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Dr. Martin Ruppert

Kontakt: ruppertSpamProtectionwiso.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).