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Identifiability and estimation of meta-elliptical copula generators
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Journal of Multivariate Analysis, 2022
The finite sample properties of sparse M-estimators with pseudo-observations
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Annals of the Institute of Statistical Mathematics, 2022
Testing for equality between conditional copulas given discretized conditioning events
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Canadian Journal of Statistics, 2022
Estimation of Copulas via Maximum Mean Discrepancy
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Journal of the American Statistical Association, 2022
A corrected Clarke test for model selection and beyond
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Journal of Econometrics, 2022
On th edependence between default risk and recovery rates in structural models
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Annals of Economics and Statistics, 2020
On Kendall's regression
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Journal of Multivariate Analysis, 2020
High-dimensional penalized arch processes
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Econometric Reviews, 2020
A classification point-of-view about conditional Kendall's tau
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Computational Statistics and Data Analysis, 2019