Publications

In preparation

Ackerer, D., Vatter, T., and Tagasovska, N. (2019)
Deep Smoothing of the Implied Volatility Surface

Vatter, T., Ackerer, D. and Nagler, T. (2019)
High-Dimensional Pair-Copula Constructions with Financial Applications

Tagasovska, N., Vatter, T., and Ackerer, D. (2019)
Nonparametric Vines as Generative Models

Ackerer, D., Vatter, T., and Tagasovska, N. (2019)
Vine Copula Autoencoders

Davis, R. A., Vatter, T., and Zhang, J. (2019)
Modeling Time Series of Counts with Shape Constraints

De Treville, S., Hoffstetter, J. and Vatter, T. (2019)
Using Point-of-Sale Data To Improve Shelf Replenishment Performance


Preprints

Nagler T., Vatter, T. (2019)
Solving Estimating Equations with Copulas

Tagasovska, N., Vatter, T. and Chavez-Demoulin, V. (2019)
Nonparametric Quantile-based Causal Discovery


Journal articles

Vatter, T. and Nagler, T. (2018)
Generalized Additive Models for Pair-Copula Constructions
Journal of Computational and Graphical Statistics, 27(4):715-727

Ackerer, D. and Vatter, T. (2017)
Dependent Defaults and Losses with Factor Copula Models Dependence Modeling, 5:375–399

Vatter, T. and Chavez-Demoulin, V. (2015)
Generalized Additive Models for Conditional Dependence Structures
Journal of Multivariate Analysis, 141:147-167

Vatter, T., Wu, H.-T., Chavez-Demoulin, V. and Bin, Y. (2015)
Non-Parametric Estimation of Intraday Spot Volatility: Disentangling Instantaneous Trend and Seasonality
Econometrics, 3:864-887


Thesis

Vatter, T. (2016)
Generalized Additive Modeling for Multivariate Distributions
PhD thesis, Faculty of Business and Economics, University of Lausanne

Software

C++

vinecopulib

High-performance C++ library for vine copula modeling based on Boost and Eigen


R

rvinecopulib

R interface to the vinecopulib C++ library

kde1d

Efficient implementation of univariate local polynomial kernel density estimators that can handle bounded and discrete data.

gamCopula

Generalized additive models for bivariate conditional dependence structures and vine copulas

VineCopula

Statistical inference of vine copulas

copulaDAG

Copula-based causal discovery and directed acyclic graphs, accompanies the paper Nonparametric Quantile-based Causal Discovery

mdmd

Tools to model multivariate discrete mixture distributions

eecop

Tools to solve estimating equations with copulas, accompanies the paper Solving Estimating Equations with Copulas.


Python

mgpancestry

Scraping the Mathematical Genealogy Project for a scholar’s ancestry


MATLAB

intradaySST

Functions to clean intraday FX prices and apply the Synchrosqueezing transform to extract the trend and seasonality from the returns volatilities, accompanies the paper by Vatter, T. and al. (2015)