Publications

For a complete list of publications, see here.
 
Edited Book

 

P. Jaworski, F. Durante, W. Härdle.
Copulae in Mathematical and Quantitative Finance, volume 123 of Lecture Notes in Statistics - Proceedings. Springer, Berlin Heidelberg, 2013.

 
 
 

  

 

P. Jaworski, F. Durante, W. Härdle, and T. Rychlik, editors. Copula Theory and its Applications, volume 198 of Lecture Notes in Statistics - Proceedings. Springer, Berlin Heidelberg, 2010. [Link to Springer webpage]

 
 
 
 
Submitted
To appear
  • F. Durante, J. Fernández-Sánchez, W. Trutschnig, Baire category results for exchangeable copulas, Fuzzy Sets and Systems, in press, 201x.
  • F. Durante, R. Pappadà, and N. Torelli. Clustering of time series via non-parametric tail dependence estimation. Stat. Papers, in press, 201x. 

 2015

  • F. Durante, J. Fernández-Sánchez, R. Pappadà, Copulas, diagonals and tail dependence, Fuzzy Sets and Systems, 264:22-41, 2015. DOI: 10.1016/j.fss.2014.03.014
  • F. Durante, J. Fernández-Sánchez, W. Trutschnig, On singular components of a copula, J. Appl. Probab., 52, in press, 2015.
  • F. Durante, E. Foscolo, P. Jaworski, and H. Wang. Connectedness measures of spatial contagion in the banking and insurance sector. In P. Grzegorzewski, M. Gagolewski, O. Hryniewicz, and M.A. Gil, editors, Strengthening Links Between Data Analysis and Soft Computing (ISBN: 978-3-319-10764-6), volume 315 of Advances in Intelligent Systems and Computing, pages 217–224. Springer International Publishing, 2015. DOI: 10.1007/978-3-319-10765-3_26.
  • F. Durante and O. Okhrin, Estimation procedures for exchangeable Marshall copulas with hydrological application. Stoch. Environ. Res. Risk Assess., 29:205-226, 2015.
  • F. Durante and R. Pappadà. Cluster analysis of time series via Kendall distribution. In P. Grzegorzewski, M. Gagolewski, O. Hryniewicz, and M.A. Gil, editors, Strengthening Links Between Data Analysis and Soft Computing (ISBN: 978-3-319-10764-6), volume 315 of Advances in Intelligent Systems and Computing, pages 209–216. Springer International Publishing, 2015. DOI: 10.1007/978-3-319-10765-3_25.
  • G. Salvadori, F. Durante, G. R. Tomasicchio, and F. D’Alessandro. Practical guidelines for the multivariate assessment of the structural risk in coastal and off-shore engineering. Coastal Engineering, 95:77-83, 2015.
 

2014

  • F. Durante, J. Fernández-Sánchez, A note on the compatibility of bivariate copulas, Comm. Statist. Theory and Methods, 43(9):1918-1923, 2014.
  • F. Durante, J. Fernández-Sánchez, J.J. Quesada-Molina, Flipping of multivariate aggregation functions, Fuzzy Sets and Systems, 252:66-75, 2014.
  • F. Durante, J. Fernández-Sánchez, W. Trutschnig, Multivariate copulas with hairpin support, J. Multivariate Anal., 130:323-334, 2014.
  • F. Durante, J. Fernández-Sánchez, W. Trutschnig, Solution to an open problem about a transformation on the space of copulas, Depend. Model., 2:65-72, 2014. 
  • F. Durante and R. Foschi, Dependence of exchangeable residual lifetimes subject to failure, Appl. Math. Comput., 235:502-511, 2014.
  • F. Durante, E. Foscolo, P. Jaworski, and H. Wang. A spatial contagion measure for financial time series, Expert Syst. Appl., 41(8):4023-4034, 2014.
  • F. Durante, R. B. Nelsen, J. J. Quesada-Molina, and M. Úbeda-Flores. Pairwise and global dependence in trivariate copula models. In A. Laurent, O. Strauss, B. Bouchon-Meunier, and R. R. Yager, editors, Information Processing and Management of Uncertainty in Knowledge-Based Systems (ISBN: 978-3-642-14055-6), volume 444 of Communications in Computer and Information Science, pages 243–251. Springer International Publishing, 2014. DOI: 10.1007/978-3-319-08852-5_25.
  • F. Durante, R. Pappadà, and N. Torelli. Clustering of financial time series in risky scenarios. Adv. Data Anal. Classif., 8(4):359--376, 2014.
 2013
  • F. Durante, J. Fernández-Sánchez, C. Sempi, A note on the notion of singular copula, Fuzzy Sets and Systems, 211:120–122, 2013.
  • F. Durante, J. Fernández-Sánchez, C. Sempi, A topological proof of Sklar's theorem, Appl. Math. Lett, 26:945-948, 2013.
  • F. Durante, J. Fernández-Sánchez, and C. Sempi. Multivariate patchwork copulas: a unified approach with applications to partial comonotonicity. Insurance Math. Econom., 53:897-905, 2013.
  • F. Durante, J. Fernández-Sánchez, W. Trutschnig, On the interrelation between Dempster-Shafer belief structures and their belief cumulative distribution functions. Knowledge–Based Systems, 52:107-113,2013.
  • F. Durante, J. Fernández-Sánchez, M. Úbeda-Flores, Bivariate copulas generated by perturbations, Fuzzy Sets and Systems, 228:137–144, 2013.
  • F. Durante, E. Foscolo, An analysis of the dependence among financial markets by spatial contagion, Int. J. Intell. Syst., 28:319-331, 2013.
  • G. Salvadori, F. Durante, and C. De Michele. Multivariate return period calculation via survival functions. Water Resour. Res., 49:2308-2311, 2013.
  • G. Salvadori, F. Durante, and E. Perrone. Semi–parametric approximation of the Kendall’s distribution and multivariate return periods. J. SFdS, 154(1):151--173, 2013.
2012
  • F. Durante, On a problem by Schweizer and Sklar, Kybernetika (Prague), 48:287-293, 2012.
  • F. Durante, J. Fernández-Sánchez, On the approximation of copulas via shuffles of Min, Statist. Probab. Lett., 82:1761–1767, 2012.
  • F. Durante, J. Fernández-Sánchez, J.J. Quesada-Molina, On the alpha-migrativity of multivariate semi-copulas, Inform. Sci., 187:216-223, 2012.
  • F. Durante, J. Fernández-Sánchez, C. Sempi, Sklar's Theorem obtained via regularization techniques, Nonlinear Anal., 75(2):769-774, 2012.
  • F. Durante, E. Foscolo, J.A. Rodríguez-Lallena, and M.Úbeda-Flores, A method for constructing higher dimensional copulas, Statistics, 46(3):387-404, 2012.
  • F. Durante, R. Ghiselli-Ricci, Supermigrative copulas and positive dependence, AStA Adv. Stat.Anal, 96:327-342, 2012.
  • F. Durante, P. Jaworski, Invariant dependence structure under univariate truncation, Statistics, 46:263-267, 2012.

2011

  • F. Durante, J. Fernández-Sánchez, A note on biconic copulas, Kybernetika (Prague), 47(4): 532-540, 2011 [pdf].
  • F. Durante, J. Fernández-Sánchez, On the classes of copulas and quasi-copulas with a given diagonal section,Internat. J. Uncertain. Fuzziness Knowledge-Based Systems, 19:1-10, 2011.
  • F. Durante, P. Jaworski, R. Mesiar, Invariant dependence structures and Archimedean copulas, Statist. Probab. Lett., 81(12):1995-2003, 2011.
  • G. Salvadori, C. De Michele, F. Durante, On the return period and design in a multivariate framework, Hydrol. Earth Syst. Sci., 15:3293-3305, 2011. [pdf]
 
 2010
  • F. Durante, J. Fernández-Sánchez, Multivariate shuffles and approximation of copulas, Statist. Probab. Lett., 80(23-24):1827-1834, 2010.
  • F. Durante, R. Foschi, P. Sarkoci, Distorted copulas: constructions and tail dependence, Comm. Statist. Theory and Method, 39(12): 2288-2301, 2010.
  • F. Durante, R. Foschi, F. Spizzichino, Ageing functions and multivariate notions of NBU and IFR, Probab. Eng. Inf. Sci., 24(2): 263-278, 2010.
  • F. Durante, M. Hofert, M. Scherer, Multivariate hierarchical copulas with shocks, Methodol. Comput. Appl. Probab., 12(4):681-694, 2010.
  • F. Durante, P. Jaworski, A new characterization of bivariate copulas, Comm. Statist. Theory and Methods, 39(16): 2901–2912, 2010.
  • F. Durante, P. Jaworski, Spatial contagion between financial markets: a copula-based approach, Appl. Stoch. Models Bus. Ind., 26:551-564, , 2010.
  • F. Durante, E.P. Klement, C. Sempi, M. Úbeda Flores, Measures of non-exchangeability for bivariate random vectors, Statist. Papers, 51(3):687-699, 2010.
  • F. Durante, J.F. Mai, Representation of exchangeable sequences by means of copulas, Proceedings of the SMPS Conference, Advances in Soft Computing, Springer, 2010. A preliminary version is available here: [pdf].
  • F. Durante, R. Mesiar, $L^{\infty}$-measure of non-exchangeability of bivariate extreme value and Archimax copulas, J. Math. Anal. Appl., 369(2), 610-615, , 2010
  • F. Durante, P.-L. Papini, Non-exchangeability of negatively dependent random variables, Metrika, 71(2):139-149, 2010.
  • F. Durante, G. Salvadori, On the construction of multivariate extreme value models via copulas, Environmetrics, 21(2):143-162, 2010.
  • F. Durante, C. Sempi, Copula theory: an introduction, in P. Jaworski, F. Durante, W. Härdle, and T. Rychlik (editors), Copula Theory and its Applications. Lecture Notes in Statistics - Proceedings. Springer, Berlin/Heidelberg, 2010. A preliminary version is available here: [pdf].
  • F. Durante, F. Spizzichino, Semi-copulas, capacities and families of level sets, Fuzzy Sets and Systems, 161(2): 269-276, 2010.
Working papers