sample of publications

• articles 

  • Variational inference for high dimensional structured factor copulas.  COMPUTATIONAL STATISTICS & DATA ANALYSIS.  151:1-23. 2020
  • Copula stochastic volatility in oil returns: Approximate Bayesian computation with volatility prediction.  Energy Economics.  92. 2020
  • Parallel bayesian inference for high-dimensional dynamic factor copulas.  Journal of Financial Econometrics.  17:118-151. 2019
  • Particle learning for Bayesian semi-parametric stochastic volatility model.  Econometric Reviews.  38:1007-1023. 2019
  • Multidimensional risk in a nonstationary climate: joint probability of increasingly severe warm and dry conditions.  Science Advances.  4. 2018
  • Vine copula models for predicting water flow discharge at King George Island, Antarctica.  STOCHASTIC ENVIRONMENTAL RESEARCH AND RISK ASSESSMENT.  32:2787-2807. 2018
  • Density estimation of circular data with Bernstein polynomials.  Hacettepe Journal of Mathematics and Statistics.  47:273-286. 2018
  • Seasonal copula models for the analysis of glacier discharge at King George Island, Antarctica.  STOCHASTIC ENVIRONMENTAL RESEARCH AND RISK ASSESSMENT.  31:1107-1121. 2017
  • A new time-varying concept of risk in a changing climate.  Scientific Reports.  6:1-7. 2016
  • A Bayesian non-parametric approach to asymmetric dynamic conditional correlation model with application to portfolio selection.  COMPUTATIONAL STATISTICS & DATA ANALYSIS.  100:814-829. 2016
  • Time-varying nonstationary multivariate risk analysis using a dynamic Bayesian copula.  WATER RESOURCES RESEARCH.  52:2327-2349. 2016
  • Bayesian nonparametric models of circular variables based on dirichlet process mixtures of normal distributions.  JOURNAL OF AGRICULTURAL BIOLOGICAL AND ENVIRONMENTAL STATISTICS.  20:47-64. 2015
  • Bayesian inference methods for univariate and multivariate GARCH Models: a Survey.  JOURNAL OF ECONOMIC SURVEYS.  29:76-96. 2015
  • A semiparametric Bayesian approach to the analysis of financial time series with applications to value at risk estimation.  EUROPEAN JOURNAL OF OPERATIONAL RESEARCH.  232:350-358. 2014
  • Non-parametric copulas for circular-linear and circular-circular data: an application to wind directions.  STOCHASTIC ENVIRONMENTAL RESEARCH AND RISK ASSESSMENT.  27:1991-2002. 2013
  • Bayesian analysis of multiple hypothesis testing with applications to microarray experiments.  COMMUNICATIONS IN STATISTICS-THEORY AND METHODS.  40:2276-2291. 2011
  • Bayesian analysis of aggregate loss models.  MATHEMATICAL FINANCE.  21:257-279. 2011
  • Time-Varying Joint Distribution through Copulas.  COMPUTATIONAL STATISTICS & DATA ANALYSIS.  54:2383-2399. 2010
  • The Gaussian Mixture Dynamic Conditional Correlation Model: Parameter Estimation, Value at Risk Calculation, and Portfolio Selection.  JOURNAL OF BUSINESS & ECONOMIC STATISTICS.  28:559-571. 2010
  • Bayesian Estimation of Finite Time Ruin Probabilities.  APPLIED STOCHASTIC MODELS IN BUSINESS AND INDUSTRY.  25:787-805. 2009
  • Nonparametric Analysis of Aggregate Loss Models.  JOURNAL OF APPLIED STATISTICS.  36:149-166. 2009
  • Bayesian Prediction of the Transient Behaviour and Busy Period in Short- and Long-Tailed GI/G/1 Queueing Systems.  COMPUTATIONAL STATISTICS & DATA ANALYSIS.  52:1615-1635. 2008

• book chapters 

  • Markov chain Monte Carlo, introduction. In: Wiley Stats Ref: Statistics Reference Online.  JOHN WILEY AND SONS LTD. 1-10. 2015
  • Bayesian Prediction of Risk Measurements Using Copulas. In: Rethinking Risk Measurement and Reporting. 2, Examples and Applications from Finance.  RISK BOOKS. 69-94. 2010

• conference contributions 

  • Bayesian hierarchical vine copula models for the analysis of glacier discharge 2018
  • Approximate bayesian computation for phase-type distributions 2016
  • Modelling high dimensional stock dependence using factor copulas 2016
  • Adapting the Bernstein copula to modeling cylindrical and spherical data with applications 2015
  • Copula-based models for the analysis of glacier discharge at King George Island, Antarctica 2015
  • Copula-based models for the analysis of glacier discharge at King George Island, Antarctica 2014
  • Particle learning for Bayesian non-parametric Markov switching stochastic volatility model 2014
  • Particle learning for Bayesian non-parametric Markov switching stochastic volatility model 2014
  • Particle learning for Bayesian nonparametric stochastic volatility model 2014
  • A bayesian non-parametric approach to asymmetric dynamis conditional correlation model with application to portfolio selection 2013
  • Non-parametric copulas for circular-linear and circular-circular data: an application to wind directions 2013
  • Particle learning for bayesian non-parametric Markov switching stochastic volatility models with financial applications 2013
  • Bayesian Non-Parametric Portfolio Allocation and Hedging Risk with Multivariate Asymmetric GARCH 2012
  • Bayesian Nonparametric Copulas for Multivariate Time Series 2012
  • Bivariate Density Approximation using Random Bernstein Polynomials 2012
  • A Semiparametric Bayesian Approach to the GARCH Model with Application to Value at Risk Estimation 2011
  • The Gaussian Mixture Conditional Correlation Model: Parameter Estimation, Value at Risk Calculation and Portfolio Selection 2008

• working papers 

  • Variational Inference for high dimensional structured factor copulas 2018
  • Parallel Bayesian Inference for High Dimensional Dynamic Factor Copulas 2017
  • Vine copula models for predicting water flow discharge in Antarctic glaciers 2016
  • Seasonal copula models for the analysis of glacier discharge at King George Island, Antarctica 2015
  • Particle learning for Bayesian non-parametric Markov Switching Stochastic Volatility model 2014
  • Bayesian multivariate Bernstein polynomial density estimation 2013
  • A Bayesian non-parametric approach to asymmetric dynamic conditional correlation model with application to portfolio selection 2013
  • Bayesian non-parametric approach to asymmetric dynamic conditional correlation model with application to portfolio selection 2013
  • Non-parametric methods for circular-circular and circular-linear 2011
  • A Semiparametric Bayesian Approach to the Analysis of Financial Time Series with Applications to value at Risk 2010
  • Circular Bernstein Polynomial Distributions 2010