502 citations · 517 across the 9 of their papers we have counts for
12 papers
Stochastic Inversion of Multivariate Uniform-Distribution-Preserving Transformations
Alexander J. McNeil, Johanna G. Nešlehová
A multivariate transformation of the unit cube with component transformations that are piecewise continuously differentiable and uniform distribution preserving (udp) is considered…
Time series models with infinite-order partial copula dependence
Martin Bladt, Alexander J. McNeil
Stationary and ergodic time series can be constructed using an s-vine decomposition based on sets of bivariate copula functions. The extension of such processes to infinite copula…
On attainability of Kendall's tau matrices and concordance signatures
Alexander J. McNeil, Johanna G. Neslehova, Andrew D. Smith
Methods are developed for checking and completing systems of bivariate and multivariate Kendall's tau concordance measures in applications where only partial information about depe…
Time series copula models using d-vines and v-transforms
Martin Bladt, Alexander J. McNeil
An approach to modelling volatile financial return series using stationary d-vine copula processes combined with Lebesgue-measure-preserving transformations known as v-transforms i…
Modelling volatile time series with v-transforms and copulas
Alexander J. McNeil
An approach to the modelling of volatile time series using a class of uniformity-preserving transforms for uniform random variables is proposed. V-transforms describe the relations…
On the Basel Liquidity Formula for Elliptical Distributions
Janine Balter, Alexander J. McNeil
A justification of the Basel liquidity formula for risk capital in the trading book is given under the assumption that market risk-factor changes form a Gaussian white noise proces…