Dr. Martin Ruppert
Kontakt: ruppertwiso.uni-koeln.de
Forschungsinteressen:
- quantitatives Risikomanagement,
- Abhängigkeitsstrukturen,
- Finanzmarktökonometrie.
Publikationen:
- Copula-based measures of multivariate association (mit T. Blumentritt, S. Gaißer, F. Schmid, R. Schmidt),
In: F. Durante, W. Härdle, P. Jaworski, T. Rychlik (eds.) Workshop on Copula Theory and its Applications. Springer, 2010.
- A multivariate version of Hoeffding’s Phi-Square (mit S. Gaißer, F. Schmid),
Journal of Multivariate Analysis, Vol. 101, No. 10, 2571-2586, 2010.
- Comment on "Statistical models and methods for dependence in insurance data" by S. Haug, C. Klüppelberg & L. Peng (mit C. Genest, J. Nešlehová),
Journal of the Korean Statistical Society, Vol. 40, No. 2, 141-148, 2011.
- Consistent testing for a constant copula under strong mixing based on the tapered block multiplier technique,
Working Paper, Universität zu Köln, 2011 (pdf).