C. Klüppelberg

Technische Universität München (TUM)

Center for Mathematical Sciences

D-80290 Munich

Germany

SCHOLARLY PAPERS

8

DOWNLOADS

658

SSRN CITATIONS
Rank 19,483

SSRN RANKINGS

Top 19,483

in Total Papers Citations

3

CROSSREF CITATIONS

36

Scholarly Papers (8)

1.

Equities, Credits and Volatilities: A Multivariate Analysis of the European Market During the Sub-Prime Crisis

Number of pages: 17 Posted: 26 Oct 2009 Last Revised: 25 Jun 2012
affiliation not provided to SSRN, affiliation not provided to SSRN, Technische Universität München (TUM) and Passau University
Downloads 261 (116,891)
Citation 3

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credit risk, credit default swaps, iTraxx index, vector autoregression, multivariate GARCH, BEKK

2.

The Cogarch: A Review, with News on Option Pricing and Statistical Inference

Number of pages: 30 Posted: 19 Jan 2010
C. Klüppelberg, Ross Maller and Alexander Szimayer
Technische Universität München (TUM), Australian National University (ANU) - School of Finance and Applied Statistics and University of Hamburg - Faculty of Economics and Business Administration
Downloads 230 (132,875)
Citation 4

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Continuous-time GARCH model, Levy process, option pricing, stochastic volatility, statistics for stochastic processes, functional limit theorems

3.

Contagion in Financial Systems: A Bayesian Network Approach

SIAM Journal on Financial Mathematics, accepted for publication, 2017.
Number of pages: 26 Posted: 06 Jul 2016 Last Revised: 17 Jul 2017
Carsten Chong and C. Klüppelberg
Technische Universität München (TUM) - Chair of Mathematical Statistics and Technische Universität München (TUM)
Downloads 130 (219,326)
Citation 1

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Bayesian Network; Financial Contagion; Measure of Systemic Risk; Multivariate Default Risk; Probability of Default; Structural Default Risk Model; Systemic Risk

4.

Method of Moment Estimation in the Cogarch(1,1) Model

Econometrics Journal, Vol. 10, No. 2, pp. 320-341, July 2007
Number of pages: 22 Posted: 27 Jun 2007
S. Haug, C. Klüppelberg, A. Lindner and M. Zapp
Munich University of Technology - Center for Mathematical Sciences, Technische Universität München (TUM), University of Marburg - Department of Mathematics and Computer Science and Munich University of Technology - Center for Mathematical Sciences
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5.

Testing for Reduction to Random Walk in Autoregressive Conditional Heteroskedasticity Models

The Econometrics Journal, Vol. 5, pp. 387-416, 2002
Number of pages: 30 Posted: 05 Feb 2003
C. Klüppelberg, Russ Maller, Mark van de Vyver and Derick Wee
Technische Universität München (TUM), The University of Western Australia - Department of Accounting and Finance, TAQTIQA LLC and The University of Western Australia - Department of Accounting and Finance
Downloads 10 (582,581)
Citation 1
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6.

High‐Frequency Sampling and Kernel Estimation for Continuous‐Time Moving Average Processes

Journal of Time Series Analysis, Vol. 34, Issue 3, pp. 385-404, 2013
Number of pages: 20 Posted: 26 Apr 2013
Peter Brockwell, Vincenzo Ferrazzano and C. Klüppelberg
Colorado State University, Fort Collins, Technische Universität München (TUM) and Technische Universität München (TUM)
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CARMA process, continuous‐time moving average process, FICARMA process, high‐frequency data, kernel estimation, regular variation, spectral theory, turbulence, Wold representation

7.

High‐Frequency Sampling of a Continuous‐Time ARMA Process

Journal of Time Series Analysis, Vol. 33, Issue 1, pp. 152-160, 2012
Number of pages: 9 Posted: 28 Dec 2011
Peter Brockwell, Vincenzo Ferrazzano and C. Klüppelberg
Colorado State University, Fort Collins, Technische Universität München (TUM) and Technische Universität München (TUM)
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CARMA process, high‐frequency data, discretely sampled process

8.

Two‐Step Estimation of a Multi‐Variate Lévy Process

Journal of Time Series Analysis, Vol. 34, Issue 6, pp. 668-690, 2013
Number of pages: 23 Posted: 16 Nov 2013
C. Klüppelberg and Habib Esmaeili
Technische Universität München (TUM) and Technische Universität München (TUM)
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Dependence structure, Godambe information matrix, Lévy copula, maximum likelihood estimation, multi‐variate Lévy process, reduced likelihood, two‐step parameter estimation