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

236

SSRN CITATIONS

0

CROSSREF CITATIONS

0

Scholarly Papers (2)

1.

Extremal Connectedness and Systemic Risk of Hedge Funds

Number of pages: 48 Posted: 07 Feb 2020 Last Revised: 13 Jul 2020
Linda Mhalla, Julien Hambuckers and Marie Lambert
HEC Montreal - Department of Decision Sciences, University of Liège - HEC Management School and University of Liège - HEC Management School
Downloads 118 (281,442)
Citation 1

Abstract:

Loading...

extreme value theory, systemic measure, tail dependence measure

2.

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 118 (281,442)
Citation 1

Abstract:

Loading...

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