Klüppelberg, Claudia; Seifert, Miriam Isabel Financial risk measures for a network of individual agents holding portfolios of light-tailed objects. (English) Zbl 1426.91306 Finance Stoch. 23, No. 4, 795-826 (2019). Reviewer: Yuliya S. Mishura (Kyïv) MSC: 91G70 91G10 62P05 62E20 90B10 PDFBibTeX XMLCite \textit{C. Klüppelberg} and \textit{M. I. Seifert}, Finance Stoch. 23, No. 4, 795--826 (2019; Zbl 1426.91306) Full Text: DOI Link
Jacod, Jean; Klüppelberg, Claudia; Müller, Gernot Testing for non-correlation between price and volatility jumps. (English) Zbl 1422.91781 J. Econom. 197, No. 2, 284-297 (2017). MSC: 91G70 91B70 62G10 62P05 PDFBibTeX XMLCite \textit{J. Jacod} et al., J. Econom. 197, No. 2, 284--297 (2017; Zbl 1422.91781) Full Text: DOI Link
Klüppelberg, Claudia; Matsui, Muneya Generalized fractional Lévy processes with fractional Brownian motion limit. (English) Zbl 1333.60074 Adv. Appl. Probab. 47, No. 4, 1108-1131 (2015). MSC: 60G22 60G51 60F17 60F05 60H05 60G17 91B24 91B70 62P20 PDFBibTeX XMLCite \textit{C. Klüppelberg} and \textit{M. Matsui}, Adv. Appl. Probab. 47, No. 4, 1108--1131 (2015; Zbl 1333.60074) Full Text: DOI Euclid
Jacod, Jean; Klüppelberg, Claudia; Müller, Gernot Functional relationships between price and volatility jumps and their consequences for discretely observed data. (English) Zbl 1263.60038 J. Appl. Probab. 49, No. 4, 901-914 (2012). Reviewer: Yuliya S. Mishura (Kyïv) MSC: 60G48 91G70 60H30 62G10 62M02 PDFBibTeX XMLCite \textit{J. Jacod} et al., J. Appl. Probab. 49, No. 4, 901--914 (2012; Zbl 1263.60038) Full Text: DOI Euclid
Klüppelberg, Claudia; Lindner, Alexander; Maller, Ross A continuous-time GARCH process driven by a Lévy process: Stationarity and second-order behaviour. (English) Zbl 1068.62093 J. Appl. Probab. 41, No. 3, 601-622 (2004). Reviewer: Nikolai N. Leonenko (Cardiff) MSC: 62M10 60G10 60J25 62P05 91B28 60H10 PDFBibTeX XMLCite \textit{C. Klüppelberg} et al., J. Appl. Probab. 41, No. 3, 601--622 (2004; Zbl 1068.62093) Full Text: DOI Link