Dr. S.U. (Umut) Can
Faculteit Economie en Bedrijfskunde
Sectie Quantitative Economics
Bezoekadres
- Roetersstraat 11
- Kamernummer: E4.26B
Postadres
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Postbus 15867
1001 NJ Amsterdam
Contactgegevens
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Profile
Current position
Assistant professor in Actuarial Science
Research interests
Extreme value theory, dependence modeling, heavy tailed distributions, stable processes, mathematical statistics
Dissertation title
Some convergence results on stable infinite moving average processes and stable self-similar processes
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Research
Supplementary documents
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Publicaties
- refereed (5)
- vakpublicatie (2)
- erkenning (4)
- proefschrift (1)
- working papers / preprints (1)
- datasets (1)
2024
- Can, S. U., Laeven, R. J. A., & Einmahl, J. H. J. (2024). Two-Sample Testing for Tail Copulas with an Application to Equity Indices. Journal of Business and Economic Statistics, 42(1). https://doi.org/10.1080/07350015.2023.2166050
2020
Can, S. U., Einmahl, J. H. J., & Laeven, R. J. A. (2020). Goodness-of-fit testing for copulas: A distribution-free approach. Bernoulli, 26(4), 3163–3190. https://doi.org/10.3150/20-BEJ1219 [details]
2015
- Can, S. U., Einmahl, J. H. J., Khmaladze, E. V., & Laeven, R. J. A. (2015). Asymptotically distribution-free goodness-of-fit testing for tail copulas. The Annals of Statistics, 43(2), 878-902. https://doi.org/10.1214/14-AOS1304 [details]
2014
- Can, S. U. (2014). A class of asymptotically self-similar stable processes with stationary increments. Stochastic Processes and their Applications, 124(12), 3986-4011. https://doi.org/10.1016/j.spa.2014.07.014 [details]
2010
- Can, S. U., Mikosch, T., & Samorodnitsky, G. (2010). Weak convergence of the function-idexed integrated periodogram for infite variance processes. Bernoulli, 16(4), 995-1015. https://doi.org/10.3150/10-BEJ253
2023
- van Heerwaarden, A. E., Can, S. U., Vellekoop, M. H., van Berkum, F., Laeven, R. J. A., van Meurs, R. G. M., & de Koning, Y. (2023). De evolutie van de actuaris: Van kasuaris tot vogelbekdier en verder. De Actuaris, 30(4), 8-11. https://www.actuarieelgenootschap.nl/kennisbank/de-evolutie-van-de-actuaris-1 [details]
2015
- Umut Can, S., & Laeven, R. J. A. (2015). Determining the right tail dependence model using R. Actuaris, 22(5), 40-41. [details]
Spreker
- Can, U. (speaker) (13-6-2019). Goodness of Fit Testing for Point Processes in Survival Analysis, 18th Applied Stochastic Models and Data Analysis Conference, Florence.
- Can, U. (speaker) (15-6-2018). Goodness of fit testing for copulas: a distribution-free approach, 4th Conference of the International Society for Nonparametric Statistics, Salerno.
- Can, S. U. (speaker) (30-6-2017). Asymptotically Distribution-Free Goodness-of-Fit Testing for Copulas, 10th International Conference on Extreme Value Analysis, Delft.
Andere
- Can, U. (organiser) (26-6-2017 - 30-6-2017). 10th International Conference on Extreme Value Analysis, Delft (participating in a conference, workshop, ...).
2010
- Can, S. U. (2010). Some convergence results on stable infinite moving average processes and stable self-similar processes. [Thesis, fully external, Cornell University]. Cornell Univesity.
2013
- Can, S. U., Einmahl, J. H. J., Khmaladze, E. V., & Laeven, R. J. A. (2013). Goodness-of-fit testing in dependence models. Amsterdam: Universiteit van Amsterdam.
2023
- Can, U., Einmahl, J. H. J. & Laeven, R. J. A. (2023). Two-Sample Testing for Tail Copulas with an Application to Equity Indices. Taylor & Francis. https://doi.org/10.6084/m9.figshare.21841934.v2
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Nevenwerkzaamheden
- Geen nevenwerkzaamheden
Can, S. U., Einmahl, J. H. J., & Laeven, R. J. A. (2020). Goodness-of-fit testing for copulas: A distribution-free approach. Bernoulli, 26(4), 3163–3190.