Claudia Klüppelberg

Finance · 2001–2012

A researcher in the Science corpus: 22 papers; trusts 81 researchers and is trusted by 55 researchers here, as inferred from the citation graph.

Subfields

• Finance — 105 citations into it; #714 of 10,518 by trust here, #736 by citations
• Economics and Econometrics — 54 citations into it; #2,790 of 23,481 by trust here, #5,099 by citations
• Management Science and Operations Research — 44 citations into it; #1,299 of 11,946 by trust here, #1,359 by citations
• Statistics and Probability — 34 citations into it; #4,254 of 12,932 by trust here, #4,650 by citations
• Demography — 19 citations into it; #449 of 4,236 by trust here, #1,084 by citations
• Mathematical Physics — 15 citations into it; #5,265 of 8,562 by trust here, #5,794 by citations
• Global and Planetary Change — 14 citations into it; #5,211 of 10,225 by trust here, #7,711 by citations
• Electrical and Electronic Engineering — 11 citations into it; #10,750 of 16,539 by trust here, #12,727 by citations

Whom Claudia Klüppelberg trusts overall

Their strongest outbound trust, strongest first, inferred from their citations.

1. Ole E. Barndorff-Nielsen
2. N. Shephard
3. Jem N. Corcoran
4. Thomas Mikosch
5. Richard A. Davis
6. Laurens de Haan
7. K. Böcker
8. Sean P. Meyn
9. Stuart Coles
10. Jostein Paulsen

Who trusts Claudia Klüppelberg overall

1. Peter J. Brockwell
2. Qihe Tang
3. Ross Maller
4. V. Todorov
5. Andreas E. Kyprianou
6. K. Böcker
7. Toshiro Watanabe
8. Gernot J. Müller
9. Vicky Fasen
10. A. Lindner

Papers from Claudia Klüppelberg's perspective

Ordered by how strongly the researchers Claudia Klüppelberg trusts endorse each paper. Same corpus, a different order for every researcher.

1. Generalized autoregressive conditional heteroskedasticity
2. Modelling Extremal Events for Insurance and Finance
3. Non‐Gaussian Ornstein–Uhlenbeck‐based models and some of their uses in financial economics
4. Financial Modelling with Jump Processes
5. Spatial Interaction and the Statistical Analysis of Lattice Systems
6. Financial Modelling with Jump Processes
7. Limit theory for the sample autocorrelations and extremes of a GARCH (1,1) process
8. Stochastic Volatility: Selected Readings
9. The Variance Gamma (V.G.) Model for Share Market Returns
10. Application of Generalized Hyperbolic Lévy Motions to Finance

Their papers

• Ruin probabilities and overshoots for general Lévy insurance risk processes (2004) — 196 citations
• Optimal Portfolios with Bounded Capital at Risk (2001) — 132 citations
• Extremes of supOU Processes (2007) — 48 citations
• A continuous-time GARCH process driven by a Lévy process: stationarity and second-order behaviour (2004) — 286 citations
• Multivariate models for operational risk (2010) — 71 citations
• Max-stable processes for modelling extremes observed in space and time (2011) — 55 citations
• Integrated insurance risk models with exponential Lévy investment (2008) — 60 citations
• Semi‐Parametric Models for the Multivariate Tail Dependence Function – the Asymptotically Dependent Case (2008) — 70 citations
• Tail behaviour of the busy period of a GI/GI/1 queue with subexponential service times (2004) — 50 citations
• Statistical inference for max‐stable processes in space and time (2012) — 87 citations
• Extremal behavior of stochastic volatility models (2006) — 55 citations
• The Pareto Copula, Aggregation of Risks and the Emperor's Socks (2008) — 47 citations
• Modelling and measuring multivariate operational risk with Lévy copulas (2008) — 55 citations
• Electricity spot price modelling with a view towards extreme spike risk (2010) — 75 citations
• Method of Moment Estimation in the Cogarch(1,1) Model (2007) — 71 citations
• Fractional Brownian motion as a weak limit of Poisson shot noise processes - with applications to finance. (2004) — 83 citations
• Futures pricing in electricity markets based on stable CARMA spot models (2012) — 96 citations
• Density Functional Theory and Optimal Transportation with Coulomb Cost (2011) — 180 citations
• Estimating the tail dependence function of an elliptical distribution (2007) — 53 citations
• Continuous time volatility modelling: COGARCH versus Ornstein-Uhlenbeck models (2006) — 83 citations