Now showing items 1-20 of 36

    • An analysis of the dependence among financial markets by spatial contagion 

      Durante, F; Foscolo, E (Wiley-Blackwell, 2013)
      Spatial contagion between two financial markets X and Y appears when there is more dependence between X and Y when they are doing badly than when they exhibit typical performance. In this paper, we introduce an index to ...
    • Baire category results for exchangeable copulas 

      Durante, F; Fernández-Sánchez, J; Trutschnig, W (Elsevier, 2016)
      Considering two different metrics on the space of two-dimensional copulas CC we prove some Baire category results for important subclasses of copulas, including the families of exchangeable, associative, and Archimedean ...
    • Bivariate copulas generated by perturbations 

      Durante, F; Fernández-Sánchez, J; Úbeda-Flores, M (Elsevier, 2013)
      In this paper, we provide a family of bivariate copulas based on a perturbation of a given copula by a factor term. The new class generalizes well-known families of copulas and allows to describe a wide range of possible ...
    • Bridge to abstract mathematics 

      Durante, F (Wiley-Blackwell, 2013)
    • Building bridges between Mathematics, Insurance and Finance 

      Durante, F; Puccetti, G; Scherer, M (De Gruyter Open, 2015)
      Paul Embrechts is Professor of Mathematics at the ETH Zurich specializing in Actuarial Mathematics and Quantitative Risk Management. Previous academic positions include the Universities of Leuven, Limburg and London (Imperial ...
    • Clustering of financial time series in risky scenarios 

      Durante, F; Pappadà, R; Torelli, N (2014)
      A methodology is presented for clustering financial time series according to the association in the tail of their distribution. The procedure is based on the calculation of suitable pairwise conditional Spearman’s correlation ...
    • Clustering of time series via non–parametric tail dependence estimation 

      Durante, F; Pappadà, R; Torelli, N (Springer Verlag (Germany), 2015)
      We present a procedure for clustering time series according to their tail dependence behaviour as measured via a suitable copula-based tail coefficient, estimated in a non-parametric way. Simulation results about the ...
    • Convergence results for patchwork copulas 

      Durante, F; Fernández-Sánchez, J; Quesada-Molina, JJ; Úbeda-Flores, M (Elsevier, 2015)
      We present a general construction that allows to extend a given subcopula to a copula in such a way that the extension is affine on some specific segments of the copula domain. This construction is hence applied to provide ...
    • Copulas, diagonals and tail dependence 

      Durante, F; Fernández-Sánchez, J; Pappadà, R (Elsevier, 2015)
      We present some known and novel aspects about bivariate copulas with prescribed diagonal section by highlighting their use in the description of the tail dependence. Moreover, we present the tail concentration function ...
    • Diagonal plane sections of trivariate copulas 

      Durante, F; Fernández-Sánchez, J; Quesada-Molina, JJ; Úbeda-Flores, M (Elsevier, 2016)
      We introduce the notion of diagonal plane section of a trivariate copula as an additional tool to describe its tail dependence behavior. This notion extends the concept of diagonal section of a bivariate copula. We provide ...
    • Die Copulae fanden mich ... Interview mit Paul Embrechts 

      Durante, F; Puccetti, G; Scherer, M (Bank-Verlag Koeln GmbH, 2015)
      Paul Embrechts ist Professor für Mathematik an der ETH Zürich, spezialisiert auf Versicherungsmathematik und Quantitatives Risk Management. Während seiner akademischen Karriere forschte und lehrte er unter anderem an den ...
    • Flipping of multivariate aggregation functions 

      Durante, F; Fernández-Sánchez, J; Quesada-Molina, JJ (2014)
      We consider flipping transformations of multivariate aggregation functions and we investigate the closure of these transformations with respect to the class of aggregation functions with annihilator element equal to 0. ...
    • Invariant dependence structure under univariate truncation 

      Durante, F; Jaworski, P (Taylor & Francis: STM, Behavioural Science and Public Health Titles, 2012)
      The class of all bivariate copulas that are invariant under univariate truncation is characterized. To this end, a family of bivariate copulas generated by a real-valued function is introduced. The obtained results are ...
    • A Journey from Statistics and Probability to Risk Theory: An interview with Ludger Rüschendorf 

      Durante, F; Puccetti, M; Scherer, M (De Gruyter Open, 2015)
    • Marshall-Olkin type copulas generated by a global shock 

      Durante, F; Girard, S; Mazo, G (2016)
      A way to transform a given copula by means of a univariate function is presented. The resulting copula can be interpreted as the result of a global shock affecting all the components of a system modeled by the original ...
    • A method for constructing higher-dimensional copulas 

      Durante, F; Foscolo, E; Rodrìguez-Lallena, JA; Ùbeda-Flores, M (Taylor & Francis: STM, Behavioural Science and Public Health Titles, 2012)
      For every n >= 3, a method is introduced and investigated for generating n-dimensional copulas starting with an (n - 1)-dimensional copula already known. These copulas are particularly useful when the behaviour of a random ...
    • Multivariate design via copulas 

      Salvadori, G; De, Michele C; Durante, F (European Geosciences Union (EGU) / Copernicus Publications, 2011)
      Calculating return periods and design quantiles in a multivariate framework is a difficult problem: essentially, this is due to the lack of a natural total order in multi-dimensional Euclidean spaces. This paper tries to ...
    • Multivariate patchwork copulas: A unified approach with applications to partial comonotonicity 

      Durante, F; Fernández-Sánchez, J; Sempi, C (2013)
      We present a general view of patchwork constructions of copulas that encompasses previous approaches based on similar ideas (ordinal sums, gluing methods, piecing-together, etc.). Practical applications of the new methodology ...
    • Multivariate return period calculation via survival functions 

      SalvadorI, G; Durante, F; De Michele, C (American Geophysical Union (AGU), 2013)
      The concept of return period is fundamental for the design and the assessment of many engineering works. In a multivariate framework, several approaches are available to its definition, each one yielding different solutions. ...
    • A note on the notion of singular copula 

      Durante, F; Fernández-Sánchez, J; Sempi, C (Elsevier, 2013)
      We clarify the link between the notion of singular copula and the concept of support of the measure induced by a copula.