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Institute of Stochastics

Kollegiengebäude Mathematik (20.30)
Room 2.056 und 2.002

Karlsruher Institut für Technologie
Institut für Stochastik

Englerstr. 2
D-76131 Karlsruhe

D-76128 Karlsruhe

Office hours:
Mo-Fr 10:00 - 12:00

Tel.: +49 721 608 43270/43265

Fax.: +49 721 608 46066

Publications and Preprints


  • Fasen, V. and Kimmig, S. (2017): Information Criteria for Multivariate CARMA Processes (pdf), Bernoulli. 23, pp. 2860-2886.
  • Fasen, V. (2016): Dependence Estimation for High Frequency Sampled Multivariate CARMA Models, Scand. J. Statist., 43, pp. 292-320.
  • Fasen, V. and Roy, P. (2016): Stable Random Fields, Point Processes and Large Deviations (pdf), Stochastic Process. Appl., 126, pp. 832-856
  • Fasen, V. (2014): Limit Theory for High Frequency Sampled MCARMA Models (pdf), Adv. Appl. Prob., 46, pp. 846-877.
  • Fasen, V., Klüppelberg, C. and Menzel, A. (2014): Modelling and Quantifying Extreme Events Risk (pdf) In: C. Klüppelberg, D. Straub and I. Welpe (Eds.) Risk - A Multidisciplinary Introduction, Springer, pp. 151-181.
  • Fasen, V. and Fuchs, F. (2013): Spectral Estimates for High-Frequency Sampled CARMA Processes (pdf), J. Time Series Anal., 34, pp. 532–551.
  • Fasen, V. (2013): Statistical Inference of Spectral Estimation for Continuous-time MA Processes with Finite Second Moments (pdf), Math. Methods Statist., 22, pp. 283-309.
  • Das, B. Embrechts, P. and Fasen, V. (2013): Four Theorems and a Financial Crisis (pdf), Internat. J. Approx. Reason. 54, pp. 701-716.
  • Fasen, V. and Fuchs, F. (2013): On the Limit Behavior of the Periodogram of High-Frequency Sampled Stable CARMA Processes (pdf), Stochastic Process. Appl. 121(1), pp. 229-273.
  • Fasen, V. (2013): Time Series Regression on Integrated Continuous-time Processes with Heavy and Light Tails (pdf), Econometric Theory 29(1), pp. 28-67.
  • Fasen, V. (2013): Statistical Estimation of Multivariate Ornstein-Uhlenbeck Processes and Applications to Co-integration (pdf), J. Econometrics 172(2), pp. 325-337.
  • Fasen, V. and Svejda, A. (2012): Time Consistency of Multi-Period Distortion Measures (pdf), Statistics & Risk Modeling 29, pp. 133-153.
  • Fasen, V. and Klüppelberg, C. (2011): Modellieren und Quantifizieren von Extremen Risiken (pdf), In: K. Wendland and A. Werner (Eds.) Facettenreiche Mathematik, Vieweg, pp. 67-88.
  • Fasen, V. (2010): Modeling Network Traffic by a Cluster Poisson Input Process with Heavy and Light Tailed File Sizes (pdf), Queueing Systems 66 (4), pp. 313-350.
  • Fasen, V., Klüppelberg, C. and Schlather, M. (2010): High-Level Dependence in Time Series Models (pdf), Extremes 13(1), pp. 1-33.
  • Fasen, V. (2010): Asymptotic Results for Sample Autocovariance Functions and Extremes of Integrated Generalized Ornstein-Uhlenbeck Processes (pdf), Bernoulli 16(1), pp. 51-79.
  • Fasen, V., Samorodnitsky, G. (2009): A fluid cluster Poisson input process can look like a fractional Brownian motion even in the slow growth aggregation regime (pdf), Adv. in Appl. Probab. 41(2), pp. 393-427.
  • Brachner, C., Fasen, V. and Lindner, A. (2009): Extremes of Autoregressive Threshold Processes (pdf), Adv. in Appl. Probab. 41(2), pp. 428-451.
  • Asmussen, S., Fasen, V. and Klüppelberg, C. (2009): Heavy tails in insurance (pdf), In: Cont, R. (Ed.) Encyclopedia of Quantitative Finance. Wiley, Chichester, to appear.
  • Fasen, V. (2009): Extremes of Lévy Driven Mixed MA Processes with Convolution Equivalent Distributions (pdf), Extremes, 12(3), pp. 265-296.
  • Fasen, V. (2009): Extremes of Continuous-Time Processes (pdf), In: T.G. Andersen, R. A. Davis, J.-P. Kreiss and T. Mikosch (Eds.), Handbook of Financial Time Series, Springer, pp. 653-667.
  • Fasen, V. and Klüppelberg, C. (2008): Large Insurance Losses Distributions (pdf), In: E. Melnick and B. Everitt (Eds.), Encyclopedia of Quantitative Risk Analysis and Assessment, Wiley, pp. 961-969.
  • Fasen, V. and Klüppelberg, C. (2007): Extremes of SupOU Processes (pdf), In: F.E. Benth, G. Di Nunno, T. Lindstrom, B. Oksendal and T. Zhang (Eds.), Stochastic Analysis and Applications: The Abel Symposium 2005, Springer, pp. 340-359.
  • Fasen, V. (2006): Extremes of Subexponential Lévy Driven Moving Average Processes (pdf), Stochastic Process. Appl., 116, pp. 1066-1087
  • Fasen, V., Klüppelberg, C. and Lindner, A. (2006): Extremal Behavior of Stochastic Volatility Models (pdf), In: A. Shiryaev, M.d.R. Grossinho, P. Oliviera, M. Esquivel (Eds.), Stochastic Finance, Springer, New York, pp. 107-155.
  • Fasen, V. (2005): Extremes of Regularly Varying Lévy Driven Mixed Moving Average Processes (pdf), Adv. in Appl. Probab., 37, pp. 993-1014.


  • B. Das and Fasen, V. (2016): Risk contagion under regular variation and asymptotic tail independence (pdf).
  • Fasen-Hartmann and M. Scholz (2016): Cointegrated Continuous-time Linear State Space and MCARMA Models (pdf).

Habilitation Thesis:

  • Fasen, V. (2010): Heavy Tails in Finance, Insurance and Telecommunication, Habilitation thesis, TU München.

Ph.D. Thesis:

  • Fasen, V. (2004): Extremes of Lévy Driven Moving Average Processes with Applications in Finance, Ph.D. thesis, TU München.

Diploma Thesis:

  • Fasen, V. (2001): Funktionale Zentrale Grenzwertsätze in der Zeitreihenanalyse, Diplomarbeit, TU Karlsruhe.