Risk & extreme events

Journal Articles

1. Chiapino, Maël; Sabourin, Anne; Segers, Johan. Identifying groups of variables with the potential of being large simultaneously. In: Extremes, Vol. 22, no. 2, p. 193-222 (2019). doi:10.1007/s10687-018-0339-3. http://hdl.handle.net/2078.1/211880

2. Asmussen, Soren; Ivanovs, Jevgenijs; Segers, Johan. On the longest gap between power-rate arrivals. In: Bernoulli : a journal of mathematical statistics and probability, Vol. 25, no. 1, p. 375-394 (2019). doi:10.3150/17-BEJ990. http://hdl.handle.net/2078.1/191354

3. Park, Byeong U.; Simar, Léopold; Zelenyuk, Valentin. Forecasting of recessions via dynamic probit for time series: replication and extension of Kauppi and Saikkonen (2008). In: Empirical Economics, Vol. First Online: 15 May 2019 (2019). doi:10.1007/s00181-019-01708-2 (Accepté/Sous presse). http://hdl.handle.net/2078.1/216348

4. Portier, François; Segers, Johan. Monte Carlo integration with a growing number of control variates. In: Journal of Applied Probability, Vol. to appear (2019). (Accepté/Sous presse). http://hdl.handle.net/2078.1/218811

5. Vettori, Sabrina; Huser, Raphaël; Segers, Johan; Genton, Marc G. Bayesian model averaging over tree-based dependence structures for multivariate extremes. In: Journal of Computational and Graphical Statistics, , p. 1-37 (2019). doi:10.1080/10618600.2019.1647847 (Accepté/Sous presse). http://hdl.handle.net/2078.1/218809

6. Kiriliouk, Anna; Rootzén, Holger; Segers, Johan; Wadsworth, Jennifer L. Peaks over thresholds modelling with multivariate generalized Pareto distributions. In: Technometrics, Vol. 61, no. 1, p. 123-135 (2019). doi:10.1080/00401706.2018.1462738 (Accepté/Sous presse). http://hdl.handle.net/2078.1/197273