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06/19/2023
From geometric quantiles to halfspace depths: A geometric approach for extremal behaviour
We investigate the asymptotics for two geometric measures, geometric qua...
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04/14/2023
Efficient Estimation in Extreme Value Regression Models of Hedge Fund Tail Risks
We introduce a method to estimate simultaneously the tail and the thresh...
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01/21/2023
On the relation between extremal dependence and concomitants
The study of concomitants has recently met a renewed interest due to its...
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09/06/2022
Building up Cyber Resilience by Better Grasping Cyber Risk Via a New Algorithm for Modelling Heavy-Tailed Data
Cyber security and resilience are major challenges in our modern economi...
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11/15/2021
Joint FCLT for the Sample Quantile and Measures of Dispersion for Functionals of Mixing Processes
In this paper, we establish a joint (bivariate) functional central limit...
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07/20/2021
Multi-Normex Distributions for the Sum of Random Vectors. Rates of Convergence
We build a sharp approximation of the whole distribution of the sum of i...
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01/02/2020
The Impact of the Choice of Risk and Dispersion Measure on Procyclicality
Procyclicality of historical risk measure estimation means that one tend...
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06/21/2019
Bivariate FCLT for the Sample Quantile and Measures of Dispersion for Augmented GARCH(p,q) processes
In this note, we build upon the asymptotic theory for GARCH processes, c...
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04/26/2019
