Get your news from a source that’s not owned and controlled by oligarchs. Sign up for the free Mother Jones Daily. In 2000, while working at JPMorgan Chase, Li published a paper in The Journal of ...

We propose, for multivariate Gaussian copula models with unknown margins and structured correlation matrices, a rank-based, semiparametrically efficient estimator for the Euclidean copula parameter.

International Journal of Transport Economics / Rivista internazionale di economia dei trasporti, Vol. 38, No. 3 (OCTOBER 2011), pp. 337-362 (26 pages) In this paper, in the spirit of a tour-based ...

QUANT models and their architects are so misunderstood, often by people working in finance. It pains me, though I am biased. I spent the better part of a decade devoted to studying elegant (and ...