Vicky Fasen

Karlsruhe Institute of Technology — Germany

Economics, Econometrics and Finance · Social Sciences

13h-index453citations74works1.02yr avg
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Research Topics

Financial Risk and Volatility Modeling(42), Probability and Risk Models(21), Stochastic processes and financial applications(20), Advanced Statistical Process Monitoring(16), Fault Detection and Control Systems(13)

Publications74 total

Estimation of the number of principal components in high‐dimensional multivariate extremes
Scandinavian Journal of Statistics·2025Open Access
Estimation of the number of principal components in high-dimensional multivariate extremes
arXiv (Cornell University)·2025Open Access
Measuring risk contagion in financial networks with CoVaR
Finance and Stochastics·2025· 1 citedOpen Access
Partial correlation graphs for continuous-parameter time series
Metrika·2025· 1 citedOpen Access
Information criteria for the number of directions of extremes in high-dimensional data
Electronic Journal of Statistics·2025Open Access
Mixed orthogonality graphs for continuous‐time state space models and orthogonal projections
Journal of Time Series Analysis·2024· 3 citedOpen Access
Mixed orthogonality graphs for continuous-time stationary processes
Stochastic Processes and their Applications·2024· 2 citedOpen Access
Information criteria for the number of directions of extremes in high-dimensional data
arXiv (Cornell University)·2024Open Access
Asymptotic independence in higher dimensions and its implications on risk management
arXiv (Cornell University)·2024Open Access
On heavy-tailed risks under Gaussian copula: The effects of marginal transformation
Journal of Multivariate Analysis·2024· 3 cited
Partial correlation graphs for continuous-parameter time series
arXiv (Cornell University)·2024· 1 citedOpen Access
Mixed orthogonality graphs for continuous-time state space models and orthogonal projections
arXiv (Cornell University)·2023Open Access
Measuring risk contagion in financial networks with CoVaR
arXiv (Cornell University)·2023· 2 citedOpen Access
Mixed orthogonality graphs for continuous-time stationary processes
arXiv (Cornell University)·2023Open Access
On heavy-tailed risks under Gaussian copula: the effects of marginal transformation
arXiv (Cornell University)·2023Open Access
Aggregating heavy-tailed random vectors: from finite sums to Lévy processes
arXiv (Cornell University)·2023Open Access
Empirical spectral processes for stationary state space models
Stochastic Processes and their Applications·2022· 1 cited
Tail probabilities of random linear functions of regularly varying random vectors
Extremes·2022· 1 citedOpen Access
Empirical spectral processes for stationary state space models
arXiv (Cornell University)·2022Open Access
A note on estimation of <mml:math xmlns:mml="http://www.w3.org/1998/Math/MathML" display="inline" id="d1e1415" altimg="si5.svg"><mml:mi>α</mml:mi></mml:math>-stable CARMA processes sampled at low frequencies
Journal of Statistical Planning and Inference·2022
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Frequent Co-authors

Claudia Klüppelberg(8), Bikramjit Das(8), Lea Schenk(4), Alexander Lindner(3), Sebastian Kimmig(3), Markus Scholz(3), Celeste Mayer(3), Florian Fuchs(2), Claudia Brachner(2), Martin Schlather(1), Paul Embrechts(1), Annette Menzel(1), Adéla Švejda(1), Parthanil Roy(1), Gennady Samorodnitsky(1)