International Workshop on High-Dimensional Dependence and Copulas:
Theory, Modeling, and Applications
January 4-5, 2014, Beijing, China
Copulas are multivariate distributions with standardized margins that capture scale-invariant dependence structures of random variables. The copula method offers great flexibility in building multivariate stochastic models and has become increasingly important in multivariate analysis. The purpose of this workshop is to bring together active experts working in the areas of copulas and quantitative risk management and to discuss recent advances, open questions and challenges. The focus will be on high-dimensional distributions/copulas, such as vine copulas, and their applications in multivariate risk/ruin analysis, extreme value analysis, quantitative finance, climate change, etc. The workshop is intended to foster collaborations among experts from China, Europe/North America in this exciting and fast-growing research area.
Workshop History:
This international workshop is evolved from the four workshops that were successfully held in various parts of the world. The first two workshops on vine copulas were held in Delft in December 2007 and in December 2008 respectively. The third workshop was held in Oslo in December 2009. The fourth workshop in the series was held in Munich in May 2011. The current workshop, which we have re-branded as "International Workshop on High-Dimensional Dependence and Copulas: Theory, Modeling, and Applications", focuses on the theoretical aspect and practical applications of the high-dimensional dependence models. This is a much broader theme compared to the previous workshops in order to reflect the recent advances in dependence and copulas. Additional resource on the high-dimensional copulas can be found at http://vine-copula.org
Pre-Workshop Short Courses:
Two short courses (vine copula inference and implementation, and multivariate extremes, etc.) will be arranged on January 3, 2014. The targeted audience includes advanced PhD students and junior faculty.
Submission Instruction:
In addition to keynote speeches and invited talks, the workshop will arrange several contributed sessions. The contributed papers within the theme of the workshop are welcome and the presentation abstracts can be submitted to dependence@cias-cufe.org before September 30th 2013. The notification of acceptance will be communicated to authors by October 15th 2013. The organizers of the workshop will make arrangements with two journals to publish special issues for the papers selected by workshop participants.
Current List of Confirmed Invited Speakers:
· Elif Acar (University of Manitoba, Canada)
· Eike Brechmann (Technical University of Munich, Germany)
· Umberto Cherubini (University of Bologna, Italy)
· Roger Cooke (Delft University of Technology, Netherlands, and Resources for the Future, USA)
· Claudia Czado (Technical University of Munich, Germany)
· Jan Dhaene (KU Leuven, Belgium)
· Edward Frees (University of Wisconsin, USA)
· Oliver Grothe (University of Cologne, Germany)
· Lei Hua (Northern Illinois University, USA)
· Marius Hofert (ETH Zurich, Switzerland)
· Piotr Jaworski (University of Warsaw, Poland)
· Harry Joe (University of British Columbia, Canada)
· Dorota Kurowicka (Delft University of Technology, Netherlands)
· Hans Manner (University of Cologne, Germany)
· Aris Nikoloulopoulos (University of East Anglia, UK)
· Ulf Schepsmeier (Technical University of Munich, Germany)
· Emiliano Valdez (Michigan State University, USA)
· Ruodu Wang (University of Waterloo, Canada)
· Gregor Weiss (TU Dortmund, Germany)
· Chengguo Weng (University of Waterloo, Canada)
· Zhengjun Zhang (University of Wisconsin, USA)
If you need more detail information, please refer to http://www.cias-cufe.org/dependence/index.html
