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Dependence Models and Copulas

The "Dependence models and copulas (DMC)" team is concerned with all methodological and computational aspects of dependence models and copulas. Nowadays, an important task of multivariate statistics is the determination of a meaningful description of the relationships between different random variables that can be used in order to describe the phenomena of interest. A convenient way to do this consists of adopting a copula-approach that is based on a two-step procedure: first, the marginal distributions are fixed; then, the copula is chosen in order to describe the (rank-invariant dependence) among the considered variables. Copula-based models offer a convenient alternative to standard (linear, Gaussian) models and, due to their flexibility, have proved useful in a variety of domains. Applications range from 'classical' areas in which copulas have already been adopted successfully (finance, insurance, economics, marketing, etc.) to biological and environmental sciences (climate change, meteorology, hydrology, etc.).

Issues related to the team include fundamental aspects (especially from a mathematical point of view) as well as methodological aspects (inference for copulas, copula-based empirical processes, etc.). Additionally, computational aspects, in particular in relation with high-dimensional and asymmetric models, will be of interest and the development of specific software (preferably in an open source environment like R) is highly welcome.

Co-Chairs
Fabrizio Durante, University of Salento, Italy.
Ivan Kojadinovic, University of Pau, France.
Wolfgang Trutschnig, University of Salzburg, Austria.
Members
  1. Kjersti Aas, Norwegian Computing Center, Norway.
  2. Concepcion Ausin, Universidad Carlos III de Madrid, Spain.
  3. Kazim Azam, VU Amsterdam, Netherlands.
  4. Brendan Beare, University of California, San Diego, United States.
  5. Isaudin Bin Ismail, University of Leicester, United Kingdom.
  6. Roy Cerqueti, University of Macerata, Italy.
  7. Jerome Collet, Electricite de France RD Division, France.
  8. Domien Craens, UGent, Belgium.
  9. Claudia Czado, Technische Universitaet Muenchen, Germany.
  10. Enrique de Amo, University of Almeria, Spain.
  11. Bernard De Baets, Ghent University, Belgium.
  12. Maria Elena De Giuli, University of Pavia, Italy.
  13. Giovanni De Luca, University of Naples Parthenope, Italy.
  14. Ann De De Schepper, University of Antwerp, Belgium.
  15. Elena Di Bernardino, CNAM, France.
  16. F Marta L Di Lascio, Free University of Bozen-Bolzano, Italy.
  17. Marta Disegna, Faculty of Management, Bournemouth University, United Kingdom.
  18. Filippo Domma, University of Cosenza, Italy.
  19. Alex Donov, University of Essex, United Kingdom.
  20. Xiaoling Dou, Waseda University, Japan.
  21. Fabrizio Durante, University of Salento, Italy.
  22. Anouar El Ghouch, The University catholique de Louvain, Belgium.
  23. Arturo Erdely, Universidad Nacional Autonoma de Mexico, Mexico.
  24. Tobias Erhardt, Technische Universitaet Muenchen, Germany.
  25. Anne Catherine Favre, Institut national polytechnique de Grenoble (GINP), France.
  26. Jean-David Fermanian, Ensae-Crest, France.
  27. Juan Fernandez Sanchez, Universidad de Almeria, Spain.
  28. Enrico Foscolo, Free University of Bozen-Bolzano, Italy.
  29. Hayette Gatfaoui, IESEG School of Management, France.
  30. Irene Gijbels, Katholieke Universiteit Leuven, Belgium.
  31. Sabrina Giordano, University of Calabria, Italy.
  32. Jose Maria Gonzalez-Barrios, Universidad Nacional Autonoma de Mexico, Mexico.
  33. Jan Gorecki, Silesian university in Opava, Czech Republic.
  34. Oliver Grothe, Karlsruhe Institute of Technology, Germany.
  35. Piotr Jaworski, University of Warsaw, Poland.
  36. Hyoung-Moon Kim, Konkuk University, Korea, South.
  37. Ivan Kojadinovic, CNRS UMR 5142 LMA University of Pau, France.
  38. Satoshi Kuriki, The Institute of Statistical Mathematics, Japan.
  39. Dorota Kurowicka, Delft University of Technology, Netherlands.
  40. Philippe Lambert, Universite de Liege / Universite catholique de Louvain, Belgium.
  41. Chi Hyun Lee, University of Massachusetts Amherst, United States.
  42. Wenwei Li, EBS Universitaet fuer Wirtschaft und Recht, Germany.
  43. Rosa Lillo, Universidad Carlos III de Madrid, Spain.
  44. Brunero Liseo, Sapienza Universita di Roma, Italy.
  45. Artur Machno, AGH University of Science and Technology, Poland.
  46. Jan-Frederik Mai, Technische Universitaet Muenchen, Germany.
  47. Alexander J. McNeil, Heriot-Watt University, UK.
  48. Ivan Medovikov, Brock University, Canada.
  49. Soeren Moeller, University of Southern Denmark, Denmark.
  50. Nitai Mukhopadhyay, Virginia Commonwealth University, United States.
  51. Sabrina Mulinacci, University of Bologna, Italy.
  52. Marta Nai Ruscone, Università degli Studi di Genova, Italy.
  53. Johanna Neslehova, McGill University, Canada.
  54. Aristidis Nikoloulopoulos, University of East Anglia, United Kingdom.
  55. Ostap Okhrin, Dresden University of Technology, Germany.
  56. Yarema Okhrin, Universitaet Augsburg, Germany.
  57. Roberta Pappada, University of Trieste, Italy.
  58. Franco Pellerey, Politecnico di Torino, Italy.
  59. Elisa Perrone, Eindhoven University of Technology, Netherlands.
  60. Davide Petturiti, University of Perugia, Italy.
  61. Eugen Pircalabelu, Université catholique de Louvain, Belgium.
  62. Giovanni Puccetti, University of Firenze, Italy.
  63. Jean-Francois Quessy, Universite Du Quebec a Trois-Rivieres, Canada.
  64. Jose Antonio Rodriguez-Lallena, University of Almeria, Spain.
  65. Silvia Romagnoli, University of Bologna, Italy.
  66. Virginie Rondeau, University of Bordeaux INSERM, France.
  67. Ludger Ruschendorf, University of Freiburg, Germany.
  68. Gianfausto Salvadori, Universita Del Salento, Italy.
  69. Tippawan Santiwipanont, Chulalongkorn University, Thailand.
  70. Christian Schellhase, Bielefeld University, Germany.
  71. Matthias Scherer, Technische Universitaet Muenchen, Germany.
  72. Miguel Angel Sordo, University of Cadiz, Spain.
  73. Fabio Spizzichino, University La Sapienza, Rome, Italy.
  74. Songkiat Sumetkijakan, Chulalongkorn University, Thailand.
  75. Jan Swanepoel, North West University Potchefstroom Campus, South Africa.
  76. Raul Andres Torres Diaz, Universidad Carlos III de Madrid, Spain.
  77. Giovanni Luca Torrisi, CNR, Italy.
  78. Emiliano Valdez, University of Connecticut, United States.
  79. Cristiano Varin, Ca Foscari University of Venice, Italy.
  80. Paola Vicard, University Roma Tre, Italy.
  81. Maochao Xu, Illinois State University, United States.
  82. Jun Yan, University of Connecticut, United States.
  83. Ricardas Zitikis, University of Western Ontario, Canada.