Now showing items 1-8 of 8

  • Baire category results for quasi-copulas 

    Durante F; Fernández-Sánchez J; Trutschnig W (2016)
    The aim of this manuscript is to determine the relative size of several functions (copulas, quasi–copulas) that are commonly used in stochastic modeling. It is shown that the class of all quasi–copulas that are (locally) ...
  • Connectedness measures of spatial contagion in the banking and insurance sector 

    Durante F; Foscolo E; Jaworski P; Wang H (Springer International Publishing, 2015)
    We present some connectedness measures for an economic system that are derived from the spatial contagion measure. These measures are calculated directly from time series data and do not require any parametric assumption. ...
  • The Kendall distribution and multivariate risks 

    Durante F (University of Salerno, 2016)
  • A multivariate analysis of tourists' spending behaviour 

    Disegna M; Durante F; Foscolo E (Springer International Publishing, 2017)
    According to the micro-economic theories regarding consumption behaviour, the determinants affecting the joint propensity of purchasing different goods and services are investigated. For this purpose, a copula-based model ...
  • A multivariate copula-based framework for dealing with hazard scenarios and failure probabilities 

    Salvadori G; Durante F; De Michele C; Bernardi M; Petrella L (2016)
    This paper is of methodological nature, and deals with the foundations of Risk Assessment. Several international guidelines have recently recommended to select appropriate/relevant Hazard Scenarios in order to tame the ...
  • A portfolio diversification strategy via tail dependence clustering 

    Wang H; Pappadà R; Durante F; Foscolo E (Springer International Publishing, 2017)
    We provide a two-stage portfolio selection procedure in order to increase the diversification benefits in a bear market. By exploiting tail dependence-based risky measures, a cluster analysis is carried out for discerning ...
  • Stat Trek: An interview with Christian Genest 

    Durante F; Puccetti G; Scherer M; Vanduffel S (2016)
    Christian Genest is Professor and Canada Research Chair in Stochastic Dependence Modeling at McGill University, Montréal, Canada. He studied mathematics and statistics at the Université du Québec à Chicoutimi (BSpSc, 1974), ...
  • Truncation invariant copulas and a testing procedure 

    Di Lascio FML; Durante F; Jaworski P (2016)
    The class of bivariate copulas that are invariant under truncation with respect to one variable is considered. A simulation algorithm for the members of the class and a novel construction method are presented. Moreover, ...