Publications

Thomas Nagler, Thibault Vatter (2023). Solving Estimating Equation With Copulas. Journal of the American Statistical Association.

Damien Ackerer, Natasha Tagasovska, Thibault Vatter (2020). Deep Smoothing of the Implied Volatility Surface. Advances in Neural Information Processing Systems (NeurIPS 2020).

Natasha Tagasovska, Valérie Chavez-Demoulin, Thibault Vatter (2020). Distinguishing Cause from Effect Using Quantiles: Bivariate Quantile Causal Discovery. Proceedings of the 37th International Conference on Machine Learning (ICML2020).

Natasha Tagasovska, Damien Ackerer, Thibault Vatter (2019). Copulas as High-Dimensional Generative Models: Vine Copula Autoencoders. Advances in Neural Information Processing Systems 32 (NeurIPS 2019).

V Kulkarni, Natasha Tagasovska, Thibault Vatter, Benoit Garbinato (2018). Generative Models for Simulating Mobility Trajectories. NeurIPS 2018 Workshop on Control and decision making in Spatiotemporal domain.

Thibault Vatter, Thomas Nagler (2018). Generalized Additive Models for Pair-Copula Constructions. Journal of Computational and Graphical Statistics.

Damien Ackerer, Thibault Vatter (2017). Dependent Defaults and Losses with Factor Copula Models. Dependence Modeling.

Thibault Vatter, Valérie Chavez-Demoulin (2015). Generalized additive models for conditional dependence structures. Journal of Multivariate Analysis.

Thibault Vatter, Hau-Tieng Wu, Valérie Chavez-Demoulin, Bin Yu (2015). Non-Parametric Estimation of Intraday Spot Volatility: Disentangling Instantaneous Trend and Seasonality. Econometrics.