Linda Mhalla

HEC Montreal - Department of Decision Sciences

3000 Côte-Sainte-Catherine Road

Montreal, QC H2S1L4

Canada

University of Geneva, Geneva School of Economics and Management, Research Center for Statistics

PhD Candidate

Geneva

Switzerland

SCHOLARLY PAPERS

2

DOWNLOADS

179

SSRN CITATIONS

0

CROSSREF CITATIONS

0

Scholarly Papers (2)

1.

Non-Linear Models for Extremal Dependence

Journal of Multivariate Analysis, Volume 159, April 2017, Pages 49-66
Number of pages: 32 Posted: 11 Sep 2016 Last Revised: 06 Jul 2017
HEC Montreal - Department of Decision Sciences, University of Lausanne - School of Economics and Business Administration (HEC-Lausanne) and Laboratoire des Sciences du Climat et de l'Environnement (LSCE)
Downloads 116 (258,454)
Citation 1

Abstract:

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Extreme value theory, Generalized additive models, Max-stable random vectors, Non-stationarity, Pickands function, Semi-parametric models, Temperature data.

2.

Extremal Connectedness and Systemic Risk of Hedge Funds

Number of pages: 35 Posted: 07 Feb 2020
Linda Mhalla, Julien Hambuckers and Marie Lambert
HEC Montreal - Department of Decision Sciences, University of Liege - HEC Management School and University of Liege - HEC Management School
Downloads 63 (375,564)

Abstract:

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extreme value theory, hedge funds, systemic risk, tail dependence