multivariate peaks over thresholds models.
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

Sabourin, Anne; Segers, Johan.
Marginal standardization of upper semicontinuous processes with application to max-stable processes.
Journal of Applied Probability, Vol. 54, no. 3, p. 773-796 (2017). doi:10.1017/jpr.2017.34; https://doi.org/10.1017/jpr.2017.34. http://hdl.handle.net/2078.1/183731

Segers, Johan; Sibuya, Masaaki; Tsukahara, Hideatsu
The empirical beta copula.
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

Segers, Johan; Zhao, Yuwei; Meinguet, Thomas
Polar decomposition of regularly varying time series in star-shaped metric spaces.
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

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.
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

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

Journal Articles 2016

Bauwens, Luc; Braione, Manuela; Giuseppe Storti
Forecasting Comparison of Long Term Component Dynamic Models for Realized Covariance Matrices.
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; Grigoryeva, Lyudmila; Ortega, Juan-Pablo
Estimation and Empirical Performance of Non-Scalar DCC Models. 
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; Otranto, Edoardo
Modeling the Dependence of Conditional Correlations on Market Volatility.
Journal of Business & Economic Statistics, Vol. 34, p. 254-268 (2016). doi:10.1080/07350015.2015.1037882. http://hdl.handle.net/2078.1/190985

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.
Econometrics, Vol. 4, no.3, p. 1-27 (2016). doi:10.3390/econometrics4010003. http://hdl.handle.net/2078.1/173816

Breitung, Jörg; Hafner, Christian
A simple model for now-casting volatility series.
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

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

Denuit, Michel; Eeckhoudt, Louis
Risk aversion, prudence, and asset allocation : a review and some new developments.
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

Denuit, Michel; Eeckhoudt, Louis; Liu, Liqun; Meyer, Jack
Tradeoffs for Downside Risk-Averse Decision-Makers and the Self-Protection Decision.
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

Denuit, Michel; Mesfioui, Mhamed
Multivariate Higher-Degree Stochastic Increasing Convexity.
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; Trufin, Julien
. From regulatory life tables to stochastic mortality projections: The exponential decline model.
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

Einmahl, John; Kiriliouk, Anna; Krajina, Andrea; Segers, Johan
An M-estimator of spatial tail dependence.
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

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

Hafner, Christian; Manner, Hans; Simar, Léopold
. The “wrong skewness” problem in stochastic frontier models: A new approach.
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

Hafner, Christian; Premiger, Arie. The effect of additive outliers on a fractional unit root test.
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

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

Roueff, François; von Sachs, Rainer; Sansonnet, Laure
Locally stationary Hawkes processes.
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

Journal Articles 2015

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

Ben Omrane, Walid; Hafner, Christian
Macroeconomic news surprises and volatility spillover in foreign exchange markets.
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 Y.R.P.; Hafner, Christian
Fair Revaluation of Wine as an Investment.
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

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

Breunig, Christoph; Johannes, Jan
Adaptive estimation of functionals in nonparametric instrumental regression.
Econometric Theory, Vol. 32, no. 3, p. 612-654 (2016). doi:10.1017/S0266466614000966. http://hdl.handle.net/2078.1/158983

Denuit, Michel; Huang, Rachel; Tzeng, Larry
Almost expectation and excess dependence notions.
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

Denuit, Michel; Kiriliouk, Anna; Segers, Johan
Max-factor individual risk models with application to credit portfolios.
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

Drees, Holger; Segers, Johan; Warchol, Michal
Statistics for Tail Processes of Markov Chains.
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

Hafner, Christian; Preminger, Arie
A note on the Tobit model in the presence of a duration variable.
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.
Economics Letters, Vol. 129, p. 13-17 (2015). doi:10.1016/j.econlet.2015.01.029. http://hdl.handle.net/2078.1/171460

Hobæk Haff, Ingrid; Segers, Johan
Nonparametric estimation of pair-copula constructions with the empirical pair-copula.
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

Mesfioui, Mhamed; Denuit, Michel
Comonotonicity, orthant convex order and sums of random variables.
Statistics & Probability Letters, Vol. 96, p. 356-364 (2015). doi:10.1016/j.spl.2014.10.004. http://hdl.handle.net/2078.1/154663

Segers, Johan
Hybrid copula estimators.
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

Timmermans, Catherine; von Sachs, Rainer
A novel semi-distance for measuring dissimilarities of curves with sharp local patterns.
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.
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

Journal Articles 2014

Acharya, Viral; Engle, Robert; Pierret, Diane
Testing macroprudential stress tests: The risk of regulatory risk weights.
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

Autin, Florent; Freyermuth, Jean-Marc; von Sachs, Rainer
Block-threshold-adapted Estimators via a Maxiset Approach.
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

Bauwens, Luc; De Backer, Bruno; Dufays, Arnaud
A Bayesian method of change-point estimation with recurrent regimes: application to GARCH models.
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.
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

Bertrand, Aurélie; Hafner, Christian
On heterogeneous latent class models with applications to the analysis of rating scores.
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

Bücher, Axel; Kojadinovic, Ivan; Rohmer, Tom; Segers, Johan
Detecting changes in cross-sectional dependence in multivariate time series.
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.
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

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

Denuit, Michel; Huang, Rachel J.; Wang, Christine
Almost marginal conditional stochastic dominance.
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; Huang, Rachel; Tzeng, Larry
Bivariate almost stochastic dominance.
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.
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

Denuit, Michel; Liu, Liqun; Meyer, Jack
A separation theorem for the weak s-convex orders.
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; Rey, Béatrice
Benchmark values for higher order coefficients of relative risk aversion.
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

Dunker, Fabian; Florens, Jean-Pierre; Hohage, Thorsten; Johannes, Jan; Mammen, Enno
Iterative estimation of solutions to noisy nonlinear operator equations in nonparametric instrumental regression.
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

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

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

Gbari, Kock Yed Ake Samuel; Denuit, Michel
Efficient approximations for numbers of survivors in the Lee–Carter model.
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

Grothe, Olivier; Schnieders, Julius; Segers, Johan
Measuring association and dependence between random vectors.
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

Janssens, Anja; Segers, Johan
Markov tail chains.
Journal of Applied Probability, Vol. 51, no. 4, p. 1133-1153 (2014). http://hdl.handle.net/2078.1/144707

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

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

Pigeon, Mathieu; Henry de Frahan, Bruno; Denuit, Michel
Evaluation of the EU proposed farm income stabilisation tool by skew normal linear mixed models.
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

Segers, Johan; Uyttendaele, Nathan
Nonparametric estimation of the tree structure of a nested Archimedean copula.
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.
Annals of Statistics, Vol. 42, no. 5, p. 1911-1940 (2014). doi:10.1214/14-AOS1244. http://hdl.handle.net/2078.1/144711

Journal Articles 2013

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

Bereswill, Mareike; Johannes, Jan
On the effect of noisy measurements of the regressor in functional linear models.
Test, Vol. 22, no.3, p. 488-513 (2013). doi:10.1007/s11749-013-0325-7. http://hdl.handle.net/2078.1/152619

Crahay, Charlotte; Declerck, Stephan; Colpaert, Jan V; Pigeon, Mathieu; Munaut, Françoise
Viability of ectomycorrhizal fungi following cryopreservation.
Fungal biology, Vol. 117, no. 2, p. 103-11 (2013). doi:10.1016/j.funbio.2012.12.003. http://hdl.handle.net/2078.1/130510

Denuit, Michel; Eeckhoudt, Louis
Risk attitudes and the value of risk transformations. 
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
Improving your chances: A new result.
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.
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; Eeckhoudt, Louis; Schlesinger, Harris
When Ross meets Bell: The linex utility function.
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

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.
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; Mesfioui, Mhamed
Ordering Functions of Random Vectors, with Application to Partial Sums.
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; Mesfioui, Mhamed
A sufficient condition of crossing type for the bivariate orthant convex order.
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.
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

Johannes, Jan; Schenk, Rudolf
On rate optimal local estimation in functional linear regression.
Electronic Journal of Statistics, Vol. 7, p. 191-216 (2013). doi:10.1214/13-EJS767. http://hdl.handle.net/2078.1/127331

Johannes, Jan; Schwarz, Maik
Adaptive circular deconvolution by model selection under unknown error distribution.
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; Schwarz, Maik
Adaptive Gaussian Inverse Regression with Partially Unknown Operator.
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; Van Bellegem, Sébastien; Vanhems, Anne
Iterative regularisation in nonparametric instrumental regression.
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

Timmermans, Catherine; Delsol, Laurent; von Sachs, Rainer
Using Bagidis in nonparametric functional data analysis: Predicting from curves with sharp local features.
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

Wang, Cindy Shin-Huei; Bauwens, Luc; Hsiao, Cheng
Forecasting a long memory process subject to structural breaks.
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

de Carvalho, Miguel; Oumow, Boris; Segers, Johan; Warchol, Michal
A Euclidean Likelihood Estimator for Bivariate Tail Dependence.
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

Journal Articles 2012

Autin, Florent; Freyermuth, Jean-Marc; von Sachs, Rainer
Combining thresholding rules: a new way to improve the performance of wavelet estimators.
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

Basrak, Bojan; Krizmanić, Danijel; Segers, Johan
A functional limit theorem for dependent sequences with infinite variance stable limits.
The Annals of Probability, Vol. 40, no. 5, p. 2008-2033 (2012). doi:10.1214/11-AOP669. http://hdl.handle.net/2078.1/130801

Bocart, Fabian; Hafner, Christian
Econometric analysis of volatile art markets.
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

Comte, Fabienne; Johannes, Jan
Adaptive functional linear regression.
Annals of Statistics, Vol. 40, no. 6, p. 2765-2797 (2012). doi:10.1214/12-AOS1050. http://hdl.handle.net/2078.1/127327

Denuit, Michel; Dhaene, Jan
Convex order and comonotonic conditional mean risk sharing.
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

Einmahl, John H. J.; Krajina, Andrea; Segers, Johan
An M-estimator for tail dependence in arbitrary dimensions.
The Annals of Statistics, Vol. 40, no.3, p. 1764-1793 (2012). doi:10.1214/12-AOS1023. http://hdl.handle.net/2078.1/130793

Florens, Jean-Pierre; Johannes, Jan; Van Bellegem, Sébastien
Instrumental regression in partially linear models.
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

Freyermuth, Jean-Marc; von Sachs, Rainer
Discussion: Time-threshold maps: Using information from wavelet reconstructions with all threshold values simultaneously.
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

Gudendorf, Gordon; Segers, Johan
Nonparametric estimation of multivariate extreme-value copulas.
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

Hafner, Christian
Cross-correlating wavelet coefficients with applications to high-frequency financial time series.
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.
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

Hafner, Christian; Reznikova, Olga
On the estimation of dynamic conditional correlation models.
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

Johannes, Jan; Schenk, Rudolf
Adaptive estimation of linear functionals in functional linear models.
Mathematical Methods of Statistics, Vol. 21, no.3, p. 189-214 (2012). doi:10.3103/S1066530712030027. http://hdl.handle.net/2078.1/127330

Segers, Johan
Max-stable models for multivariate extremes.
Revstat Statistical Journal, Vol. 10, no.1, p. 61-82 (2012). http://hdl.handle.net/2078.1/127113

Segers, Johan
Asymptotics of empirical copula processes under non-restrictive smoothness assumptions.
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
Nonparametric Inference for Max-Stable Dependence.
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

 

Book Chapters

Book Chapters 2016

Kiriliouk, Anna; Segers, Johan; Warchol, Michal
Nonparametric Estimation of Extremal Dependence.
Dipak K. Dey, Jun Yan, Extreme Value Modeling and Risk Analysis: Methods and Applications (CRC Press; xxx), Taylor & Francis Group, 2016, p. 353-369. 9781498701297. http://hdl.handle.net/2078.1/180222

Book Chapters 2015

von Sachs, Rainer; Timmermans, Catherine
The BAGIDIS distance: about a fractal topology, with applications to functional classification and prediction.
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

Book Chapters 2014

Härdle, Wolfgang Karl; Prastyo, Dedy Dwi; Hafner, Christian
Support Vector Machines with Evolutionary Model Selection for Default Prediction.
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

Johannes, Jan; Schenk, Rudolf; Simoni, Anna
Adaptive Bayesian estimation in Gaussian.
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

Book Chapters 2013

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

Denuit, Michel; Eeckhoudt, Louis; Tsetlin, Ilia; Winkler, Robert
Multivariate Concave and Convex Stochastic Dominance.
Francesca Biagini, Andreas Richter, Harris Schlesinger, Risk Measures and Attitudes (European Actuarial Academy Series; xxx), 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

Book Chapters 2012

Bauwens, Luc; Hafner, Christian; Laurent, Sébastien
Volatility Models.
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

Hafner, Christian; Manner, Hans
Multivariate Time Series Models for Asset Prices.
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

Schwarz, Maik; Van Bellegem, Sébastien; Florens, Jean-Pierre
Nonparametric frontier estimation from noisy data.
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

 

Working Papers

Working Papers 2017

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

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

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

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

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

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

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

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

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

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

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

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

Working Papers 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

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

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

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

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

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

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

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

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

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; 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; 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

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

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

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

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

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

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

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

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

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

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

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

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

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

Working Papers 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

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

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

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

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

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

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; 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

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

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

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

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

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

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

Working Papers 2014

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

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

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

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

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

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

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

Denuit, Michel; Eeckhoudt, Louis. Prudence, Diversification and Optimal Portfolios (ISBA Discussion Paper; 2014/36), 2014. 16 p. http://hdl.handle.net/2078.1/152129

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

Segers, Johan. Hybrid Copula Estimators (ISBA Discussion Paper; 2014/18), 2014. 15 p. http://hdl.handle.net/2078.1/143956

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

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

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

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

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

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

Working Papers 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

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

Bocart, Fabian; Hafner, Christian. Fair re-valuation of wine as an investment (ISBA Discussion Paper; 2013/03; CORE Discussion Paper; 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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

Janssen, Anja; Segers, Johan. Markov Tail Chains (ISBA Discussion paper; 2013/17), 2013. 27 p. http://hdl.handle.net/2078.1/128338

Working Papers 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

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

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

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; 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; 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

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; 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

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

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

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

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

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

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

Segers, Johan. MAX-STABLE MODELS FOR MULTIVARIATE EXTREMES (ISBA Discussion Paper; 2012/11), 2012. 22 p. http://hdl.handle.net/2078.1/110130

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

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

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

 

Books

Books 2012

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

 

Dissertations

Dissertations 2017

Gbari, Kock Yed Ake Samuel
Actuarial challenges in mortality modelling, prom. : Denuit, Michel, 01/09/2017. http://hdl.handle.net/2078.1/188315

Dissertations 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

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

Uyttendaele, Nathan
High-dimensional dependence modeling using copulas, prom. : Segers, Johan, 21/12/2016
http://hdl.handle.net/2078.1/182850

Warchol, Michal
Nonparametric modeling of extremal dependence, prom. : Segers, Johan, 26/08/2016
http://hdl.handle.net/2078.1/176771

Dissertations 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

Dissertations 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

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

Pigeon, Mathieu
Individual models for loss reserving and reinsurance, prom. : Denuit, Michel, 26/06/2014
http://hdl.handle.net/2078.1/150596

Dissertations 2013

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