J. Hambuckers

activity

20212026

most citedUsing the Softplus Function to Construct Alternative Link Functions in Generalized Linear Models and Beyond

11 citations · 12 across the 4 of their papers we have counts for

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econ.EM2026

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…

econ.EM2023★ 1 cited

Measuring tail risk at high-frequency: An $L_{1}$ -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…

Nonfundamentalness or missing information ? Evidence from causal-noncausal VARs in macro-finance

Measuring tail risk at high-frequency: An L1​-regularized extreme value regression approach with unit-root predictors

Measuring tail risk at high-frequency: An $L_{1}$ -regularized extreme value regression approach with unit-root predictors