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Vicky Fasen · Study

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Vicky Fasen

5 works· latest 2017· 3 institutionscluster: provisionalORCID 0000-0002-5758-1999

h-index5

i105

Citations187

Works here5

06

07

12

17

Most cited in this library

Extremal behavior of stochastic volatility models2006 · 52 citations
Risk contagion under regular variation and asymptotic tail independence2017 · 42 citations
Extremes of supOU Processes2007 · 39 citations
Statistical estimation of multivariate Ornstein–Uhlenbeck processes and applications to co-integration2012 · 30 citations
Four theorems and a financial crisis2012 · 24 citations

Works

5 shown

Risk contagion under regular variation and asymptotic tail independence

Journal of Multivariate Analysis·2017·2 authors·Open access

42citations

Statistical estimation of multivariate Ornstein–Uhlenbeck processes and applications to co-integration

Journal of Econometrics·2012·1 author·Open access

30citations

Four theorems and a financial crisis

International Journal of Approximate Reasoning·2012·3 authors·Open access

24citations

Extremes of supOU Processes

Springer eBooks·2007·2 authors·chapter

39citations

Extremal behavior of stochastic volatility models

Kluwer Academic Publishers eBooks·2006·3 authors·chapter·Open access

52citations