- "Modelling dynamic portfolio risk using risk drivers
of elliptical processes". 2007,
Insurance:
Mathematics and Economics (to appear), jointly with C. Schmieder.
-
''Multivariate Conditional Versions of Spearman's
Rho and Related Measures of Tail Dependence''. 2007,
The Journal of
Multivariate Analysis 98,
1123-1140, jointly with F. Schmid [ps,pdf]
- "Future life expectancy in Australia, Europe, Japan
and North America". 2007,
The Journal of
Population Research (to appear), jointly with E. Bomsdorf, B.
Babel.
-
''Nonparametric Inference on Multivariate Versions
of Blomqvist's Beta and Related Measures of Tail Dependence''. 2007,
Metrika (to
appear), jointly with F. Schmid [ps,pdf]
-
''On the Asymptotic Behavior of Spearman's Rho and
Related Multivariate Extensions''. 2007,
Statistics and
Probability Letters 77,
407–416, jointly with F. Schmid [ps,pdf]
-
''Forecasting German mortality using panel data
procedures''. 2007,
Journal of Population
Economics (to appear), jointly with B. Babel, B. Bomsdorf [ps,pdf]
-
''Bootstrapping Spearman's Multivariate Rho''. 2006,
Proc. Compstat 06, p.
759--766. jointly with F. Schmid, [ps,pdf]
-
''Non-parametric estimation of tail dependence''.
2006,
Scandinavian Journal of Statistics, 33, 307--335, jointly with U.
Stadtmüller [ps,pdf]
-
''Multidimensional data modelling with generalized
hyperbolic distributions''. 2006,
Journal of Computational Statistics and Data Analysis. 50, 2065-2096, Jointly with T.
Hrycej, E. Stützle [pdf]
-
''Estimating the tail dependence coefficient''. 2005
Insurance: Mathematics and Economics. 37, 80-100. Jointly with G. Frahm,
M. Junker, [ps,pdf]
-
''High-Frequency Data - Interplay between
distributional and temporal dependence''. 2005, in From
Stochastic Analysis to Mathematical Finance - Festschrift for
A.N. Shiryaev (eds. Y. Kabanov and R. Lipster),
Springer Verlag, New York, (in print), jointly with N. Bingham.
-
''Tail dependence''. 2005 in
Statistical tools in
finance and insurance (eds. P. Cizek, W. Härdle, and
R. Weron), Springer Verlag New York. [pdf]
-
''Dependence Modelling in Finance: The copula
concept''. 2004, in
Structured Credit
Products - Pricing, Rating, Risk Management and Basel II (ed. W.
Perraudin),
Risk Books, London, jointly with R. Kiesel.
-
''Semi-parametric modelling in finance''. 2003,
Quantitative Finance. 3 (6),
426-441. jointly with N. Bingham, R. Kiesel [pdf]
-
''Credit risk modelling and estimation via
elliptical copulae''. 2003, in
Credit Risk: Measurement, Evaluation and Management (eds.
G. Bohl, G. Nakhaeizadeh,
S.T. Rachev, T. Ridder and K.H. Vollmer), Physica Verlag
Heidelberg, 267-289. [ps,pdf]
-
''Tail dependence for elliptically contoured
distributions''. 2002,
Math. Methods of Operations Research. 2002, 55 (2), 301-327. [ps,pdf]
-
''Measuring Large Comovements in Financial Markets.
2006,
submitted,
jointly with J. Penzer, F. Schmid.
-
''Future trends and dynamics of the occurrence of
Down's Syndrome and Stillbirths''. 2006,
submitted.
jointly with B. Babel, E. Bomsdorf.
-
''Mortality Maps based on Spatial Extrapolation''.
2006,
submitted,
jointly with B. Babel, S. Eckel, V. Schmidt.
-
''Schur Unimodality of Distributions''. 2006,
submitted,
jointly with R. Theodorescu.
-
''Dependencies of extreme events in finance -
Modelling, statistics, and data analysis''. 2003,
Dissertation University of Ulm. 2003 [zip(ps),pdf]
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