| Publication | Date of Publication | Type |
|---|
Distribution free tests for model selection based on maximum mean discrepancy with estimated parameters
Journal of Machine Learning Research (JMLR) | 2025-12-09 | Paper |
Model-based vs. agnostic methods for the prediction of time-varying covariance matrices
Annals of Operations Research | 2025-03-21 | Paper |
Risk budgeting portfolios: existence and computation
Mathematical Finance | 2024-11-20 | Paper |
Sparse M-estimators in semi-parametric copula models
Bernoulli | 2024-07-02 | Paper |
Testing for equality between conditional copulas given discretized conditioning events
The Canadian Journal of Statistics | 2024-01-22 | Paper |
Estimation of Copulas via Maximum Mean Discrepancy
Journal of the American Statistical Association | 2023-10-18 | Paper |
A corrected Clarke test for model selection and beyond
Journal of Econometrics | 2023-06-09 | Paper |
Conditional empirical copula processes and generalized measures of association
Electronic Journal of Statistics | 2022-12-19 | Paper |
Identifiability and estimation of meta-elliptical copula generators
Journal of Multivariate Analysis | 2022-07-01 | Paper |
Identifiability and estimation of meta-elliptical copula generators
Journal of Multivariate Analysis | 2022-05-23 | Paper |
High-dimensional penalized ARCH processes
Econometric Reviews | 2022-03-04 | Paper |
The finite sample properties of sparse M-estimators with pseudo-observations
Annals of the Institute of Statistical Mathematics | 2022-02-14 | Paper |
| Sparse M-estimators in semi-parametric copula models | 2021-12-22 | Paper |
| Conditional empirical copula processes and generalized dependence measures | 2020-08-21 | Paper |
Testing for equality between conditional copulas given discretized conditioning events
The Canadian Journal of Statistics | 2020-08-21 | Paper |
On Kendall's regression
Journal of Multivariate Analysis | 2020-05-19 | Paper |
On kernel-based estimation of conditional Kendall's tau: finite-distance bounds and asymptotic behavior
Dependence Modeling | 2020-05-12 | Paper |
A classification point-of-view about conditional Kendall's tau
Computational Statistics and Data Analysis | 2019-03-29 | Paper |
Dynamic asset correlations based on vines
Econometric Theory | 2019-03-27 | Paper |
Combining cumulative sum change-point detection tests for assessing the stationarity of univariate time series
Journal of Time Series Analysis | 2019-03-05 | Paper |
On break-even correlation: the way to price structured credit derivatives by replication
Quantitative Finance | 2018-09-19 | Paper |
A classification point-of-view about conditional Kendall's tau
(available as arXiv preprint) | 2018-06-23 | Paper |
Single-index copulas
Journal of Multivariate Analysis | 2018-04-12 | Paper |
Single-index copulas
Journal of Multivariate Analysis | 2018-04-12 | Paper |
About tests of the ``simplifying'' assumption for conditional copulas
Dependence Modeling | 2018-02-15 | Paper |
On the stationarity of dynamic conditional correlation models
Econometric Theory | 2017-08-22 | Paper |
Asymptotic total variation tests for copulas
Bernoulli | 2015-08-05 | Paper |
Asymptotic total variation tests for copulas
Bernoulli | 2015-08-05 | Paper |
Hedging default risks of CDOs in Markovian contagion models
Quantitative Finance | 2013-12-13 | Paper |
An overview of the goodness-of-fit test problem for copulas
Copulae in Mathematical and Quantitative Finance | 2013-09-20 | Paper |
Time-dependent copulas
Journal of Multivariate Analysis | 2012-08-13 | Paper |
An empirical central limit theorem with applications to copulas under weak dependence
Statistical Inference for Stochastic Processes | 2011-02-15 | Paper |
Kernel estimation of Greek weights by parameter randomization
The Annals of Applied Probability | 2008-01-28 | Paper |
A NONPARAMETRIC SIMULATED MAXIMUM LIKELIHOOD ESTIMATION METHOD
Econometric Theory | 2006-01-17 | Paper |
Goodness-of-fit tests for copulas
Journal of Multivariate Analysis | 2005-06-30 | Paper |
Weak convergence of empirical copula processes
Bernoulli | 2005-03-30 | Paper |
Nonparametric estimation of competing risks models with covariates
Journal of Multivariate Analysis | 2003-06-09 | Paper |
Lower bounds on bandwidth selection in hazard estimation
Journal of Nonparametric Statistics | 2002-04-07 | Paper |
A new bandwidth selector in hazard estimation
Journal of Nonparametric Statistics | 2000-10-19 | Paper |
Multivariate hazard rates under random censorship
Journal of Multivariate Analysis | 1999-04-08 | Paper |
