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Patrick J. Laub

Personal Details

First Name:Patrick
Middle Name:J.
Last Name:Laub
Suffix:
RePEc Short-ID:pla1038
http://pat-laub.github.io/

Affiliation

Faculty of Business and Economics
University of Melbourne

Melbourne, Australia
http://fbe.unimelb.edu.au/
RePEc:edi:femelau (more details at EDIRC)

Research output

as
Jump to: Working papers Articles Software

Working papers

  1. Pierre-Olivier Goffard & Patrick Laub, 2021. "Approximate Bayesian Computations to fit and compare insurance loss models," Working Papers hal-02891046, HAL.
  2. Patrick J. Laub & Nicole El Karoui & Stéphane Loisel & Yahia Salhi, 2020. "Quickest detection in practice in presence of seasonality: an illustration with call center data," Post-Print hal-02984527, HAL.
  3. Patrick J. Laub & Thomas Taimre & Philip K. Pollett, 2015. "Hawkes Processes," Papers 1507.02822, arXiv.org.

Articles

  1. Jinjing Li & Michael J. Zyphur & George Sugihara & Patrick J. Laub, 2021. "Beyond linearity, stability, and equilibrium: The edm package for empirical dynamic modeling and convergent cross-mapping in Stata," Stata Journal, StataCorp LP, vol. 21(1), pages 220-258, March.
  2. Laub, Patrick J. & Salomone, Robert & Botev, Zdravko I., 2019. "Monte Carlo estimation of the density of the sum of dependent random variables," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 161(C), pages 23-31.
  3. Søren Asmussen & Patrick J. Laub & Hailiang Yang, 2019. "Phase-Type Models in Life Insurance: Fitting and Valuation of Equity-Linked Benefits," Risks, MDPI, Open Access Journal, vol. 7(1), pages 1-22, February.
  4. Lars Nørvang Andersen & Patrick J. Laub & Leonardo Rojas-Nandayapa, 2018. "Efficient Simulation for Dependent Rare Events with Applications to Extremes," Methodology and Computing in Applied Probability, Springer, vol. 20(1), pages 385-409, March.

Software components

  1. Jinjing Li & Michael Zyphur & Patrick Laub & Edoardo Tescari & Simon Mutch & George Sugihara, 2019. "EDM: Stata module to implement empirical dynamic modeling," Statistical Software Components S458593, Boston College Department of Economics, revised 17 Jun 2021.

Citations

Many of the citations below have been collected in an experimental project, CitEc, where a more detailed citation analysis can be found. These are citations from works listed in RePEc that could be analyzed mechanically. So far, only a minority of all works could be analyzed. See under "Corrections" how you can help improve the citation analysis.

Working papers

  1. Patrick J. Laub & Thomas Taimre & Philip K. Pollett, 2015. "Hawkes Processes," Papers 1507.02822, arXiv.org.

    Cited by:

    1. Maxime Morariu-Patrichi & Mikko S. Pakkanen, 2018. "State-dependent Hawkes processes and their application to limit order book modelling," Papers 1809.08060, arXiv.org, revised Sep 2021.
    2. Simon Clinet & William T. M. Dunsmuir & Gareth W. Peters & Kylie-Anne Richards, 2019. "Asymptotic Distribution of the Score Test for Detecting Marks in Hawkes Processes," Research Paper Series 404, Quantitative Finance Research Centre, University of Technology, Sydney.
    3. Qiyue He & Anatoliy Swishchuk, 2019. "Quantitative and Comparative Analyses of Limit Order Books with General Compound Hawkes Processes," Risks, MDPI, Open Access Journal, vol. 7(4), pages 1-21, November.
    4. Pierre Blanc & Jonathan Donier & Jean-Philippe Bouchaud, 2015. "Quadratic Hawkes processes for financial prices," Papers 1509.07710, arXiv.org.
    5. Anatoliy Swishchuk & Aiden Huffman, 2018. "General Compound Hawkes Processes in Limit Order Books," Papers 1812.02298, arXiv.org.
    6. Anatoliy Swishchuk, 2017. "General Compound Hawkes Processes in Limit Order Books," Papers 1706.07459, arXiv.org, revised Jun 2017.
    7. Maxime Morariu-Patrichi & Mikko Pakkanen, 2018. "State-dependent Hawkes processes and their application to limit order book modelling," CREATES Research Papers 2018-26, Department of Economics and Business Economics, Aarhus University.
    8. Anatoliy Swishchuk & Bruno Remillard & Robert Elliott & Jonathan Chavez-Casillas, 2017. "Compound Hawkes Processes in Limit Order Books," Papers 1712.03106, arXiv.org.
    9. Anatoliy Swishchuk, 2021. "Merton Investment Problems in Finance and Insurance for the Hawkes-based Models," Papers 2104.02694, arXiv.org, revised May 2021.
    10. Anatoliy Swishchuk, 2021. "Merton Investment Problems in Finance and Insurance for the Hawkes-Based Models," Risks, MDPI, Open Access Journal, vol. 9(6), pages 1-13, June.
    11. Yvenn Amara-Ouali & Yannig Goude & Pascal Massart & Jean-Michel Poggi & Hui Yan, 2021. "A Review of Electric Vehicle Load Open Data and Models," Energies, MDPI, Open Access Journal, vol. 14(8), pages 1-35, April.
    12. Achraf Bahamou & Maud Doumergue & Philippe Donnat, 2019. "Hawkes processes for credit indices time series analysis: How random are trades arrival times?," Papers 1902.03714, arXiv.org.

Articles

  1. Søren Asmussen & Patrick J. Laub & Hailiang Yang, 2019. "Phase-Type Models in Life Insurance: Fitting and Valuation of Equity-Linked Benefits," Risks, MDPI, Open Access Journal, vol. 7(1), pages 1-22, February.

    Cited by:

    1. Jevgenijs Ivanovs, 2021. "On scale functions for Lévy processes with negative phase-type jumps," Queueing Systems: Theory and Applications, Springer, vol. 98(1), pages 3-19, June.

Software components

    Sorry, no citations of software components recorded.

More information

Research fields, statistics, top rankings, if available.

Statistics

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NEP Fields

NEP is an announcement service for new working papers, with a weekly report in each of many fields. This author has had 1 paper announced in NEP. These are the fields, ordered by number of announcements, along with their dates. If the author is listed in the directory of specialists for this field, a link is also provided.
  1. NEP-ECM: Econometrics (1) 2020-09-07. Author is listed
  2. NEP-IAS: Insurance Economics (1) 2020-09-07. Author is listed
  3. NEP-RMG: Risk Management (1) 2020-09-07. Author is listed

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