Takaaki Koike, Liyuan Lin, Ruodu Wang. Invariant correlation under marginal transforms. Journal of Multivariate Analysis. 2024. 204. 105361. 1-20
小池孝明, Marius Hofert. Comparison of Correlation-based Measures of Concordance in terms of Asymptotic Variance. Journal of Multivariate Analysis. 2024. 201
Cathy W.S. Chen, Takaaki Koike, Wei-Hsuan Shau. Tail risk forecasting with semi-parametric regression models by incorporating overnight information. Journal of Forecasting. 2024. 43. 5. 1492-1512
Takaaki Koike, Liyuan Lin, Ruodu Wang. Joint Mixability and Notions of Negative Dependence. Mathematics of Operations Research. 2024
小池孝明, Marius Hofert. Matrix compatibility and correlation mixture representation of generalized Gini's gamma. Canadian Journal of Statistics. 2023. 51. 4. 1111-1125
Takaaki Koike, Cathy W.S. Chen, Edward, M.H. Lin. Forecasting and Backtesting Gradient Allocations of Expected Shortfall. arXiv.2401.11701. 2024
小池孝明. Discussion of tail dependence measures using tail copulas. 統計数理研究所共同研究リポート 454, 極値理論の工学への応用(19). 2022. 11-16
Takaaki Koike. Risk Analysis: Measures of concordance, their compatibility and capital allocation. UWSpace. 2020
講演・口頭発表等 (29件):
Forecasting and backtesting gradient allocations of Expected Shortfall
(Seminar at at the department of Statistics and Actuarial Science, the University of Hong Kong 2024)
Extremal negative dependence and its applications to financial risk management
(Quantitative Finance Seminar at the department of Administration Engineering, faculty of Science and Technology, Keio University 2023)
Forecasting Gradient Allocations of Expected Shortfall
(一橋大学 経済統計ワークショップ 2023)
Forecasting Gradient Allocations of Expected Shortfall
(接合関数(コピュラ)理論の新展開 2023)