Webrelaunch 2020

Publications and Preprints

My publications on Google scholar.

Publications:

  • Fasen-Hartmann, V. and M. Scholz (2020+): Cointegrated Continuous-time Linear State Space and MCARMA Models, Stochastics, pp. 1-36, to appear.
  • Fasen-Hartmann, V. and Kimmig, S. (2020): Robust estimation of continuous-time ARMA models via indirect inference, J. Time Series Anal., 41, pp. 620-651.
  • Fasen-Hartmann, V. and M. Scholz (2019): Quasi-maximum likelihood estimation for cointegrated continuous-time state space models observed at low frequencies, Electron. J. Statist., 13(2), pp. 5151-5212.
  • Das, B. and Fasen-Hartmann, V. (2019): Conditional excess risk measures and multivariate regular variation, Statistics and Risk Modeling, 36, pp. 1-23.
  • Das, B. and Fasen-Hartmann, V. (2018): Risk contagion under regular variation and asymptotic tail independence, J. Multivariate Anal., 165, pp. 194–215.
  • Fasen, V. and Kimmig, S. (2017): Information Criteria for Multivariate CARMA Processes , 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, Stochastic Process. Appl., 126, pp. 832-856
  • Fasen, V. (2014): Limit Theory for High Frequency Sampled MCARMA Models, Adv. Appl. Prob., 46, pp. 846-877.
  • Fasen, V., Klüppelberg, C. and Menzel, A. (2014): Modelling and Quantifying Extreme Events Risk, 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, 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, Math. Methods Statist., 22, pp. 283-309.
  • Das, B. Embrechts, P. and Fasen, V. (2013): Four Theorems and a Financial Crisis, 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, Stochastic Process. Appl., 121(1), pp. 229-273.
  • Fasen, V. (2013): Time Series Regression on Integrated Continuous-time Processes with Heavy and Light Tails, Econometric Theory, 29(1), pp. 28-67.
  • Fasen, V. (2013): Statistical Estimation of Multivariate Ornstein-Uhlenbeck Processes and Applications to Co-integration, J. Econometrics, 172(2), pp. 325-337.
  • Fasen, V. and Svejda, A. (2012): Time Consistency of Multi-Period Distortion Measures, Statistics & Risk Modeling, 29, pp. 133-153.
  • Fasen, V. and Klüppelberg, C. (2011): Modellieren und Quantifizieren von Extremen Risiken, 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, Queueing Systems, 66 (4), pp. 313-350.
  • Fasen, V., Klüppelberg, C. and Schlather, M. (2010): High-Level Dependence in Time Series Models, Extremes, 13(1), pp. 1-33.
  • Fasen, V. (2010): Asymptotic Results for Sample Autocovariance Functions and Extremes of Integrated Generalized Ornstein-Uhlenbeck Processes, 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, Adv. in Appl. Probab., 41(2), pp. 393-427.
  • Brachner, C., Fasen, V. and Lindner, A. (2009): Extremes of Autoregressive Threshold Processes, Adv. in Appl. Probab, 41(2), pp. 428-451.
  • Asmussen, S., Fasen, V. and Klüppelberg, C. (2009): Heavy tails in insurance, 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, Extremes, 12(3), pp. 265-296.
  • Fasen, V. (2009): Extremes of Continuous-Time Processes, 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, 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, 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, Stochastic Process. Appl., 116, pp. 1066-1087
  • Fasen, V., Klüppelberg, C. and Lindner, A. (2006): Extremal Behavior of Stochastic Volatility Models, 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, Adv. in Appl. Probab., 37, pp. 993-1014.

Preprints:

  • Das, B., Fasen-Hartmann, V. and Klüppelberg, C. (2020): Tail probabilities of random linear functions of regularly varying random vectors (pdf).
  • Fasen-Hartmann, V. and Mayer, C. (2020): Whittle estimation for stationary state space models with finite second moments (pdf).
  • Fasen-Hartmann, V. and Mayer, C. (2020): A note on estimation of \mathbf{ \alpha}-stable CARMA processes sampled at low frequencies (pdf).

Theses:

  • Fasen, V. (2010): Heavy Tails in Finance, Insurance and Telecommunication, Habilitation thesis, TU München.
  • Fasen, V. (2004): Extremes of Lévy Driven Moving Average Processes with Applications in Finance, Ph.D. thesis, TU München.
  • Fasen, V. (2001): Funktionale Zentrale Grenzwertsätze in der Zeitreihenanalyse, Diplomarbeit, TU Karlsruhe.