McGill University


Johanna Neslehova

Johanna G. Nešlehová, PhD, PStat

Associate Professor
Department of Mathematics and Statistics
McGill University
Burnside Hall, Room 1239
805, rue Sherbrooke ouest
Montréal, QC
Canada H3A 0B9


Research interests  |   Teaching  |   Publications  |   Talks  |   Full CV  |   animated lighthouse  McGill Statistics Seminar Series  animated lighthouse

Research Interests

Multivariate analysis, dependence modeling, nonparametric and asymptotic statistics, multivariate extreme value theory, empirical processes, applications to biostatistics, neuroscience and risk management

Teaching

McGill

ETH Zürich


Publications

(Google Scholar profile for Johanna G. Nešlehová)

Peer-reviewed articles

  1. A. Charpentier, A.-L. Fougères, C. Genest & J.G. Nešlehová (2014): Multivariate Archimax copulas. Journal of Multivariate Analysis, 126, 118-136.
  2. E. Cormier, C. Genest & J.G. Nešlehová (2014): Using B-splines for nonparametric inference on bivariate extreme-value copulas. Extremes, 17, 633-659.
  3. C. Genest & J.G. Nešlehová (2014): On tests of radial symmetry for bivariate copulas. Statistical Papers, 55, 1107-1119.
  4. C. Genest & J.G. Nešlehová (2014): A conversation with James O. Ramsay. International Statistical Review, 82, 161-183.
  5. C. Genest & J.G. Nešlehová & B. Rémillard (2014): On the empirical multilinear copula process for count data. Bernoulli, 20, 1344-1371.
  6. Y. Du, A. Khalili, J.G. Nešlehová & R.J. Steele (2013): Simultaneous fixed and random effects selection in finite mixture of linear mixed-effects models. The Canadian Journal of Statistics, 41, 596-616.
  7. Y. Du & J. Nešlehová (2013): A moment-based test for extreme-value dependence. Metrika, 76, 673-695.
  8. C. Genest & J.G. Nešlehová & B. Rémillard (2013): On the estimation of Spearman's rho and related tests of independence for possibly discontinuous multivariate data. Journal of Multivariate Analysis, 117, 214-228.
  9. E.F. Acar, C. Genest & J. Nešlehová (2012): Beyond simplified pair-copula constructions. Journal of Multivariate Analysis, 110, 74-90.
  10. C. Genest, J. Nešlehová & J.-F. Quessy (2012): Tests of symmetry for bivariate copulas. The Annals of the Institute of Statistical Mathematics, 64, 811-834.
  11. C. Genest, I. Kojadinovic, J. Nešlehová & J. Yan (2011): A goodness-of-fit test for bivariate extreme-value copulas. Bernoulli, 17, 253-275.
  12. C. Genest, J. Nešlehová & N. Ben Ghorbal (2011): Estimators based on Kendall's tau in multivariate copula models. The Australian and New Zealand Journal of Statistics, 53, 157-177.
  13. C. Genest, J. Nešlehová & J. Ziegel (2011): Inference in multivariate Archimedean copula models (with discussion). TEST, 20, 223-256
  14. M. Larsson & J. Nešlehová (2011): Extremal behavior of Archimedean copulas. Advances in Applied Probability, 43, 195-216.
  15. A. Feidt, C. Genest & J. Nešlehová (2010): Asymptotics of joint maxima for discontinuous random variables. Extremes, 13, 35-53.
  16. C. Genest, J. Nešlehová & N. Ben Ghorbal (2010): Spearman's footrule and Gini's gamma revisited. Journal of Nonparametric Statistics, 22, 937-954.
  17. A.J. McNeil & J. Nešlehová (2010): From Archimedean to Liouville copulas. Journal of Multivariate Analysis, 101, 1772-1790.
  18. N. Ben Ghorbal, C. Genest & J. Nešlehová (2009): On the Ghoudi, Khoudraji, and Rivest test for extreme-value dependence. The Canadian Journal of Statistics, 37, 534-552.
  19. P. Embrechts, J. Nešlehová & M.V. Wüthrich (2009): Additivity properties for value-at-risk under Archimedean dependence and heavy-tailedness. Insurance: Mathematics and Economics, 44, 164-169.
  20. C. Genest & J. Nešlehová (2009): Analytical proofs of classical inequalities between Spearman's rho and Kendall's tau. Journal of Statistical Planning and Inference, 139, 3795-3798.
  21. A.J. McNeil & J. Nešlehová (2009): Multivariate Archimedean copulas, d-monotone functions and L1-norm symmetric distributions. The Annals of Statistics, 37, 3059-3097.
  22. Z. Landsman & J. Nešlehová (2008): Stein's lemma for elliptical distributions. Journal of Multivariate Analysis, 99, 912-927.
  23. C. Genest & J. Nešlehová (2007): A primer on copulas for count data. The Astin Bulletin, 37, 475-515.
  24. J. Nešlehová (2007): On rank correlation measures for non-continuous random variables. Journal of Multivariate Analysis, 98, 544-567.
  25. V. Chavez-Demoulin, P. Embrechts & J. Nešlehová (2006): Quantitative models for operational risk: Extremes, dependence and aggregation. Journal of Banking and Finance, 30, 2635-2658.
  26. J. Nešlehová, P. Embrechts & V. Chavez-Demoulin (2006): Infinite-mean models and the LDA for operational risk. Journal of Operational Risk, 1, 3-25.
  27. D. Pfeifer & J. Nešlehová (2004): Modeling and generating dependent risk processes for IRM and DFA. The Astin Bulletin, 34, 333-360.
  28. D. Pfeifer & J. Nešlehová (2003): Modeling dependence in finance and insurance: The copula approach. Blätter der deutschen Gesellschaft für Versicherungs- und Finanzmathematik, Bd. XXVI/2.
Papers in books or conference proceedings
  1. C. Genest & J.G. Nešlehová (2014): Modeling dependence beyond correlation. In Statistics in Action: A Canadian Outlook (J. F. Lawless, Editor), pp. 59-78.
  2. C. Genest & J.G. Nešlehová (2013): Assessing and modeling asymmetry in bivariate continuous data. In Copulae in Mathematical and Quantitative Finance, Proceedings of the Workshop Held in Cracow, 10-11 July 2012 (P. Jaworski, F. Durante & W.K. Härdle, Editors). Springer, Berlin, pp. 91-114.
  3. C. Genest & J. Nešlehová (2012): Copula modeling for extremes. Encyclopedia of Environmetrics, Second Edition (A.H. El-Shaarawi & W.W. Piegorsch, Editors). Wiley, Chichester, vol. 2, pp. 530-541.
  4. C. Genest & J. Nešlehová (2012): Copulas and copula models. Encyclopedia of Environmetrics, Second Edition (A.H. El-Shaarawi & W.W. Piegorsch, Editors). Wiley, Chichester, vol. 2, pp. 541-553.
  5. L.J. Powers, J. Nešlehová & D.A. Stephens (2012): Pricing American options in an infinite activity Lévy market: Monte Carlo and deterministic approaches using a diffusion approximation. In Numerical methods in finance (R.A. Carmona, P. Del Moral, P. Hu & N. Oudjane, Editors), pp. 291-321.
  6. E. Cramer & J. Nešlehová (2003): (e)Learning the Basics of Probability. Proceedings of the International Statistical Institute, 54th Congress, Berlin.

Books and theses

Other scientific publications

Presentations

Invited talks

  1. Salzburg Workshop on Dependence Models and Copulas, Salzburg (Austria), September 20, 2016
  2. ROBUST, Jeseniky (Czech Republic), September 11, 2016
  3. Fakultätskolloquium Mathematik, TU Munich (Germany), June 8, 2016
  4. Dependence Modeling in Finance, Insurance and Environmental Science, TU Munich (Germany), May 17, 2016

  5. Université Laval, Québec (Canada), November 12, 2015

  6. Society of Undergraduate Mathematics Students, McGill University, Montréal (QC), November 26, 2013
  7. CRAG-IRGC Symposium 2013, Lausanne (Switzerland), November 21, 2013
  8. First ATMS Workshop, Rennes (France), July 9, 2013
  9. BIRS Meeting on Non-Gaussian Multivariate Statistical Models and their Applications, Banff (AB), May 21, 2013
  10. Universität Bern, Bern (Switzerland), April 23, 2013
  11. ETH Zürich, Zürich (Switzerland), April 19, 2013
  12. Technische Universität Wien, Wien (Austria), April 7, 2013
  13. Universidade Estadual de Campinas, Campinas (Brazil), March 19, 2013
  14. University of Toronto, Toronto (ON), November 8, 2012
  15. 40th Annual Meeting of the Statistical Society of Canada, Guelph (ON), June 6, 2012
  16. Georgia Institute of Technology, Atlanta (GA), April 13, 2012
  17. University of Ottawa, Ottawa (ON), March 23, 2012
  18. University of Manitoba, Winnipeg (MB), March 1, 2012
  19. Workshop "Mathematics and Statistics of Quantitative Risk Management", Oberwolfach (Germany), January 30, 2012
  20. McGill University, Montréal (QC), January 17, 2012
  21. University of Waterloo, Waterloo (ON), January 12, 2012
  22. Séminaire de statistique, Université de Sherbrooke (QC), November 11, 2011
  23. Statistics 2011 Canada, Montréal (QC), July 4, 2011
  24. Workshop on Copula Modeling and Dependence, Montréal (QC), June 6, 2011
  25. 38th Annual Meeting of the Statistical Society of Canada, Québec (QC), May 26, 2010
  26. Scientific Day of the DGVFM (Deutsche Gesellschaft für Versicherungs- und Finanzmathematik), Bremen (Germany), April 30, 2010
  27. University of Waterloo, Waterloo (ON), March 26, 2010
  28. McGill University, Montréal (QC), February 12, 2010
  29. Séminaire de mathématiques actuarielles et financières de Montréal, Montréal (QC), January 22, 2010
  30. ETH Zürich, Zürich (Switzerland), May 18, 2009
  31. Université Laval, Québec (QC), April 14, 2009
  32. McGill University, Montréal (QC), March 5, 2009
  33. Universität Ulm, Ulm (Germany), February 5, 2009
  34. Universität Erlangen-Nürnberg, Erlangen-Nürnberg (Germany), February 3, 2009
  35. University of Connecticut, Storrs (CT), January 15, 2009
  36. Second Vine Copula Workshop, Delft (The Netherlands), December 17, 2008
  37. Swiss Probability Seminar, Bern (Switzerland), November 26, 2008
  38. Joint Statistical Meetings, Denver (CO), August 6, 2008
  39. Joint SSC-SFdS Meeting, Ottawa (ON), May 29, 2008
  40. Université catholique de Louvain, Louvain-la-Neuve (Belgium), April 16, 2008
  41. Workshop on Copulae: Theory and Praxis, Berlin (Germany), December 7, 2007
  42. Univerzita Karlova v Praze, Prague (Czech Republic), November 7, 2007
  43. Universität Heidelberg, Heidelberg (Germany), July 15, 2007
  44. 8th Conference on Multivariate Statistics and 6th Conference on Multivariate Distributions with Fixed Marginals, Tartu (Estonia), June 28, 2007
  45. (sfi)2 Workshop on Quantitative Risk Management, Norsk Regnesentral, Oslo (Norway), April 24, 2007
  46. Cherry Bud Workshop, Keyo University, Tokyo (Japan), March 16, 2007
  47. Dresdner Forum zur Versicherungsmathematik, Dresden (Germany), June 23, 2006
  48. Heriot-Watt University, Edinburgh (Scotland), December 6, 2006
  49. Boston University, Boston (MA), September 12, 2006
  50. École polytechnique fédérale de Lausanne, Lausanne (Switzerland), June 2, 2006
  51. Universidad Nacional Autónoma de México, México (DF), March 28, 2006
  52. Technische Universität Wien, Vienna (Austria), December 6, 2005
  53. Risk Day, Zürich (Switzerland), October 21, 2005
  54. Universität Bern (Switzerland), June 17, 2005
  55. CARISMA Workshop on Extreme Value Theory and Copulas, Brunel University, London (UK), November 29, 2005
  56. Implementing AMA for Operational Risk, Federal Reserve Bank of Boston, Boston (MA), May 19, 2005
  57. ETH Zürich (Switzerland), January 13, 2005
  58. 34th International ASTIN Colloquium, Berlin (Germany), August 25, 2003

Contributed talks

  1. Prague Stochastics, Prague (Czech Republic), September 2, 2010
  2. Conference for the 50th anniversary of copulas, Lecce (Italy), June 11, 2009
  3. 8th German Open Conference on Probability and Statistics, Aachen (Germany), March 6, 2008
  4. 8th Conference on Multivariate Statistics and 6th Conference on Multivariate Distributions with Fixed Marginals, Tartu (Estonia), June 27, 2007
  5. 36th International ASTIN Colloquium, Zurich (Switzerland), September 4-7, 2005
  6. Workshop on the Interface between Quantitative Finance and Insurance, Edinburgh (Scotland), April 4-8, 2005
  7. 54th Congress of the International Statistical Institute, Berlin (Germany), August 13-20, 2003

Curriculum Vitae

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Last update: November 28, 2014.