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Dr. Arturo Erdély
TEMARIO
Construcción de modelos multivariados.
Simulación y estimación.
Aplicaciones en finanzas y seguros
BIBLIOGRAFÍA
- Cherubini, U., Luciano, E., Vecchiato, W. (2004) Copula Methods in Finance. Chichester: Wiley.
- Denuit, M., Dhaene, J., Goovaerts, M., Kaas, R. (2005) Actuarial Theory for Dependent Risks. Chichester: Wiley.
- Erdely, A. (2009) Cópulas y dependencia de variables aleatorias: Una introducción. Miscelánea Matemática 48, 7-28.
- Erdely, A., Díaz-Viera, M.A. (2010) Nonparametric and semiparametric bivariate modeling of petrophysical porosity-permeability well log data. In: Copula Theory and Its Applications (P Jaworski et al. eds), Lecture Notes in Statistics - Springer 198, pp. 267-278.
- Erdely, A., Díaz-Viera, M.A. (2015) A vine and gluing copula model for permeability stochastic simulation. In: Proceedings of the 16th Applied Stochastic Models and Data Analysis International Conference (CH Skiadas, editor) pp. 175-183, eISBN: 978-618-5180-05-8.
- Erdely, A. (2017) A subcopula based dependence measure. Kybernetika 53(2), 231-243.
- Erdely, A. (2017) Copula-based piecewise regression. In: Úbeda Flores M., de Amo Artero E., Durante F., Fernández Sánchez J. (eds) Copulas and Dependence Models with Applications, pp. 69-81. Springer.
- Erdely, A. (2025) Cópulas y dependencia. Manual didáctico de autoaprendizaje. UNAM FES Acatlán. Descargable de: https://sites.google.com/acatlan.unam.mx/juliadep
- Erdely, A., Rubio-Sánchez, M. (2025). D-plots: Visualizations for Analysis of Bivariate Dependence Between Continuous Random Variables. Stats 8 (43).
- Erdely, A. (2026) A Subcopula Characterization of Dependence for the Multivariate Bernoulli Distribution. Journal of Statistical Theory and Applications 25:4.
- Joe, H. (2015) Dependence Modeling with Copulas. Boca Raton: CRC Press.
- Mai, J-F., Scherer, M. (2012) Simulating Copulas. Londres: Imperial College Press.
- Nelsen, R.B. (2006) An Introduction to Copulas. Nueva York: Springer.
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