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Hofert, Marius

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Author ID: hofert.marius Recent zbMATH articles by "Hofert, Marius"
Published as: Hofert, M.; Hofert, Marius
Documents Indexed: 30 Publications since 2008, including 1 Book

Publications by Year

Citations contained in zbMATH

23 Publications have been cited 311 times in 205 Documents Cited by Year
A note on generalized inverses. Zbl 1281.60014
Embrechts, Paul; Hofert, Marius
48
2013
Sampling Archimedean copulas. Zbl 1452.62070
Hofert, Marius
40
2008
Efficiently sampling nested Archimedean copulas. Zbl 1247.62132
Hofert, Marius
39
2011
Likelihood inference for Archimedean copulas in high dimensions under known margins. Zbl 1244.62073
Hofert, Marius; Mächler, Martin; McNeil, Alexander J.
31
2012
CDO pricing with nested Archimedean copulas. Zbl 1213.91074
Hofert, Marius; Scherer, Matthias
27
2011
Constructing hierarchical archimedean copulas with Lévy subordinators. Zbl 1194.60017
Hering, Christian; Hofert, Marius; Mai, Jan-Frederik; Scherer, Matthias
17
2010
A stochastic representation and sampling algorithm for nested Archimedean copulas. Zbl 1271.60026
Hofert, Marius
16
2012
Modeling defaults with nested Archimedean copulas. Zbl 1232.91690
Hofert, Marius
16
2010
Bernoulli and tail-dependence compatibility. Zbl 1385.60029
Embrechts, Paul; Hofert, Marius; Wang, Ruodu
12
2016
Densities of nested Archimedean copulas. Zbl 1277.62138
Hofert, Marius; Pham, David
11
2013
Sampling exponentially tilted stable distributions. Zbl 1386.65051
Hofert, Marius
10
2011
Archimedean copulas in high dimensions: estimators and numerical challenges motivated by financial applications. Zbl 1316.62070
Hofert, Marius; Mächler, Martin; McNeil, Alexander J.
7
2013
Multivariate hierarchical copulas with shocks. Zbl 1201.62063
Durante, Fabrizio; Hofert, Marius; Scherer, Matthias
7
2010
Statistical inference for copulas in high dimensions: a simulation study. Zbl 1282.62146
Embrechts, Paul; Hofert, Marius
6
2013
Comments on: Inference in multivariate Archimedean copula models. Zbl 1367.62163
Embrechts, Paul; Hofert, Marius
5
2011
Kendall’s tau and agglomerative clustering for structure determination of hierarchical Archimedean copulas. Zbl 1404.62054
Górecki, J.; Hofert, M.; Holeňa, M.
4
2017
Quasi-random numbers for copula models. Zbl 06737713
Cambou, Mathieu; Hofert, Marius; Lemieux, Christiane
3
2017
Sibuya copulas. Zbl 1354.60014
Hofert, Marius; Vrins, Frédéric
3
2013
Importance sampling and stratification for copula models. Zbl 1405.65005
Arbenz, Philipp; Cambou, Mathieu; Hofert, Marius; Lemieux, Christiane; Taniguchi, Yoshihiro
2
2018
Multivariate geometric expectiles. Zbl 1398.62302
Herrmann, Klaus; Hofert, Marius; Mailhot, Mélina
2
2018
Improved algorithms for computing worst value-at-risk. Zbl 1361.91062
Hofert, Marius; Memartoluie, Amir; Saunders, David; Wirjanto, Tony
2
2017
Construction and sampling of Archimedean and nested Archimedean Lévy copulas. Zbl 1320.62114
Grothe, Oliver; Hofert, Marius
2
2015
Elements of copula modeling with R. Zbl 1412.62004
Hofert, Marius; Kojadinovic, Ivan; Mächler, Martin; Yan, Jun
1
2018
Importance sampling and stratification for copula models. Zbl 1405.65005
Arbenz, Philipp; Cambou, Mathieu; Hofert, Marius; Lemieux, Christiane; Taniguchi, Yoshihiro
2
2018
Multivariate geometric expectiles. Zbl 1398.62302
Herrmann, Klaus; Hofert, Marius; Mailhot, Mélina
2
2018
Elements of copula modeling with R. Zbl 1412.62004
Hofert, Marius; Kojadinovic, Ivan; Mächler, Martin; Yan, Jun
1
2018
Kendall’s tau and agglomerative clustering for structure determination of hierarchical Archimedean copulas. Zbl 1404.62054
Górecki, J.; Hofert, M.; Holeňa, M.
4
2017
Quasi-random numbers for copula models. Zbl 06737713
Cambou, Mathieu; Hofert, Marius; Lemieux, Christiane
3
2017
Improved algorithms for computing worst value-at-risk. Zbl 1361.91062
Hofert, Marius; Memartoluie, Amir; Saunders, David; Wirjanto, Tony
2
2017
Bernoulli and tail-dependence compatibility. Zbl 1385.60029
Embrechts, Paul; Hofert, Marius; Wang, Ruodu
12
2016
Construction and sampling of Archimedean and nested Archimedean Lévy copulas. Zbl 1320.62114
Grothe, Oliver; Hofert, Marius
2
2015
A note on generalized inverses. Zbl 1281.60014
Embrechts, Paul; Hofert, Marius
48
2013
Densities of nested Archimedean copulas. Zbl 1277.62138
Hofert, Marius; Pham, David
11
2013
Archimedean copulas in high dimensions: estimators and numerical challenges motivated by financial applications. Zbl 1316.62070
Hofert, Marius; Mächler, Martin; McNeil, Alexander J.
7
2013
Statistical inference for copulas in high dimensions: a simulation study. Zbl 1282.62146
Embrechts, Paul; Hofert, Marius
6
2013
Sibuya copulas. Zbl 1354.60014
Hofert, Marius; Vrins, Frédéric
3
2013
Likelihood inference for Archimedean copulas in high dimensions under known margins. Zbl 1244.62073
Hofert, Marius; Mächler, Martin; McNeil, Alexander J.
31
2012
A stochastic representation and sampling algorithm for nested Archimedean copulas. Zbl 1271.60026
Hofert, Marius
16
2012
Efficiently sampling nested Archimedean copulas. Zbl 1247.62132
Hofert, Marius
39
2011
CDO pricing with nested Archimedean copulas. Zbl 1213.91074
Hofert, Marius; Scherer, Matthias
27
2011
Sampling exponentially tilted stable distributions. Zbl 1386.65051
Hofert, Marius
10
2011
Comments on: Inference in multivariate Archimedean copula models. Zbl 1367.62163
Embrechts, Paul; Hofert, Marius
5
2011
Constructing hierarchical archimedean copulas with Lévy subordinators. Zbl 1194.60017
Hering, Christian; Hofert, Marius; Mai, Jan-Frederik; Scherer, Matthias
17
2010
Modeling defaults with nested Archimedean copulas. Zbl 1232.91690
Hofert, Marius
16
2010
Multivariate hierarchical copulas with shocks. Zbl 1201.62063
Durante, Fabrizio; Hofert, Marius; Scherer, Matthias
7
2010
Sampling Archimedean copulas. Zbl 1452.62070
Hofert, Marius
40
2008
all top 5

Cited by 378 Authors

21 Hofert, Marius
11 Scherer, Matthias
10 Mai, Jan-Frederik
9 Durante, Fabrizio
7 Cossette, Hélène
6 Embrechts, Paul
6 Marceau, Étienne
6 Rullière, Didier
5 Czado, Claudia
5 Di Bernardino, Elena
5 Favaro, Stefano
5 Nipoti, Bernardo
5 Wang, Ruodu
4 Barabesi, Lucio
4 Genest, Christian
4 Nešlehová, Johanna G.
3 Brechmann, Eike Christian
3 Côté, Marie-Pier
3 Girard, Stéphane
3 McNeil, Alexander J.
3 Mtalai, Itre
3 Teh, Yee Whye
2 Abdallah, Anas
2 Arbenz, Philipp
2 Areepong, Yupaporn
2 Badía, Francisco German
2 Bloch-Mercier, Sophie
2 Bodnar, Taras
2 Busababodhin, Piyapatr
2 Cambou, Mathieu
2 Dick, Josef
2 Dickhaus, Thorsten
2 Eling, Martin
2 Fernández-Sánchez, Juan
2 Fougères, Anne-Laure
2 Gadoury, Simon-Pierre
2 Geerdens, Candida
2 Górecki, Jan
2 Grothe, Oliver
2 Heider, Pascal
2 Hering, Christian
2 Herrmann, Klaus
2 Holeňa, Martin
2 Janssen, Paul
2 Kohn, Robert J.
2 Koike, Takaaki
2 Kuvattana, Sasigarn
2 Lemieux, Christiane
2 Mailhot, Mélina
2 Mazo, Gildas
2 Min, Aleksey
2 Nagy, Stanislav
2 Okhrin, Ostap
2 Okhrin, Yarema
2 Pappadà, Roberta
2 Peters, Gareth William
2 Prasad, Avinash
2 Robert, Christian Yann
2 Sangüesa, Carmen
2 Schepsmeier, Ulf
2 Schmid, Wolfgang
2 Schröter, Alexander
2 Sloot, Henrik
2 Su, Jianxi
2 Sukparungsee, Saowanit
2 Úbeda-Flores, Manuel
2 Uyttendaele, Nathan
2 Vanduffel, Steven
2 Wang, Bin
2 Wysocki, Włodzimierz
1 Ackerer, Damien
1 Alai, Daniel H.
1 Amirzadeh, Vahid
1 Arbel, Julyan
1 Arnold, Sebastian
1 Asimit, Alexandru V.
1 Baccini, Alberto
1 Badescu, Alexandru M.
1 Bae, Taehan
1 Baglioni, Angelo
1 Bagré, Remi Guillaume
1 Baillargeon, Sophie
1 Bajić, Dragana
1 Barnard, Roger W.
1 Barro, Diakarya
1 Barthel, Nicole
1 Basu, Kinjal
1 Baudier, Florent
1 Becatti, Carolina
1 Bee, Marco
1 Bellini, Fabio
1 Bernard, Carole
1 Bernardi, Enrico
1 Bernhart, German
1 Blaser, Nello
1 Borzykh, Dmitriy A.
1 Boucher, Jean-Philippe
1 Braekers, Roel
1 Brahimi, Brahim
1 Brun, Morten
...and 278 more Authors
all top 5

Cited in 82 Serials

24 Journal of Multivariate Analysis
21 Insurance Mathematics & Economics
11 Dependence Modeling
7 Computational Statistics and Data Analysis
6 ASTIN Bulletin
5 Statistics & Probability Letters
5 Electronic Journal of Statistics
4 Fuzzy Sets and Systems
4 Journal of Statistical Computation and Simulation
4 Methodology and Computing in Applied Probability
4 Statistical Methods and Applications
4 Statistics and Computing
3 Advances in Applied Probability
3 Journal of Applied Probability
3 Statistics
3 SIAM Journal on Mathematical Analysis
3 Extremes
3 Scandinavian Actuarial Journal
3 Quantitative Finance
3 European Actuarial Journal
3 Statistics & Risk Modeling
2 The Canadian Journal of Statistics
2 Metrika
2 Journal of Computational and Applied Mathematics
2 Journal of Statistical Planning and Inference
2 Operations Research
2 Journal of Theoretical Probability
2 Economics Letters
2 Computational Statistics
2 European Journal of Operational Research
2 Statistical Papers
2 Lifetime Data Analysis
2 Electronic Journal of Probability
2 Journal of Nonparametric Statistics
2 AStA. Advances in Statistical Analysis
1 Israel Journal of Mathematics
1 Scandinavian Journal of Statistics
1 Advances in Mathematics
1 Annals of the Institute of Statistical Mathematics
1 The Annals of Statistics
1 Applied Mathematics and Computation
1 Biometrics
1 Information Sciences
1 International Journal of Mathematics and Mathematical Sciences
1 Journal of Econometrics
1 Kybernetika
1 SIAM Journal on Control and Optimization
1 SIAM Journal on Numerical Analysis
1 Journal of Economic Dynamics & Control
1 Annals of Operations Research
1 Communications in Statistics. Simulation and Computation
1 Communications in Statistics. Theory and Methods
1 Expositiones Mathematicae
1 Cybernetics and Systems Analysis
1 Test
1 Calculus of Variations and Partial Differential Equations
1 Applied Mathematical Finance
1 Complexity
1 Mathematical Problems in Engineering
1 Finance and Stochastics
1 European Series in Applied and Industrial Mathematics (ESAIM): Probability and Statistics
1 Australian & New Zealand Journal of Statistics
1 Journal of the Royal Statistical Society. Series B. Statistical Methodology
1 Journal of Applied Statistics
1 Communications in Nonlinear Science and Numerical Simulation
1 CEJOR. Central European Journal of Operations Research
1 Acta et Commentationes Universitatis Tartuensis de Mathematica
1 Stochastic Models
1 Comptes Rendus. Mathématique. Académie des Sciences, Paris
1 Journal of Applied Mathematics and Computing
1 Review of Derivatives Research
1 Networks and Spatial Economics
1 Journal of Industrial and Management Optimization
1 Computational & Mathematical Methods in Medicine
1 Blätter der DGVFM (Deutsche Gesellschaft für Versicherungs- und Finanzmathematik)
1 SIAM Journal on Financial Mathematics
1 Probability Surveys
1 Sankhyā. Series A
1 Analysis and Geometry in Metric Spaces
1 Modern Stochastics. Theory and Applications
1 Cogent Mathematics
1 Journal of Applied and Computational Topology

Citations by Year