11 citations · 12 across the 4 of their papers we have counts for
4 papers
Nonfundamentalness or missing information ? Evidence from causal-noncausal VARs in macro-finance
Lison Christiaens, Julien Hambuckers, Alain Hecq
This paper studies the presence of noncausal dynamics in standard macro-finance VAR models and asks whether they reflect genuine nonfundamentalness or omitted information available…
Efficient Estimation in Extreme Value Regression Models of Hedge Fund Tail Risks
Julien Hambuckers, Marie Kratz, Antoine Usseglio-Carleve
We introduce a method to estimate simultaneously the tail and the threshold parameters of an extreme value regression model. This standard model finds its use in finance to assess…
Measuring tail risk at high-frequency: An -regularized extreme value regression approach with unit-root predictors
Julien Hambuckers, Li Sun, Luca Trapin
We study tail risk dynamics in high-frequency financial markets and their connection with trading activity and market uncertainty. We introduce a dynamic extreme value regression m…
Using the Softplus Function to Construct Alternative Link Functions in Generalized Linear Models and Beyond
Paul F. V. Wiemann, Thomas Kneib, Julien Hambuckers
Response functions linking regression predictors to properties of the response distribution are fundamental components in many statistical models. However, the choice of these func…