With the availability of massive multivariate data comes a need to develop flexible
multivariate distribution classes. The copula approach allows marginal models to be …

Over the decades that have passed since they were introduced, copulae still remain a very
powerful tool for modeling and estimating multivariate distributions. This work gives an …

Despite growing attention to cyber risks in research and practice, quantitative cyber risk
assessments remain limited, mainly due to a lack of reliable data. This analysis leverages …

A theoretical framework is presented for a (copula-based) notion of dissimilarity between
continuous random vectors and its main properties are studied. The proposed dissimilarity …

This paper aims to explore a modified method of high-dimensional dynamic variance–
covariance matrix estimation via risk factor mapping, which can yield a dependence …

In some cases, hydraulic infrastructures of different sizes and importance are built without
formal design criteria and it may be desired to infer the reliability level for which it was …

The assessment of future extremes is hindered by the lack of long time series. Weather
generators can alleviate this problem, but easily become complex. In this study, a weather …

In times of financial turbulence, it is a well-documented fact that the co-movement of financial
returns tends to increase leading to unexpected portfolio losses. The magnitude of the …

The complex nature of financial markets is the object of many studies. In general, it is crucial
to comprehend how the dependence structure changes based on the values of some …

Abstract The Jinsha River comprises the upper reaches of the Yangtze River, which is the
river section with the highest sediment content. Monitoring of sediment transport in the …