Publications

Piotr Jaworski

Number of publications: 73

2023

• Piotr Jaworski , On copulas with a trapezoid support, Dependence Modeling, 11 (1) 2023. See in PBN

2022

• Fabrizio Durante, Claudio Ignazzi, Piotr Jaworski , On the class of truncation invariant bivariate copulas under constraints, Journal of Mathematical Analysis and Applications, 509 (1) 2022, p. 125898. See in PBN

2021

• Piotr Jaworski , Marcin Krzywda, On copulas of self-similar Ito processes, Dependence Modeling, 9 2021, p. 243-266. See in PBN
• Christian Genest, Piotr Jaworski , On the class of bivariate Archimax copulas under constraints, Fuzzy Sets and Systems, 415 2021. See in PBN
• Kamil Liberadzki, Marcin Liberadzki, Piotr Jaworski , On Write-Down/ Write-Up Loss Absorbing Instruments, European Research Studies Journal, 2021. See in PBN
• Marcin Liberadzki, Kamil Liberadzki, Piotr Jaworski , Spread Analysis of the Sustainability-Linked Bonds Tied to an Issuer’s Greenhouse Gases Emissions Reduction Target, Energies, 2021. See in PBN

2020

• Piotr Jaworski , Marcin Pitera, A note on conditional variance and characterization of probability distributions, Statistics and Probability Letters, 163 2020, p. 1-5. See in PBN

2019

• Piotr Jaworski , Aleksander Kowalski, Kamil Liberadzki, Marcin Liberadzki, Obligacje typu CoCo i bail-in jako instrumenty rekapitalizacji banków i zwiększenia stabilności finansowej, Materiały i Studia NBP, 2019, p. 1-151. See in PBN
• Piotr Jaworski , On Copula-Itô processes, Dependence Modeling, 7 (1) 2019, p. 322-347. See in PBN
• Noppadon Kamnitui, Christian Genest, Piotr Jaworski , Wolfgang Trutschnig, On the size of the class of bivariate extreme-value copulas with a fixed value of Spearman’s rho or Kendall’s tau, Journal of Mathematical Analysis and Applications, 472 (1) 2019, p. 920-936. See in PBN

2018

• Mauro Bernardi, Fabrizio Durante, Piotr Jaworski , Lea Petrella, Gianfausto Salvadori, Conditional Risk based on multivariate Hazard Scenarios, Stochastic Environmental Research and Risk Assessment, 32 2018, p. 203–211. See in PBN
• Piotr Jaworski , Kamil Liberadzki, Marcin Liberadzki, Principles of the toll roads pricing, Archives of Transport, 2018. See in PBN

2017

• Piotr Jaworski , Marcin Pitera, A note on conditional covariance matrices for elliptical distributions, Statistics and Probability Letters, 129 2017, p. 230-235. See in PBN
• Piotr Jaworski , Kamil Liberadzki, Marcin Liberadzki, Contagion and divergence on sovereign bond markets, Copernican Journal of Finance & Accounting, 6 (4) 2017, p. 39-68. See in PBN
• Mauro Bernardi, Fabrizio Durante, Piotr Jaworski , CoVaR of families of copulas, Statistics and Probability Letters, 120 2017, p. 8-17. See in PBN
• Piotr Jaworski , Kamil Liberadzki, Marcin Liberadzki, How does issuing contingent convertible bonds improve bank's solvency? A Value-at-Risk and Expected Shortfall approach, Economic Modelling, 2017. See in PBN
• Piotr Jaworski , On Conditional Value at Risk (CoVaR) for tail-dependent copulas, Dependence Modeling, 5 (1) 2017, p. 1-19. See in PBN
• Piotr Jaworski , On truncation invariant copulas and their estimation, Dependence Modeling, 5 (1) 2017, p. 133-144. See in PBN

2016

• Piotr Jaworski , Marcin Pitera, The 20-60-20 rule, Discrete and Continuous Dynamical Systems - Series B, 2016. See in PBN
• F. Marta Di Lascio, Fabrizio Durante, Piotr Jaworski , Truncation invariant copulas and a testing procedure, Journal of Statistical Computation and Simulation, 2016. See in PBN

2015

• Fabrizio Durante, Enrico Foscolo, Piotr Jaworski , Hao Wang, Connectedness Measures of Spatial Contagion in the Banking and Insurance Sector, 2015. See in PBN
• Piotr Jaworski , Univariate conditioning of vine copulas, Journal of Multivariate Analysis, 2015. See in PBN

2014

• Fabrizio Durante, Enrico Foscolo, Piotr Jaworski , Hao Wang, A spatial contagion measure for financial time series, EXPERT SYSTEMS WITH APPLICATIONS, 41 (8) 2014, p. 4023-4034. See in PBN
• Piotr Jaworski , Marcin Pitera, On spatial contagion and multivariate GARCH models, Applied Stochastic Models in Business and Industry, 30 2014, p. 303-327. See in PBN
• Piotr Jaworski , On the Characterization of Copulas by Differential Equations, Communications in Statistics - Theory and Methods, 2014. See in PBN

2013

• Piotr Jaworski , Fabrizio Durante, Wolfgang Karl Haerdle, Copulae in Mathematical and Quantitative Finance, Proceedings of the Workshop Held in Cracow 10-11 July 2012, 213 2013. See in PBN
• Piotr Jaworski , Marcin Krzywda, Coupling of Wiener Processes by Copulas, Statistics and Probability Letters, 83 2013, p. 2027-2033. See in PBN
• Piotr Jaworski , Invariant dependence structure under univariate truncation: the high-dimensional case, STATISTICS, 47 (5) 2013, p. 1064-1074. See in PBN
• Piotr Jaworski , On copulas and differential inclusions, 2013. See in PBN
• Piotr Jaworski , Jacek Micał, Pojęcie ubezpieczenia i podstawowa terminologia, 2013. See in PBN
• Piotr Jaworski , The limiting properties of copulas under univariate conditioning, 2013. See in PBN

2012

• Enkelejd Hashorva, Piotr Jaworski , Gaussian approximation of conditional elliptic copulas, Journal of Multivariate Analysis, 2012. See in PBN
• Fabrizio Durante, Piotr Jaworski , Invariant dependence structure under univariate truncation, STATISTICS, 2012. See in PBN

2011

• Fabrizio Durante, Piotr Jaworski , Radko Mesiar, Invariant dependence structures and Archimedean copulas, Statistics and Probability Letters, 2011. See in PBN
• Piotr Jaworski , On modelling the increasing dependence of extremal events, 2011. See in PBN

2010

• Fabrizio Durante, Piotr Jaworski , A new characterization of bivariate copulus, Communications in Statistics - Theory and Methods, 2010. See in PBN
• Piotr Jaworski , Copula Theory and its Applications, 2010. See in PBN
• Tomasz Rychlik, Fabrizio Durante, Wolfgang Hardle, Piotr Jaworski , Copula theory and its applications. Proceedings of the Worshop Held in Warsaw, 25-26 Sept., 2010. See in PBN
• Piotr Jaworski , Ekonometria, 2010. See in PBN
• Piotr Jaworski , Krystyna Jaworska, Rynki kapitałowe, 2010. See in PBN
• Fabrizio Durante, Piotr Jaworski , Spatial contagion between financial markets: a copula-based approach, Applied Stochastic Models in Business and Industry, 2010. See in PBN
• Piotr Jaworski , Tail behaviour of copulas, 2010. See in PBN
• Piotr Jaworski , Testing archimedeanity, 2010. See in PBN

2009

• Piotr Jaworski , On copulas and their diagonals, INFORMATION SCIENCES, 2009. See in PBN

2008

• F. Durante, Piotr Jaworski , Absolutely continuous copulas with given diagonal sections, Communications in Statistics - Theory and Methods, 2008. See in PBN
• Piotr Jaworski , Bounds for Value at Risk - the approach based on copulas with homogeneous tails, 2008. See in PBN
• Piotr Jaworski , Bounds for value at risk for multiasset portfolios, Acta Physica Polonica A, 2008. See in PBN
• Piotr Jaworski , Tomasz Rychlik, On distributions of order statistics for absolutely continuous copulas with applications to reliability, Kybernetika, 2008. See in PBN

2007

• Piotr Jaworski , Bounds for value and risk for asymptotically dependent assets-the copula approach, 2007. See in PBN
• Piotr Jaworski , Zastosowanie kopuli do modelowania zdarzeń ekstremalnych, 2007. See in PBN

2006

• Piotr Jaworski , On a subjective approach to risk measurement, Quantitative Finance, 2006. See in PBN
• Piotr Jaworski , On uniform tail expansions of multivariate copulas and wide convergence of measures, Applicationes Mathematicae, 2006. See in PBN
• Piotr Jaworski , On value at risk for foreign exchange rates-the copula approach, Acta Physica Polonica, Series B., 2006. See in PBN

2005

• Piotr Jaworski , Jacek Micał, Modelowanie matematyczne w finansach i ubezpieczeniach, 2005. See in PBN
• Piotr Jaworski , Value at risk in the presence of the power laws, Acta Physica Polonica, Series B., 2005. See in PBN

2004

• Piotr Jaworski , On uniform tail expansions of bivariate copulas, Applicationes Mathematicae, 2004. See in PBN

2003

• Piotr Jaworski , A geometric point of view on mean variance models, Applicationes Mathematicae, 2003. See in PBN
• Piotr Jaworski , Asymptotyka dwuwymiarowych kopuli, Mathematica Applicanda (Matematyka Stosowana). Annales Societatis Mathematicae Polonae Series III, 2003. See in PBN

2001

• Piotr Jaworski , On the strong Hasse principle for fields of quotients of power series rings in two variants, Mathematische Zeitschrift, 2001. See in PBN

2000

• Piotr Jaworski , On the strong Hasse principle for fields of quotients of power series in two variables, Mathematische Zeitschrift, 2000. See in PBN
• Piotr Jaworski , On the topological triviality along moduli of deformations of $J_{k,0}$ singularities, Annales Polonici Mathematici, 2000. See in PBN
• Piotr Jaworski , Wycena portfela kredytowego, Bank i Kredyt, 2000. See in PBN

1997

• Piotr Jaworski , On the Witt rings of function fields of quasihomogeneous varieties, Colloquium Mathematicum, 1997. See in PBN

1995

• Piotr Jaworski , About the Witt rings of function fields of algebroid quadratic quasihomogeneous surfaces, Mathematische Zeitschrift, 1995. See in PBN

1992

• Piotr Jaworski , Witt rings of fields of quotients of two-dimensional regular local rings, Mathematische Zeitschrift, 1992. See in PBN

1986

• Piotr Jaworski , Distribution of critical values of miniversal deformations of parabolic singularities, Inventiones Mathematicae, 1986. See in PBN

Others

• F. Marta Di Lascio, Fabrizio Durante, Piotr Jaworski , A test for truncation invariant dependence, Soft Methods for Data Science. See in PBN
• Piotr Jaworski , Fabrizio Durante, Enrico Foscolo, Hao Wang, Connectedness Measures of Spatial Contagion in the Banking and Insurance Sector, Strengthening Links Between Data Analysis and Soft Computing, , p. 217-224. See in PBN
• Piotr Jaworski , On copulas and differential inclusions, Synergies of Soft Computing and Statistics for Intelligent Data Analysis. See in PBN
• Piotr Jaworski , On Extreme Value Copulas with Given Concordance Measures, New Trends in Aggregation Theory, , p. 29-46. See in PBN
• Piotr Jaworski , On the Conditional Value-at-Risk (CoVaR) in copula setting, Copulas and Dependence Models with Applications: Contributions in Honor of Roger B. Nelsen. See in PBN
• Piotr Jaworski , Jacek Micał, Pojęcie ubezpieczenia i podstawowa terminologia, Ubezpieczenia, , p. 17-37. See in PBN
• Piotr Jaworski , The limiting properties of copulas under univariate conditioning, Copulae in Mathematical and Quantitative Finance, Proceedings of the Workshop Held in Cracow 10-11 July 2012, , p. 129-163. See in PBN