Publications

2025

• Volatility modelling in a Markov-switching environment: two Ornstein–Uhlenbeck-related approachesBehme, A., Oct 2025, In: Finance and stochastics. 29, 4, p. 1109-1138, 30 p.Electronic (full-text) versionResearch output: Contribution to journal > Research article
• Limit Theorems for Stochastic Exponentials of Matrix-Valued Lévy ProcessesBehme, A. & Mentemeier, S., Sep 2025, In: Journal of Theoretical Probability. 38, 3, 61Electronic (full-text) versionResearch output: Contribution to journal > Research article
• Deep Learning Joint Extremes of Metocean Variables Using the SPAR ModelMackay, E., Murphy-Barltrop, C. J., Richards, J. & Jonathan, P., 21 Aug 2025, Proceedings of ASME 2025 44th International Conference on Ocean, Offshore and Arctic Engineering: Ocean Engineering: Polar and Arctic Sciences and Technology. Vol. 3. 13 p., V003T06A034Electronic (full-text) versionResearch output: Contribution to book/conference proceedings/anthology/report > Conference contribution
• Optimal Wasserstein-1 distance between SDEs driven by Brownian motion and stable processesDeng, C., Schilling, R. L. & Xu, L., Aug 2025, In:  Bernoulli : official journal of the Bernoulli Society for Mathematical Statistics and Probability. 31, 3, p. 1834-1857, 24 p.Electronic (full-text) versionResearch output: Contribution to journal > Research article
• SimZSL: Zero-Shot Learning Beyond a Pre-defined Semantic Embedding SpaceAtigh, M. G., Nargang, S., Keller-Ressel, M. & Mettes, P., Aug 2025, In: International journal of computer vision. 133, 8, p. 5161-5177, 17 p.Electronic (full-text) versionResearch output: Contribution to journal > Research article
• Inference for bivariate extremes via a semi-parametric angular-radial modelMurphy-Barltrop, C. J. R., Mackay, E. & Jonathan, P., Jun 2025, In: Extremes : statistical theory and applications in science, engineering and economics. 28, 2, p. 209-238, 30 p.Electronic (full-text) versionResearch output: Contribution to journal > Research article
• Extreme value methods for estimating rare events in Utopia: EVA (2023) conference data challenge: team Lancopula UtopiversityAndré, L. M., Campbell, R., D’Arcy, E., Farrell, A., Healy, D., Kakampakou, L., Murphy, C. & 2 others, Mar 2025, In: Extremes : statistical theory and applications in science, engineering and economics. 28, 1, p. 23–45, 23 p., 108025Electronic (full-text) versionResearch output: Contribution to journal > Research article

2024

• Modelling non-stationarity in asymptotically independent extremesMurphy-Barltrop, C. & Wadsworth, J., Nov 2024, In: Computational statistics & data analysis. 199, p. 1-18, 18 p., 108025Electronic (full-text) versionResearch output: Contribution to journal > Research article
• Improving estimation for asymptotically independent bivariate extremes via global estimators for the angular dependence functionMurphy-Barltrop, C. J. R., Wadsworth, J. L. & Eastoe, E. F., 13 Aug 2024, In: Extremes : statistical theory and applications in science, engineering and economics. 27, 4, p. 643-671, 29 p.Electronic (full-text) versionResearch output: Contribution to journal > Research article
• On moments of integrals with respect to Markov additive processes and of Markov modulated generalized Ornstein–Uhlenbeck processesBehme, A., Tella, P. D. & Sideris, A., Aug 2024, In: Stochastic processes and their applications. 174, 104382Electronic (full-text) versionResearch output: Contribution to journal > Research article