Theo dõi
Marius Hofert
Tiêu đề
Trích dẫn bởi
Trích dẫn bởi
Năm
A note on generalized inverses
P Embrechts, M Hofert
Mathematical Methods of Operations Research 77, 423-432, 2013
3642013
copula: Multivariate dependence with copulas
M Hofert, I Kojadinovic, M Maechler, J Yan
R package version 0.999-9, URL http://CRAN. R-project. org/package= copula, C225, 2014
3582014
Elements of copula modeling with R
M Hofert, I Kojadinovic, M Mächler, J Yan
Springer International Publishing, 2018
2792018
Sampling Archimedean copulas
M Hofert
Computational Statistics & Data Analysis 52 (12), 5163-5174, 2008
2342008
Nested Archimedean copulas meet R: The nacopula package
M Hofert, M Mächler
Journal of Statistical Software 39, 1-20, 2011
2172011
Likelihood inference for Archimedean copulas in high dimensions under known margins
M Hofert, M Mächler, AJ McNeil
Journal of Multivariate Analysis 110, 133-150, 2012
2062012
An extreme value approach for modeling operational risk losses depending on covariates
V Chavez‐Demoulin, P Embrechts, M Hofert
Journal of Risk and Insurance 83 (3), 735-776, 2016
1842016
Efficiently sampling nested Archimedean copulas
M Hofert
Computational Statistics & Data Analysis 55 (1), 57-70, 2011
1752011
CDO pricing with nested Archimedean copulas
M Hofert, M Scherer
Quantitative Finance 11 (5), 775-787, 2011
1652011
Sampling nested Archimedean copulas with applications to CDO pricing
M Hofert
Universität Ulm, 2010
962010
Inference in multivariate Archimedean copula models
C Genest, J Nešlehová, J Ziegel
Test 20, 223-256, 2011
932011
Statistics and quantitative risk management for banking and insurance
P Embrechts, M Hofert
Annual Review of Statistics and Its Application 1 (1), 493-514, 2014
902014
Constructing hierarchical Archimedean copulas with Lévy subordinators
C Hering, M Hofert, JF Mai, M Scherer
Journal of Multivariate Analysis 101 (6), 1428-1433, 2010
802010
copula: Multivariate dependence with copulas, 2014
M Hofert, I Kojadinovic, M Maechler, J Yan
R package version 0.999-15, 2020
782020
Copula: multivariate dependence with copulas, r package version 1.0-1
M Hofert, I Kojadinovic, M Maechler, J Yan
772020
Densities of nested Archimedean copulas
M Hofert, D Pham
Journal of Multivariate Analysis 118, 37-52, 2013
682013
Archimedean copulas in high dimensions: Estimators and numerical challenges motivated by financial applications
M Hofert, M Mächler, AJ McNeil
Journal de la Société Française de Statistique 154 (1), 25-63, 2013
582013
A stochastic representation and sampling algorithm for nested Archimedean copulas
M Hofert
Journal of Statistical Computation and Simulation 82 (9), 1239-1255, 2012
582012
Sampling exponentially tilted stable distributions
M Hofert
ACM Transactions on Modeling and Computer Simulation (TOMACS) 22 (1), 1-11, 2011
522011
Construction and sampling of nested Archimedean copulas
M Hofert
Copula Theory and Its Applications: Proceedings of the Workshop Held in …, 2010
482010
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