Search Results - "Demoulin, V"

Extreme-quantile tracking for financial time series by Chavez-Demoulin, V., Embrechts, P., Sardy, S.

“…Time series of financial asset values exhibit well-known statistical features such as heavy tails and volatility clustering. We propose a nonparametric…”
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Regression‐type models for extremal dependence by Mhalla, L., Carvalho, M., Chavez‐Demoulin, V.

“…We propose a vector generalized additive modeling framework for taking into account the effect of covariates on angular density functions in a multivariate…”
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High-frequency financial data modeling using Hawkes processes by Chavez-Demoulin, V., McGill, J.A.

“…► We model excesses of high-frequency financial time series via a Hawkes process. ► The Hawkes process model yields estimates for high-quantile based risk…”
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Modelling time series extremes by Chavez-Demoulin, V, Davison, A.C

“…* The need to model rare events of univariate time series has led to many recent advances in theory and methods. In this paper, we review telegraphically the…”
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Generalized additive modelling of sample extremes by Chavez-Demoulin, V., Davison, A. C.

“…We describe smooth non-stationary generalized additive modelling for sample extremes, in which spline smoothers are incorporated into models for exceedances…”
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Quantitative models for operational risk: Extremes, dependence and aggregation by Chavez-Demoulin, V., Embrechts, P., Nešlehová, J.

“…Due to the new regulatory guidelines known as Basel II for banking and Solvency 2 for insurance, the financial industry is looking for qualitative approaches…”
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Phylogenomic Evidence for Separate Acquisition of Plastids in Cryptophytes, Haptophytes, and Stramenopiles by Baurain, D., Brinkmann, H., Petersen, J., Rodriguez-Ezpeleta, N., Stechmann, A., Demoulin, V., Roger, A. J., Burger, G., Lang, B. F., Philippe, H.

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Estimating value-at-risk: a point process approach by Chavez-Demoulin, V., Davison, A. C., McNeil, A. J.

“…We consider the modelling of extreme returns in financial time series, and introduce a marked point process model for the exceedances of a high threshold. This…”
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Discussions and Rejoinder on "Threshold modelling of spatially dependent non-stationary extremes with application to hurricane-induced wave heights" by Chavez-Demoulin, V., Davison, A. C., Frossard, L.

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Smooth Extremal Models in Finance and Insurance by Chavez-Demoulin, V., Embrechts, P.

“…This article describes smooth nonstationary generalized additive modeling for sample extremes, in which spline smoothers are incorporated into models for…”
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Bayesian Inference for Small‐Sample Capture‐Recapture Data by Chavez‐Demoulin, V

“…We consider data on the survival of a population of Cephalorhynchus hectori, Hector's dolphins, in a marine area of New Zealand. To estimate survival…”
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Molecular and pigment studies of the picophytoplankton in a region of the Southern Ocean (42–54°S, 141–144°E) in March 1998 by Wilmotte, A., Demonceau, C., Goffart, A., Hecq, J.-H., Demoulin, V., Crossley, A.C.

“…Seven filtered seawater samples (depths between 30 and 55 m) collected during the SAZ project of the Austral summer of 1997–1998 were used for a simultaneous…”
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Valérie Chavez-Demoulin, Anthony C Davison and Erwan Koch’s contribution to the Discussion of ‘The First Discussion Meeting on Statistical aspects of climate change by Chavez-Demoulin, V, Davison, A C, Koch, E

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New Hapalindoles from the Cyanophyte Hapalosiphon laingii by Klein, D, Daloze, D, Braekman, J. C, Hoffmann, L, Demoulin, V

“…Seven indole alkaloids have been isolated from the cultured cyanophyte Hapalosiphon laingii. In addition to the known metabolites 12-epi-hapalindole E…”
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Lyngbyaloside, a Novel 2,3,4-Tri-O-methyl-6-deoxy-α-mannopyranoside Macrolide from Lyngbya bouillonii (Cyanobacteria) by Klein, D, Braekman, J. C, Daloze, D, Hoffmann, L, Demoulin, V

“…A novel 16-membered macrolide linked to a 2,3,4-tri-O-methyl-6-deoxy-α-mannopyranoside, lyngbyaloside (1), has been isolated from the blue-green alga Lyngbya…”
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Madangolide and laingolide A, two novel macrolides from Lyngbya bouillonii (Cyanobacteria) by Klein, D, Braekman, J.C, Daloze, D, Hoffmann, L, Castillo, G, Demoulin, V

“…Two new macrolide derivatives, madangolide (2) and laingolide A (3), have been isolated from the cyanobacterium Lyngbya bouillonii, collected in Papua New…”
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Modified marginal expected shortfall under asymptotic dependence by Cai, J.-J., Chavez-Demoulin, V., Guillou, A.

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comparative inventory of metal transporters in the green alga Chlamydomonas reinhardtii and the red alga Cyanidioschizon merolae by Hanikenne, M, Kramer, U, Demoulin, V, Baurain, D

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Madangolide and Laingolide A, Two Novel Macrolides from Lyngbya b ouillonii (Cyanobacteria) by Klein, D, Braekman, J. C, Daloze, D, Hoffmann, L, Castillo, G, Demoulin, V

“…Two new macrolide derivatives, madangolide (2) and laingolide A (3), have been isolated from the cyanobacterium Lyngbya bouillonii, collected in Papua New…”
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Modified marginal expected shortfall under asymptotic dependence by CAI, J.-J., CHAVEZ-DEMOULIN, V., GUILLOU, A.

“…We propose an estimator of the marginal expected shortfall by considering a log transformation of a variable which has an infinite expectation. We establish…”
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