Edit Profile (opens in new tab) Fischer, Matthias Compute Distance To: Compute Author ID: fischer.matthias Published as: Fischer, Matthias; Fischer, Matthias J.; Fischer, M. more...less Homepage: https://www.statistics.rw.fau.eu/team/external-lecturers/prof-dr-matthias-fische... Documents Indexed: 26 Publications since 2002, including 1 Book Co-Authors: 13 Co-Authors with 21 Joint Publications 5 Co-Co-Authors all top 5 Co-Authors 4 single-authored 7 Klein, Ingo 4 Pfeuffer, Marius 3 Jakob, Kevin 3 Möstel, Linda 3 Schlüter, Stephan 2 Köck, Christian 1 Dörflinger, Marco 1 Fischer, Christoph 1 Herrmann, Klaus 1 Hinzmann, Gerd 1 Horn, Armin 1 Köstler, Christoph 1 Pfälzner, Fabian 1 Rybnicek, Marlies 1 Weigert, Florian all top 5 Serials 4 Communications in Statistics. Theory and Methods 4 AStA. Allgemeines Statistisches Archiv 2 Quantitative Finance 1 Metrika 1 South African Statistical Journal 1 Statistics 1 Computational Statistics 1 Communications in Statistics. Simulation and Computation 1 Statistical Papers 1 Studies in Nonlinear Dynamics and Econometrics 1 Far East Journal of Theoretical Statistics 1 Extremes 1 Applied Stochastic Models in Business and Industry 1 Journal of Statistical Theory and Practice 1 Dependence Modeling 1 Journal of Statistical Distributions and Applications 1 SpringerBriefs in Statistics all top 5 Fields 24 Statistics (62-XX) 10 Game theory, economics, finance, and other social and behavioral sciences (91-XX) 6 Probability theory and stochastic processes (60-XX) 2 General and overarching topics; collections (00-XX) 1 Integral transforms, operational calculus (44-XX) 1 Numerical analysis (65-XX) 1 Computer science (68-XX) 1 Information and communication theory, circuits (94-XX) Publications by Year all cited Publications top 5 cited Publications Citations contained in zbMATH Open 19 Publications have been cited 94 times in 82 Documents Cited by ▼ Year ▼ An empirical analysis of multivariate copula models. Zbl 1180.91314Fischer, Matthias; Köck, Christian; Schlüter, Stephan; Weigert, Florian 22 2009 Constructing generalized FGM copulas by means of certain univariate distributions. Zbl 1106.62013Fischer, Matthias; Klein, Ingo 21 2007 Tukey-type distributions in the context of financial data. Zbl 1118.62015Fischer, Matthias; Horn, Armin; Klein, Ingo 8 2007 The weak tail dependence coefficient of the elliptical generalized hyperbolic distribution. Zbl 1329.62236Schlueter, Stephan; Fischer, Matthias 7 2012 Kurtosis modelling by means of the \(J\)-transformation. Zbl 1123.62303Fischer, Matthias; Klein, Ingo 5 2004 Skewness by splitting the scale parameter. Zbl 1107.62016Klein, Ingo; Fischer, Matthias 5 2006 Generalized Tukey-type distributions with application to financial and teletraffic data. Zbl 1247.62038Fischer, Matthias 4 2010 Constructing and generalizing given multivariate copulas: a unifying approach. Zbl 1314.62124Fischer, Matthias; Köck, Christian 4 2012 Power kurtosis transformations: definition, properties and ordering. Zbl 1118.62013Klein, Ingo; Fischer, Matthias 3 2006 Quantifying the impact of different copulas in a generalized CreditRisk\(^+\) framework. An empirical study. Zbl 1292.91181Jakob, Kevin; Fischer, Matthias 3 2014 Generalized hyperbolic secant distributions. With applications to finance. Zbl 1341.62009Fischer, Matthias J. 3 2014 A note on a non-parametric tail dependence estimator. Zbl 1195.62066Fischer, Matthias; Dörflinger, Marco 2 2010 An extended likelihood framework for modelling discretely observed credit rating transitions. Zbl 1407.91265Pfeuffer, M.; Möstel, L.; Fischer, M. 1 2019 Modeling stochastic recovery rates and dependence between default rates and recovery rates within a generalized credit portfolio framework. Zbl 1420.91487Fischer, Matthias; Köstler, Christoph; Jakob, Kevin 1 2016 A note on the kurtosis ordering of the generalized secant hyperbolic distribution. Zbl 1318.62036Klein, Ingo; Fischer, Matthias 1 2008 \(gh\)-transformation of symmetrical distributions. Zbl 1381.60053Klein, Ingo; Fischer, Matthias 1 2002 A new class of copulas with tail dependence. Zbl 1397.62207Fischer, Matthias; Hinzmann, Gerd 1 2014 A tail quantile approximation for the Student \(t\) distribution. Zbl 1284.62121Schlüter, Stephan; Fischer, Matthias 1 2012 Statistical inference for Markov chains with applications to credit risk. Zbl 1505.62295Möstel, Linda; Pfeuffer, Marius; Fischer, Matthias 1 2020 Statistical inference for Markov chains with applications to credit risk. Zbl 1505.62295Möstel, Linda; Pfeuffer, Marius; Fischer, Matthias 1 2020 An extended likelihood framework for modelling discretely observed credit rating transitions. Zbl 1407.91265Pfeuffer, M.; Möstel, L.; Fischer, M. 1 2019 Modeling stochastic recovery rates and dependence between default rates and recovery rates within a generalized credit portfolio framework. Zbl 1420.91487Fischer, Matthias; Köstler, Christoph; Jakob, Kevin 1 2016 Quantifying the impact of different copulas in a generalized CreditRisk\(^+\) framework. An empirical study. Zbl 1292.91181Jakob, Kevin; Fischer, Matthias 3 2014 Generalized hyperbolic secant distributions. With applications to finance. Zbl 1341.62009Fischer, Matthias J. 3 2014 A new class of copulas with tail dependence. Zbl 1397.62207Fischer, Matthias; Hinzmann, Gerd 1 2014 The weak tail dependence coefficient of the elliptical generalized hyperbolic distribution. Zbl 1329.62236Schlueter, Stephan; Fischer, Matthias 7 2012 Constructing and generalizing given multivariate copulas: a unifying approach. Zbl 1314.62124Fischer, Matthias; Köck, Christian 4 2012 A tail quantile approximation for the Student \(t\) distribution. Zbl 1284.62121Schlüter, Stephan; Fischer, Matthias 1 2012 Generalized Tukey-type distributions with application to financial and teletraffic data. Zbl 1247.62038Fischer, Matthias 4 2010 A note on a non-parametric tail dependence estimator. Zbl 1195.62066Fischer, Matthias; Dörflinger, Marco 2 2010 An empirical analysis of multivariate copula models. Zbl 1180.91314Fischer, Matthias; Köck, Christian; Schlüter, Stephan; Weigert, Florian 22 2009 A note on the kurtosis ordering of the generalized secant hyperbolic distribution. Zbl 1318.62036Klein, Ingo; Fischer, Matthias 1 2008 Constructing generalized FGM copulas by means of certain univariate distributions. Zbl 1106.62013Fischer, Matthias; Klein, Ingo 21 2007 Tukey-type distributions in the context of financial data. Zbl 1118.62015Fischer, Matthias; Horn, Armin; Klein, Ingo 8 2007 Skewness by splitting the scale parameter. Zbl 1107.62016Klein, Ingo; Fischer, Matthias 5 2006 Power kurtosis transformations: definition, properties and ordering. Zbl 1118.62013Klein, Ingo; Fischer, Matthias 3 2006 Kurtosis modelling by means of the \(J\)-transformation. Zbl 1123.62303Fischer, Matthias; Klein, Ingo 5 2004 \(gh\)-transformation of symmetrical distributions. Zbl 1381.60053Klein, Ingo; Fischer, Matthias 1 2002 all cited Publications top 5 cited Publications all top 5 Cited by 145 Authors 6 Alawady, Metwally Alsayed 6 Barakat, Haroon Mohamed 6 Czado, Claudia 6 Fischer, Matthias 4 Min, Aleksey 3 Úbeda-Flores, Manuel 3 Xiong, Shengwu 2 Durante, Fabrizio 2 Huang, Jinsheng 2 Husseiny, Islam Abdullah 2 Jakob, Kevin 2 Jones, Michael Chris 2 Klein, Ingo 2 Lin, Gwo Dong 2 Mansour, G. M. 2 Möstel, Linda 2 Nolde, Natalia 2 Pewsey, Arthur 2 Pfeuffer, Marius 2 Rodríguez Lallena, José Antonio 2 Rubio, Francisco Javier 2 Schellhase, Christian 1 Abbara, Omar 1 Ackerer, Damien 1 Afuecheta, Emmanuel 1 Amblard, Cécile 1 Amini-Dehak, Mohammad 1 Ausloos, Marcel R. 1 Bagnato, Luca 1 Baker, Rose D. 1 Bartels, Mariana 1 Bauer, Alexander Max 1 Bayramoğlu, Ismihan G. 1 Bayramoglu, Konul 1 Bee, Marco 1 Bhuyan, Prajamitra 1 Bouchaud, Jean-Philippe 1 Brechmann, Eike Christian 1 Chan, Stephen Chi-fai 1 Chen, Qian 1 Chen, Xiongzhi 1 Chesneau, Christophe 1 Chicheportiche, Rémy 1 Clemente, Gian Paolo 1 Costa, Liborio I. 1 Cui, Hengxin 1 del Castillo, Jose Maria 1 Dhesi, Gurjeet S. 1 Di Bernardino, Elena 1 Dißmann, J. 1 Dolati, Ali 1 Doll, Monika 1 Domma, Filippo 1 Drovandi, Christopher C. 1 Ebrahimi, Nader D. 1 Fernández-Sánchez, Juan 1 Finkelstein, Maxim 1 Foscolo, Enrico 1 Ghosh, Abhik 1 Ghosh, Shyamal 1 Giordano, Sabrina 1 Girard, Stéphane 1 Goel, Anubha 1 Hambuckers, Julien 1 Hamedani, Gholamhossein G. 1 Hashorva, Enkelejd 1 Haynes, Michele A. 1 He, Yulei 1 Hernandez, Pedro J. 1 Hofert, Marius 1 Huang, Zhenzhen 1 Huser, Raphaël 1 Hutton, Jane L. 1 Jaser, Miriam 1 Joe, Harry 1 Klein, Thomas 1 Komornik, Jozef 1 Komornikova, Magda 1 Krauss, Christopher 1 Kravchuk, O. Y. 1 Kurowicka, Dorota 1 Kwok, Yue-Kuen 1 Li, Haijun 1 Li, Lujun 1 Mangold, Benedikt 1 Mao, Tiantian 1 Mehra, Aparna 1 Mengersen, Kerrie L. 1 Mesiar, Radko 1 Mirhosseini, Sayed Mohsen 1 Nadarajah, Saralees 1 Nagler, Thomas 1 Navarro, Jorge 1 Ng, Wing Lon 1 Nigm, E. M. 1 Nikoloulopoulos, Aristidis K. 1 Ogundimu, Emmanuel O. 1 Opitz, Thomas 1 Palmitesta, Paola 1 Pan, Mingyong ...and 45 more Authors all top 5 Cited in 36 Serials 6 Journal of Multivariate Analysis 6 Computational Statistics and Data Analysis 5 Insurance Mathematics & Economics 5 Communications in Statistics. Theory and Methods 5 Dependence Modeling 4 Metrika 4 Communications in Statistics. Simulation and Computation 4 Quantitative Finance 3 Computational Statistics 3 Test 3 Bulletin of the Malaysian Mathematical Sciences Society. Second Series 2 The Canadian Journal of Statistics 2 Journal of Computational and Applied Mathematics 2 Statistics 2 Statistical Papers 2 International Journal of Theoretical and Applied Finance 2 Journal of Applied Statistics 2 Extremes 2 Statistical Methods and Applications 1 Applied Mathematics and Computation 1 Fuzzy Sets and Systems 1 Statistica 1 Bulletin of the Iranian Mathematical Society 1 Annals of Operations Research 1 Applications of Mathematics 1 Applicationes Mathematicae 1 Mathematical Problems in Engineering 1 Brazilian Journal of Probability and Statistics 1 AStA. Allgemeines Statistisches Archiv 1 Journal of the Korean Statistical Society 1 Electronic Journal of Statistics 1 Asian-European Journal of Mathematics 1 Journal of Computational and Graphical Statistics 1 European Actuarial Journal 1 Statistics and Computing 1 Journal of Statistical Distributions and Applications all top 5 Cited in 9 Fields 77 Statistics (62-XX) 20 Game theory, economics, finance, and other social and behavioral sciences (91-XX) 18 Probability theory and stochastic processes (60-XX) 10 Numerical analysis (65-XX) 1 Combinatorics (05-XX) 1 Measure and integration (28-XX) 1 Special functions (33-XX) 1 Approximations and expansions (41-XX) 1 Integral transforms, operational calculus (44-XX) Citations by Year