Marius Hofert

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Martin MächlerAdjunct Professor, ETH ZurichVerified email at stat.math.ethz.ch
Ivan KojadinovicProfessor of Statistics, University of Pau, FranceVerified email at univ-pau.fr
Jun YanUniversity of ConnecticutVerified email at uconn.edu
Alexander McNeilUniversity of YorkVerified email at york.ac.uk
Christiane LemieuxStatistics and Actuarial Science, University of WaterlooVerified email at uwaterloo.ca
Avinash PrasadPostdoctoral Fellow, University of WaterlooVerified email at uwaterloo.ca
Matthias SchererTechnische Universität MünchenVerified email at tum.de
Jan GóreckiSilesian university in Opava, SBA in KarvináVerified email at opf.slu.cz
Martin HolenaVerified email at cs.cas.cz
Takaaki KoikeHitotsubashi UniversityVerified email at r.hit-u.ac.jp
Wayne OldfordProfessor of Statistics, University of WaterlooVerified email at uwaterloo.ca
Johanna ZiegelProfessor of Statistics, ETH ZurichVerified email at ethz.ch
Mélina MailhotConcordia UniversityVerified email at concordia.ca
Fabrizio DuranteDipartimento di Matematica e Fisica "Ennio De Giorgi", Università del SalentoVerified email at unisalento.it
Tony S. WirjantoDepartment of Statistics & Actuarial Science, University of WaterlooVerified email at uwaterloo.ca
Raphaël HuserAssociate Professor, King Abdullah University of Science and Technology (KAUST)Verified email at kaust.edu.sa
Oliver GrotheProfessor, KITVerified email at kit.edu
Ruodu WangUniversity of WaterlooVerified email at uwaterloo.ca
Frédéric VrinsLFIN/LIDAM, UCLouvainVerified email at uclouvain.be
David SaundersDepartment of Statistics and Actuarial Science, University of WaterlooVerified email at uwaterloo.ca

Marius Hofert

The University of Hong Kong

Verified email at hku.hk - Homepage

Dependence Modeling Computational Statistics Data Science Quantitative Risk Management


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A note on generalized inverses P Embrechts, M Hofert Mathematical Methods of Operations Research 77, 423-432, 2013	357	2013
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	347	2014
Elements of copula modeling with R M Hofert, I Kojadinovic, M Mächler, J Yan Springer International Publishing, 2018	256	2018
Sampling Archimedean copulas M Hofert Computational Statistics & Data Analysis 52 (12), 5163-5174, 2008	236	2008
Nested Archimedean copulas meet R: The nacopula package M Hofert, M Mächler Journal of Statistical Software 39 (9), 1-20, 2011	217	2011
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	202	2012
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	179	2016
Efficiently sampling nested Archimedean copulas M Hofert Computational Statistics & Data Analysis 55 (1), 57-70, 2011	178	2011
CDO pricing with nested Archimedean copulas M Hofert, M Scherer Quantitative Finance 11 (5), 775-787, 2011	165	2011
Sampling nested Archimedean copulas with applications to CDO pricing M Hofert Universität Ulm, 2010	98	2010
Inference in multivariate Archimedean copula models C Genest, J Nešlehová, J Ziegel Test 20, 223-256, 2011	93	2011
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	89	2014
Constructing hierarchical Archimedean copulas with Lévy subordinators C Hering, M Hofert, JF Mai, M Scherer Journal of Multivariate Analysis 101 (6), 1428-1433, 2010	82	2010
copula: Multivariate dependence with copulas, 2014 M Hofert, I Kojadinovic, M Maechler, J Yan URL http://CRAN. R-project. org/package= copula. R package version 0.999-7, 2020	72	2020
Copula: multivariate dependence with copulas, r package version 1.0-1 M Hofert, I Kojadinovic, M Maechler, J Yan	71	2020
Densities of nested Archimedean copulas M Hofert, D Pham Journal of Multivariate Analysis 118, 37-52, 2013	64	2013
A stochastic representation and sampling algorithm for nested Archimedean copulas M Hofert Journal of Statistical Computation and Simulation 82 (9), 1239-1255, 2012	59	2012
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	57	2013
Sampling exponentially tilted stable distributions M Hofert ACM Transactions on Modeling and Computer Simulation (TOMACS) 22 (1), 1-11, 2011	50	2011
An approach to structure determination and estimation of hierarchical Archimedean copulas and its application to Bayesian classification J Górecki, M Hofert, M Holeňa Journal of Intelligent Information Systems 46 (1), 21-59, 2016	46	2016

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