Prof. Dr. Thomas Kneib

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  • 2021 | Journal Article
    ​ ​Hambuckers, Julien, and Thomas Kneib. "Smooth-Transition Regression Models for Non-Stationary Extremes​." ​Journal of Financial Econometrics, ​2021, , ​doi: 10.1093/jjfinec/nbab005. 
    ​Details  DOI 
  • 2020 | Report
    ​ ​Hambuckers, Julien, and Thomas Kneib. Smooth Transition Regression Models for Non-Stationary Extremes​. ​​2020. doi: 10.2139/ssrn.3541718. 
    ​Details  DOI 
  • 2019 | Preprint
    ​ ​Hambuckers, Julien, and Thomas Kneib. "Operational risk, uncertainty, and the economy: a smooth transition extreme value approach​." ​​2019. 
    ​Details 
  • 2019 | Journal Article
    ​ ​Groll, Andreas, et al. "LASSO-type penalization in the framework of generalized additive models for location, scale and shape​." ​Computational Statistics & Data Analysis, vol. 140, ​2019, pp. 59​-73​, ​doi: 10.1016/j.csda.2019.06.005. 
    ​Details  DOI 
  • 2018 | Preprint
    ​ ​Hambuckers, Julien, Andreas Groll, and Thomas Kneib. "Understanding the Economic Determinants of the Severity of Operational Losses: A Regularized Generalized Pareto Regression Approach​." ​​2018. 
    ​Details 
  • 2018 | Journal Article
    ​ ​Hambuckers, Julien, Andreas Groll, and Thomas Kneib. "Understanding the economic determinants of the severity of operational losses: A regularized generalized Pareto regression approach​." ​Journal of Applied Econometrics, vol. 33, no. 6, ​2018, pp. 898​-935​, ​doi: 10.1002/jae.2638. 
    ​Details  DOI 
  • 2017 | Preprint
    ​ ​Hambuckers, Julien, et al. "A Markov-Switching Generalized Additive Model for Compound Poisson Processes, with Applications to Operational Losses Models​." ​​2017. 
    ​Details 

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