Marius Hofert
Title
Cited by
Cited by
Year
A note on generalized inverses
P Embrechts, M Hofert
Mathematical Methods of Operations Research 77 (3), 423-432, 2013
1692013
Sampling archimedean copulas
M Hofert
Computational Statistics & Data Analysis 52 (12), 5163-5174, 2008
1682008
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
1612014
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
1612014
CDO pricing with nested Archimedean copulas
M Hofert, M Scherer
Quantitative Finance 11 (5), 775-787, 2011
1292011
Nested Archimedean copulas meet R: The nacopula package
M Hofert, M Mńchler
Journal of Statistical Software 39 (9), 2011
1282011
Likelihood inference for Archimedean copulas in high dimensions under known margins
M Hofert, M Mńchler, AJ Mcneil
Journal of Multivariate Analysis 110, 133-150, 2012
1262012
Efficiently sampling nested Archimedean copulas
M Hofert
Computational Statistics & Data Analysis 55 (1), 57-70, 2011
1232011
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
902016
Statistics and quantitative risk management for banking and insurance
P Embrechts, M Hofert
Annual Review of Statistics and Its Application 1, 493-514, 2014
642014
Inference in multivariate Archimedean copula models
C Genest, J Nešlehovß, J Ziegel
Test 20 (2), 223, 2011
642011
Constructing hierarchical Archimedean copulas with LÚvy subordinators
C Hering, M Hofert, JF Mai, M Scherer
Journal of Multivariate Analysis 101 (6), 1428-1433, 2010
622010
Sampling nested Archimedean copulas with applications to CDO pricing
M Hofert
Universitńt Ulm, 2010
602010
Construction and sampling of nested Archimedean copulas
M Hofert
Copula theory and its applications, 147-160, 2010
462010
Densities of nested Archimedean copulas
M Hofert, D Pham
Journal of Multivariate Analysis 118, 37-52, 2013
442013
A stochastic representation and sampling algorithm for nested Archimedean copulas
M Hofert
Journal of Statistical Computation and Simulation 82 (9), 1239-1255, 2012
442012
Archimedean copulas in high dimensions: Estimators and numerical challenges motivated by financial applications
M Hofert, M Mńchler, AJ McNeil
Journal de la SociÚtÚ Franšaise de Statistique 154 (1), 25-63, 2013
392013
Practices and issues in operational risk modeling under Basel II
P Embrechts, M Hofert
Lithuanian mathematical journal 51 (2), 180, 2011
332011
An approach to structure determination and estimation of hierarchical Archimedean copulas and its application to Bayesian classification
J Gˇrecki, M Hofert, M Holeňa
Journal of Intelligent Information Systems 46 (1), 21-59, 2016
312016
copula: Multivariate dependence with copulas, 2014
M Hofert, I Kojadinovic, M Maechler, J Yan
R package version 0.999-10, 0
31
The system can't perform the operation now. Try again later.
Articles 1–20