11 citations · 12 across the 4 of their papers we have counts for
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stat.ME2023
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…
stat.ME2021★ 11 cited
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…