Search Results for author:
Found 2 papers, 0 papers with code
Structured factor copulas for modeling the systemic risk of European and United States banks
In this paper, we employ Credit Default Swaps (CDS) to model the joint and conditional distress probabilities of banks in Europe and the U. S. using factor copulas.
The Mahalanobis distance for functional data with applications to classification
This paper presents a general notion of Mahalanobis distance for functional data that extends the classical multivariate concept to situations where the observed data are points belonging to curves generated by a stochastic process.
Cannot find the paper you are looking for? You can
Submit a new open access paper.
