| Publication | Date of Publication | Type |
|---|
Parameter estimation of Tukey-type distributions: a comparative analysis
Communications in Statistics. Simulation and Computation | 2022-06-21 | Paper |
Statistical inference for Markov chains with applications to credit risk
Computational Statistics | 2021-02-17 | Paper |
Modeling stochastic recovery rates and dependence between default rates and recovery rates within a generalized credit portfolio framework
Journal of Statistical Theory and Practice | 2019-08-30 | Paper |
An extended likelihood framework for modelling discretely observed credit rating transitions
Quantitative Finance | 2019-03-06 | Paper |
Connecting rating migration matrices and the business cycle by means of generalized regression models
Applied Stochastic Models in Business and Industry | 2019-02-08 | Paper |
| A new class of copulas with tail dependence | 2018-10-10 | Paper |
pTAS distributions with application to risk management
Journal of Statistical Distributions and Applications | 2016-11-30 | Paper |
The weak tail dependence coefficient of the elliptical generalized hyperbolic distribution
Extremes | 2016-01-22 | Paper |
Quantifying the impact of different copulas in a generalized CreditRisk\(^+\) framework. An empirical study
Dependence Modeling | 2014-05-23 | Paper |
Generalized hyperbolic secant distributions. With applications to finance
SpringerBriefs in Statistics | 2014-03-04 | Paper |
A tail quantile approximation for the Student \(t\) distribution
Communications in Statistics. Theory and Methods | 2012-10-23 | Paper |
Generalized Tukey-type distributions with application to financial and teletraffic data
Statistical Papers | 2012-09-23 | Paper |
Constructing and generalizing given multivariate copulas: a unifying approach
Statistics | 2012-06-25 | Paper |
| scientific article; zbMATH DE number 5791327 (Why is no real title available?) | 2010-09-24 | Paper |
An alternative maximum entropy model for time-varying moments with application to financial returns
Studies in Nonlinear Dynamics & Econometrics | 2010-07-02 | Paper |
An empirical analysis of multivariate copula models
Quantitative Finance | 2009-12-07 | Paper |
| \(gh\)-transformation of symmetrical distributions | 2008-05-14 | Paper |
A Note on the Kurtosis Ordering of the Generalized Secant Hyperbolic Distribution
Communications in Statistics: Theory and Methods | 2008-03-12 | Paper |
Tukey-Type Distributions in the Context of Financial Data
Communications in Statistics: Theory and Methods | 2007-05-08 | Paper |
Power kurtosis transformations: definition, properties and ordering
AStA. Allgemeines Statistisches Archiv | 2007-04-26 | Paper |
Constructing generalized FGM copulas by means of certain univariate distributions
Metrika | 2007-03-12 | Paper |
Skewness by Splitting the Scale Parameter
Communications in Statistics: Theory and Methods | 2007-02-15 | Paper |
Kurtosis modelling by means of the \(J\)-transformation
AStA. Allgemeines Statistisches Archiv | 2006-03-28 | Paper |
