| Publication | Date of Publication | Type |
|---|
Copulae: an overview and recent developments
Wiley Interdisciplinary Reviews. WIREs Computational Statistics | 2024-09-11 | Paper |
Hierarchical Archimedean copulas
SpringerBriefs in Applied Statistics and Econometrics | 2024-05-16 | Paper |
Penalized estimation of hierarchical Archimedean copula
Journal of Multivariate Analysis | 2024-03-25 | Paper |
Copula modeling from Abe Sklar to the present day
Journal of Multivariate Analysis | 2024-03-25 | Paper |
Distributional properties of continuous time processes: from CIR to bates
AStA. Advances in Statistical Analysis | 2023-11-15 | Paper |
Flexible HAR model for realized volatility
Studies in Nonlinear Dynamics & Econometrics | 2023-04-17 | Paper |
Semiparametric estimation of the high-dimensional elliptical distribution
Journal of Multivariate Analysis | 2023-03-17 | Paper |
Vulnerability-CoVaR: investigating the crypto-market
Quantitative Finance | 2022-09-30 | Paper |
Infinitely stochastic micro reserving
Insurance Mathematics \& Economics | 2021-10-19 | Paper |
Outer power transformations of hierarchical Archimedean copulas: construction, sampling and estimation
Computational Statistics and Data Analysis | 2021-05-06 | Paper |
Optimal shrinkage estimator for high-dimensional mean vector
Journal of Multivariate Analysis | 2019-03-21 | Paper |
De copulis non est disputandum. Copulae: an overview
AStA. Advances in Statistical Analysis | 2018-12-18 | Paper |
Managing risk with a realized copula parameter
Computational Statistics and Data Analysis | 2018-08-15 | Paper |
Basic elements of computational statistics
Statistics and Computing | 2017-11-27 | Paper |
On the structure and estimation of hierarchical Archimedean copulas
Journal of Econometrics | 2017-05-12 | Paper |
Lévy copulae for financial returns
Dependence Modeling | 2016-12-20 | Paper |
Modelling spatio-temporal variability of temperature
Computational Statistics | 2016-08-12 | Paper |
Goodness-of-fit test for specification of semiparametric copula dependence models
Journal of Econometrics | 2016-07-01 | Paper |
Goodness-of-fit test for specification of semiparametric copula dependence models
Journal of Econometrics | 2016-05-18 | Paper |
HMM and HAC
Synergies of Soft Computing and Statistics for Intelligent Data Analysis | 2016-05-13 | Paper |
A semiparametric factor model for CDO surfaces dynamics
Journal of Multivariate Analysis | 2016-04-15 | Paper |
Hidden Markov structures for dynamic copulae
Econometric Theory | 2015-11-20 | Paper |
Conditional least squares and copulae in claims reserving for a single line of business
Insurance Mathematics \& Economics | 2015-01-28 | Paper |
Dynamic structured copula models
Statistics \& Risk Modeling | 2014-01-22 | Paper |
Modeling time-varying dependencies between positive-valued high-frequency time series
Copulae in Mathematical and Quantitative Finance | 2013-09-20 | Paper |
Properties of hierarchical Archimedean copulas
Statistics & Risk Modeling | 2013-04-23 | Paper |
On the generating functional of the special case of an \(S\)-stopped branching process
Visnyk L'vivs'kogo Universytetu. Seriya Mekhaniko-Matematychna | 2012-07-16 | Paper |
Fitting high-dimensional copulae to data
Handbook of Computational Finance | 2012-01-10 | Paper |
Asymptotic behaviour of the S-stopped branching processes with countable state space
| 2009-02-28 | Paper |
Modeling Dependencies with Copulae
Applied Quantitative Finance | 2008-12-01 | Paper |
