Aleksey Min studied Mathematics at the Tashkent State University (Uzbekistan). In June 2004 he completed his Ph.D. on limit theorems for statistical functionals under supervision of Prof. Denker at the University of Göttingen. Since July 2004 he is a research associate at the Technische Universität München. Aleksey Min first worked at the chair of Mathematical Statistics until March 2010. In April 2010 he changed to the chair of Mathematical Finance and became an academic advisor for students of the M.Sc. program Mathematical Finance and Actuarial Science. In January 2011 he habilitated (From regression to copulas) at the Faculty of Mathematics of the TU München. Mr. Min was appointed as an adjunct professor by the TU Munich in February 2022.
Heger J., Min A., and Zagst R.: Analyzing Credit Spread Changes using Explainable Artifcial Intelligence. International Review of Financial Analysis 94 (103315), 2024 more…
2022
Brück, F., Fermanian, J.-D. and Min, A.: A corrected Clarke test for model selection and beyond. Journal of Econometrics, 2022 more…
Czado, C., Bax, K., Sahin, Ö., Nagler, T., Min, A. and Paterlini, S.: Vine copula based dependence modeling in sustainable finance. The Journal of Finance and Data Science, 2022 more…
Derumigny, A., Fermanian, J.-D. and Min, A.: Testing for equality between conditional copulas given discretized conditioning events. Canadian Journal of Statistics, 2022 more…
Nagler, T.; Krüger, D.; Min, A.: Stationary vine copula models for multivariate time series. Journal of Econometrics, 2022 more…
2021
Bücher, A.; Jaser, M.; Min, A.: Detecting departures from meta-ellipticity for multivariate stationary time series. Dependence Modeling, 2021 more…
Defend, M.; Min, A.; Portelli, L.; Ramsauer, F.; Sandrini, F. & Zagst, R.: Quantifying Drivers of Forecasted Returns Using Approximate Dynamic Factor Models for Mixed-Frequency Panel Data. Forecasting 3, 2021, 56-90 more…
KIelmann, J.; Manner, H.; Min, A.: Stock market returns and oil price shocks: A CoVaR analysis based on dynamic vine copula models. Empirical Economics, 2021 more…
2020
Jaser, M.; Min, A.: On tests for symmetry and radial symmetry of bivariate copulas towards testing for ellipticity. Computational Statistics , 2020 more…
Min, A.; Scherer, M.; Schischke, A.; Zagst, R.: Modeling Recovery Rates of Small- and Medium-Sized Entities in the US. Mathematics 8 (11), 2020 more…
2019
Ramsauer, F.; Min, A.; Lingauer, M.: Estimation of FAVAR Models for Incomplete Data with a Kalman Filter for Factors with Observable Components. Econometrics , 2019 more…
Jaser, M.; Haug, S.; Min, A.: A simple non-parametric goodness-of-fit test for elliptical copulas. Dependence Modeling (5), 2017, 330–353 more…
2014
Hauptmann, J.; Hoppenkamps, A.; Min, A.; Ramsauer, F.; Zagst, R.: Forecasting market turbulences using regime-switching models. Financial Markets and Portfolio Management 28 (2), 2014, 139-164 more…
Min, A.; Czado, C.: SCOMDY models based on pair-copula constructions with application to exchange rates. Computational Statistics and Data Analysis 76, 2014, 523-535 more…
2012
Czado, C.; Kastenmeier, R.; Brechmann, E. C.; Min, A.: A mixed copula model for insurance claims and claim sizes. Scandinavian Actuarial Journal 4, 2012, 278-305 more…
Czado, C.; Schepsmeier, U.; Min, A.: Maximum likelihood estimation of mixed C-vines with application to exchange rates. Statistical Modelling 12 (3), 2012, 229–255 more…
2011
Min, A.; Czado, C.: Bayesian model selection for multivariate copulas using pair-copula constructions. Canadian Journal of Statistics 39(2), 2011, 239-258 more…
Zhang, R.; Czado, C.; Min, A.: Efficient maximum likelihood estimation of copula based meta t-distributions. Computational Statistics and Data Analysis 55 (3), 2011, 1196-1214 more…
2010
Min, A.; Czado, C.: Testing for zero-modification in count regression models. Statistica Sinica 20 (1), 2010, 323-341 more…
Min, A.; Czado, C.: Bayesian inference for multivariate copulas using pair-copula constructions. Journal of Financial Econometrics 8 (4), 2010, 511-546 more…
Min, A.; Holzmann, H.; Czado, C.: Model selection strategies for identifying relevant covariates in homescedastic linear models. Computational Statistics and Data Analysis 54 (12), 2010, 3194-3211 more…
Smith, M.; Min, A.; Almeida,C.; Czado,C.: Modelling Longitudinal Data using a Pair-Copula Decomposition of Serial Dependence. Journal of the American Statistical Association 105 (492), 2010, 1467-1479 more…
2008
Denker, M. and Min, A.: A central limit theorem for measurements on the logarithmic scale and its application to dimension estimates. Journal of Multivariate Analysis 99 (4), 2008, 665-683 more…
2007
Czado, C.; V., Erhardt; A., Min; S., Wagner: Zero-inflated generalized Poisson models with regression effects on the mean, dispersion and zero-inflation level applied to patent outsourcing rates. Statistical Modelling 7 (2), 2007, 125-153 more…
2004
Holzman, H.; S., Koch; A., Min: Almost sure limit theorems for U-statistics. Statistics and Probability Letters 69 (3), 2004, 261-269 more…
Glau, K.; Linders, D.; Min, A.; Scherer, M.; Schneider, L.; Zagst, R.;: Innovations in Insurance, Risk- and Asset Management – Proceedings of the Innovations in Insurance, Risk- and Asset Management Conference. World Scientific, 2018 more…
Czado, C.; Gaertner, F.; Min, A.: Analysis of Australian electricity loads using joint Bayesian inference of D-Vines with autoregressive margins. In: Kurowicka, D.; Joe, H. (Ed.): Dependence Modeling-Handbook on Vine Copulae. World Scientific, 2011, - more…
Czado, C.; Min, A.: Bayesian Inference for D-vines: Estimation and Model Selection. In: Dependence Modeling-Handbook on Vine Copulae. World Scientific , 2011, - more…
