| Markov chain monte carlo methods for estimating systemic risk allocations T Koike, M Hofert Risks 8 (1), 6, 2020 | 16 | 2020 |
| Estimation of risk contributions with MCMC T Koike, M Minami Quantitative Finance 19 (9), 1579-1597, 2019 | 16 | 2019 |
| Compatibility and attainability of matrices of correlation-based measures of concordance M Hofert, T Koike ASTIN Bulletin: The Journal of the IAA 49 (3), 885-918, 2019 | 11 | 2019 |
| Avoiding zero probability events when computing Value at Risk contributions T Koike, Y Saporito, R Targino Insurance: Mathematics and Economics 106, 173-192, 2022 | 6* | 2022 |
| Matrix compatibility and correlation mixture representation of generalized Gini's gamma T Koike, M Hofert Canadian Journal of Statistics 51 (4), 1111-1125, 2023 | 3 | 2023 |
| Measuring non-exchangeable tail dependence using tail copulas T Koike, S Kato, M Hofert ASTIN Bulletin: The Journal of the IAA 53 (2), 466-487, 2023 | 3 | 2023 |
| Comparison of correlation-based measures of concordance in terms of asymptotic variance T Koike, M Hofert Journal of Multivariate Analysis 201, 105265, 2024 | 1 | 2024 |
| Joint mixability and notions of negative dependence T Koike, L Lin, R Wang Mathematics of Operations Research, 2024 | 1 | 2024 |
| On a Measure of Tail Asymmetry for the Bivariate Skew-Normal Copula SK Toshinao Yoshiba, Takaaki Koike Symmetry 15 (7), 1410, 2023 | 1 | 2023 |
| Modality for scenario analysis and maximum likelihood allocation T Koike, M Hofert Insurance: Mathematics and Economics 97, 24-43, 2021 | 1 | 2021 |
| 再配列アルゴリズムを用いた VaR 境界の算出 小池孝明， 南美穂子， 白石博 日本統計学会誌 45 (2), 353-375, 2016 | 1 | 2016 |
| Tail risk forecasting with semiparametric regression models by incorporating overnight information CWS Chen, T Koike, WH Shau Journal of Forecasting, 2024 | | 2024 |
| Forecasting and Backtesting Gradient Allocations of Expected Shortfall T Koike, CWS Chen, EMH Lin arXiv preprint arXiv:2401.11701, 2024 | | 2024 |
| Invariant correlation under marginal transforms T Koike, L Lin, R Wang arXiv preprint arXiv:2306.11188, 2023 | | 2023 |
| Risk Analysis: Measures of concordance, their compatibility and capital allocation T Koike University of Waterloo, 2020 | | 2020 |
Marius HofertThe University of Hong KongVerified email at hku.hk
