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Full Bayesian Analysis for a Model of Tail Dependence JOURNAL ARTICLE published 15 November 2012 in Communications in Statistics - Theory and Methods |
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Measuring Tail Dependence for Aggregate Collateral Losses Using Bivariate Compound Cox Process with Shot Noise Intensity JOURNAL ARTICLE published in SSRN Electronic Journal |
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Non-linear dependence modelling with bivariate copulas: statistical arbitrage pairs trading on the S&P 100 JOURNAL ARTICLE published 8 November 2017 in Applied Economics |
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Modeling dependence of extreme events in energy markets using tail copulas JOURNAL ARTICLE published December 2012 in The Journal of Energy Markets |
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Measures of Dependence BOOK CHAPTER published 2009 in Continuous Bivariate Distributions |
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Characterizations of Bivariate and Multivariate Life Distributions Based on Reciprocal Subtangent JOURNAL ARTICLE published 10 November 2009 in Communications in Statistics - Theory and Methods |
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Weighted approximations of tail copula processes with application to testing the bivariate extreme value condition JOURNAL ARTICLE published 1 August 2006 in The Annals of Statistics |
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Estimation of the coefficient of tail dependence in bivariate extremes JOURNAL ARTICLE published July 1999 in Statistics & Probability Letters |
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Flexible Constructions for Bivariate Copulas Emphasizing Local Dependence BOOK CHAPTER published 2019 in Structural Changes and their Econometric Modeling |
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Assessing High-Risk Scenarios by Full-Range Tail Dependence Copulas JOURNAL ARTICLE published 3 July 2014 in North American Actuarial Journal |
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Distance Between Bivariate Beta Random Points in Two Rectangular Cities JOURNAL ARTICLE published 13 January 2009 in Communications in Statistics - Simulation and Computation |
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Modelling the Dependence of Parametric Bivariate Extreme Value Copulas JOURNAL ARTICLE published 15 June 2010 in Asian Journal of Mathematics & Statistics |
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Concepts of Stochastic Dependence BOOK CHAPTER published 2009 in Continuous Bivariate Distributions |
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A geometric investigation into the tail dependence of vine copulas JOURNAL ARTICLE published July 2021 in Journal of Multivariate Analysis Research funded by Engineering and Physical Sciences Research Council (EP/L015692/1,EP/P002838/1) |
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Tail dependence functions of the bivariate Hüsler–Reiss model JOURNAL ARTICLE published January 2022 in Statistics & Probability Letters |
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Analysis of inter-gauge dependence by Kendall’s τK, upper tail dependence coefficient, and 2-copulas with application to rainfall fields JOURNAL ARTICLE published October 2008 in Stochastic Environmental Research and Risk Assessment |
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Copulas: basic definitions and properties BOOK CHAPTER published 27 July 2015 in Principles of Copula Theory |
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Spin-off Extreme Value and Archimedean copulas for estimating the bivariate structural risk JOURNAL ARTICLE published January 2016 in Stochastic Environmental Research and Risk Assessment |
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On Maximum Attainable Correlation and Other Measures of Dependence for the Sarmanov Family of Bivariate Distributions JOURNAL ARTICLE published 5 January 2004 in Communications in Statistics - Theory and Methods |
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Fast inference methods for high-dimensional factor copulas JOURNAL ARTICLE published 9 September 2022 in Dependence Modeling |