Trutschnig, Wolfgang
- On a multivariate copula-based dependence measure and its estimation
2021/09/27 by Florian Griessenberger, Robert R. Junker, Griessenberger, Florian +3 · 4 citations
Economics, Econometrics and Finance · Mathematics · #Advanced Statistical Methods and Models #FOS: Mathematics #Financial Risk and Volatility Modeling #Statistics Theory (math.ST)
- Quantifying and estimating dependence via sensitivity of conditional distributions
2023/08/11 by Ansari, Jonathan, Langthaler, Patrick B., Fuchs, Sebastian +1 · 6 citations
#62H20 #FOS: Mathematics #Statistics Theory (math.ST)
- On weak conditional convergence of bivariate Archimedean and Extreme\n Value copulas, and consequences to nonparametric estimation
2020/06/12 by Thimo M. Kasper, Sebastian Fuchs, Kasper, Thimo M. +3 · 1 citation
Economics, Econometrics and Finance · Mathematics · Social Sciences · #FOS: Mathematics #Financial Risk and Volatility Modeling #Insurance, Mortality, Demography, Risk Management #Statistical Methods and Inference #Statistics Theory (math.ST)
- On bivariate lower semilinear copulas and the star product
2024/08/12 by Lea Maislinger, Wolfgang Trutschnig, Maislinger, Lea +1 · 2 citations
Economics, Econometrics and Finance · #Financial Risk and Volatility Modeling #Monetary Policy and Economic Impact #Stochastic processes and financial applications
- A link between Kendall's tau, the length measure and the surface of bivariate copulas, and a consequence to copulas with self-similar support
2023/03/27 by Juan Fernández Sánchez, Wolfgang Trutschnig, Fernández-Sánchez, Juan +1 · 1 citation
Economics, Econometrics and Finance · Mathematics · #FOS: Mathematics #Financial Risk and Volatility Modeling #Statistical and numerical algorithms #Statistics Theory (math.ST)