Edit Profile Hofert, Marius Compute Distance To: Compute Author ID: hofert.marius Published as: Hofert, M.; Hofert, Marius Documents Indexed: 30 Publications since 2008, including 1 Book all top 5 Co-Authors 5 single-authored 5 Embrechts, Paul 3 Mächler, Martin Beat 3 McNeil, Alexander J. 3 Scherer, Matthias 2 Cambou, Mathieu 2 Górecki, Jan 2 Herrmann, Klaus 2 Holeňa, Martin 2 Lemieux, Christiane 2 Mailhot, Mélina 2 Prasad, Avinash 1 Arbenz, Philipp 1 Durante, Fabrizio 1 Grothe, Oliver 1 Hering, Christian 1 Huser, Raphaël 1 Koike, Takaaki 1 Kojadinovic, Ivan 1 Mai, Jan-Frederik 1 Memartoluie, Amir 1 Oldford, Wayne 1 Pham, David N. 1 Saunders, David A. 1 Taniguchi, Yoshihiro 1 Vrins, Frédéric 1 Wang, Ruodu 1 Wirjanto, Tony S. 1 Yan, Jun 1 Zhu, Mu all top 5 Serials 7 Journal of Multivariate Analysis 3 ASTIN Bulletin 2 Journal of Statistical Computation and Simulation 2 Computational Statistics and Data Analysis 1 Lithuanian Mathematical Journal 1 Statistics & Probability Letters 1 The Annals of Applied Probability 1 Test 1 ACM Transactions on Modeling and Computer Simulation 1 Mathematical Methods of Operations Research 1 Methodology and Computing in Applied Probability 1 Scandinavian Actuarial Journal 1 Quantitative Finance 1 Blätter der DGVFM (Deutsche Gesellschaft für Versicherungs- und Finanzmathematik) 1 Journal de la Société Française de Statistique 1 Statistics and Computing 1 Statistics & Risk Modeling 1 Dependence Modeling 1 Use R! all top 5 Fields 29 Statistics (62-XX) 12 Numerical analysis (65-XX) 9 Probability theory and stochastic processes (60-XX) 9 Game theory, economics, finance, and other social and behavioral sciences (91-XX) 1 General and overarching topics; collections (00-XX) 1 Real functions (26-XX) 1 Integral transforms, operational calculus (44-XX) Publications by Year all cited Publications top 5 cited Publications Citations contained in zbMATH 23 Publications have been cited 311 times in 205 Documents Cited by ▼ Year ▼ A note on generalized inverses. Zbl 1281.60014Embrechts, Paul; Hofert, Marius 48 2013 Sampling Archimedean copulas. Zbl 1452.62070Hofert, Marius 40 2008 Efficiently sampling nested Archimedean copulas. Zbl 1247.62132Hofert, Marius 39 2011 Likelihood inference for Archimedean copulas in high dimensions under known margins. Zbl 1244.62073Hofert, Marius; Mächler, Martin; McNeil, Alexander J. 31 2012 CDO pricing with nested Archimedean copulas. Zbl 1213.91074Hofert, Marius; Scherer, Matthias 27 2011 Constructing hierarchical archimedean copulas with Lévy subordinators. Zbl 1194.60017Hering, Christian; Hofert, Marius; Mai, Jan-Frederik; Scherer, Matthias 17 2010 A stochastic representation and sampling algorithm for nested Archimedean copulas. Zbl 1271.60026Hofert, Marius 16 2012 Modeling defaults with nested Archimedean copulas. Zbl 1232.91690Hofert, Marius 16 2010 Bernoulli and tail-dependence compatibility. Zbl 1385.60029Embrechts, Paul; Hofert, Marius; Wang, Ruodu 12 2016 Densities of nested Archimedean copulas. Zbl 1277.62138Hofert, Marius; Pham, David 11 2013 Sampling exponentially tilted stable distributions. Zbl 1386.65051Hofert, Marius 10 2011 Archimedean copulas in high dimensions: estimators and numerical challenges motivated by financial applications. Zbl 1316.62070Hofert, Marius; Mächler, Martin; McNeil, Alexander J. 7 2013 Multivariate hierarchical copulas with shocks. Zbl 1201.62063Durante, Fabrizio; Hofert, Marius; Scherer, Matthias 7 2010 Statistical inference for copulas in high dimensions: a simulation study. Zbl 1282.62146Embrechts, Paul; Hofert, Marius 6 2013 Comments on: Inference in multivariate Archimedean copula models. Zbl 1367.62163Embrechts, Paul; Hofert, Marius 5 2011 Kendall’s tau and agglomerative clustering for structure determination of hierarchical Archimedean copulas. Zbl 1404.62054Górecki, J.; Hofert, M.; Holeňa, M. 4 2017 Quasi-random numbers for copula models. Zbl 06737713Cambou, Mathieu; Hofert, Marius; Lemieux, Christiane 3 2017 Sibuya copulas. Zbl 1354.60014Hofert, Marius; Vrins, Frédéric 3 2013 Importance sampling and stratification for copula models. Zbl 1405.65005Arbenz, Philipp; Cambou, Mathieu; Hofert, Marius; Lemieux, Christiane; Taniguchi, Yoshihiro 2 2018 Multivariate geometric expectiles. Zbl 1398.62302Herrmann, Klaus; Hofert, Marius; Mailhot, Mélina 2 2018 Improved algorithms for computing worst value-at-risk. Zbl 1361.91062Hofert, Marius; Memartoluie, Amir; Saunders, David; Wirjanto, Tony 2 2017 Construction and sampling of Archimedean and nested Archimedean Lévy copulas. Zbl 1320.62114Grothe, Oliver; Hofert, Marius 2 2015 Elements of copula modeling with R. Zbl 1412.62004Hofert, Marius; Kojadinovic, Ivan; Mächler, Martin; Yan, Jun 1 2018 Importance sampling and stratification for copula models. Zbl 1405.65005Arbenz, Philipp; Cambou, Mathieu; Hofert, Marius; Lemieux, Christiane; Taniguchi, Yoshihiro 2 2018 Multivariate geometric expectiles. Zbl 1398.62302Herrmann, Klaus; Hofert, Marius; Mailhot, Mélina 2 2018 Elements of copula modeling with R. Zbl 1412.62004Hofert, Marius; Kojadinovic, Ivan; Mächler, Martin; Yan, Jun 1 2018 Kendall’s tau and agglomerative clustering for structure determination of hierarchical Archimedean copulas. Zbl 1404.62054Górecki, J.; Hofert, M.; Holeňa, M. 4 2017 Quasi-random numbers for copula models. Zbl 06737713Cambou, Mathieu; Hofert, Marius; Lemieux, Christiane 3 2017 Improved algorithms for computing worst value-at-risk. Zbl 1361.91062Hofert, Marius; Memartoluie, Amir; Saunders, David; Wirjanto, Tony 2 2017 Bernoulli and tail-dependence compatibility. Zbl 1385.60029Embrechts, Paul; Hofert, Marius; Wang, Ruodu 12 2016 Construction and sampling of Archimedean and nested Archimedean Lévy copulas. Zbl 1320.62114Grothe, Oliver; Hofert, Marius 2 2015 A note on generalized inverses. Zbl 1281.60014Embrechts, Paul; Hofert, Marius 48 2013 Densities of nested Archimedean copulas. Zbl 1277.62138Hofert, Marius; Pham, David 11 2013 Archimedean copulas in high dimensions: estimators and numerical challenges motivated by financial applications. Zbl 1316.62070Hofert, Marius; Mächler, Martin; McNeil, Alexander J. 7 2013 Statistical inference for copulas in high dimensions: a simulation study. Zbl 1282.62146Embrechts, Paul; Hofert, Marius 6 2013 Sibuya copulas. Zbl 1354.60014Hofert, Marius; Vrins, Frédéric 3 2013 Likelihood inference for Archimedean copulas in high dimensions under known margins. Zbl 1244.62073Hofert, Marius; Mächler, Martin; McNeil, Alexander J. 31 2012 A stochastic representation and sampling algorithm for nested Archimedean copulas. Zbl 1271.60026Hofert, Marius 16 2012 Efficiently sampling nested Archimedean copulas. Zbl 1247.62132Hofert, Marius 39 2011 CDO pricing with nested Archimedean copulas. Zbl 1213.91074Hofert, Marius; Scherer, Matthias 27 2011 Sampling exponentially tilted stable distributions. Zbl 1386.65051Hofert, Marius 10 2011 Comments on: Inference in multivariate Archimedean copula models. Zbl 1367.62163Embrechts, Paul; Hofert, Marius 5 2011 Constructing hierarchical archimedean copulas with Lévy subordinators. Zbl 1194.60017Hering, Christian; Hofert, Marius; Mai, Jan-Frederik; Scherer, Matthias 17 2010 Modeling defaults with nested Archimedean copulas. Zbl 1232.91690Hofert, Marius 16 2010 Multivariate hierarchical copulas with shocks. Zbl 1201.62063Durante, Fabrizio; Hofert, Marius; Scherer, Matthias 7 2010 Sampling Archimedean copulas. Zbl 1452.62070Hofert, Marius 40 2008 all cited Publications top 5 cited Publications 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 all top 5 Cited in 23 Fields 165 Statistics (62-XX) 73 Probability theory and stochastic processes (60-XX) 60 Game theory, economics, finance, and other social and behavioral sciences (91-XX) 33 Numerical analysis (65-XX) 9 Operations research, mathematical programming (90-XX) 5 Real functions (26-XX) 4 Partial differential equations (35-XX) 3 Measure and integration (28-XX) 3 Convex and discrete geometry (52-XX) 3 Biology and other natural sciences (92-XX) 2 Approximations and expansions (41-XX) 2 Calculus of variations and optimal control; optimization (49-XX) 2 Global analysis, analysis on manifolds (58-XX) 2 Computer science (68-XX) 1 General and overarching topics; collections (00-XX) 1 Mathematical logic and foundations (03-XX) 1 Combinatorics (05-XX) 1 Dynamical systems and ergodic theory (37-XX) 1 Integral transforms, operational calculus (44-XX) 1 Functional analysis (46-XX) 1 Algebraic topology (55-XX) 1 Geophysics (86-XX) 1 Systems theory; control (93-XX) Citations by Year