Wei, Bo; Tan, Kean Ming; He, Xuming Estimation of complier expected shortfall treatment effects with a binary instrumental variable. (English) Zbl 07803954 J. Econom. 238, No. 2, Article ID 105572, 27 p. (2024). MSC: 62-XX 91-XX PDFBibTeX XMLCite \textit{B. Wei} et al., J. Econom. 238, No. 2, Article ID 105572, 27 p. (2024; Zbl 07803954) Full Text: DOI arXiv
Bardet, Jean-Marc A new estimator for LARCH processes. (English) Zbl 07786781 J. Time Ser. Anal. 45, No. 1, 103-132 (2024). MSC: 62Mxx 62F12 62M10 91B84 PDFBibTeX XMLCite \textit{J.-M. Bardet}, J. Time Ser. Anal. 45, No. 1, 103--132 (2024; Zbl 07786781) Full Text: DOI arXiv
Babii, Andrii; Ball, Ryan T.; Ghysels, Eric; Striaukas, Jonas Machine learning panel data regressions with heavy-tailed dependent data: theory and application. (English) Zbl 07767725 J. Econom. 237, No. 2, Part C, Article ID 105315, 25 p. (2023). MSC: 62-XX 91-XX PDFBibTeX XMLCite \textit{A. Babii} et al., J. Econom. 237, No. 2, Part C, Article ID 105315, 25 p. (2023; Zbl 07767725) Full Text: DOI arXiv
Odendahl, Florens; Rossi, Barbara; Sekhposyan, Tatevik Evaluating forecast performance with state dependence. (English) Zbl 07767720 J. Econom. 237, No. 2, Part C, Article ID 105220, 31 p. (2023). MSC: 62-XX 91-XX PDFBibTeX XMLCite \textit{F. Odendahl} et al., J. Econom. 237, No. 2, Part C, Article ID 105220, 31 p. (2023; Zbl 07767720) Full Text: DOI
Fan, Yanqin; Han, Fang; Park, Hyeonseok Estimation and inference in a high-dimensional semiparametric Gaussian copula vector autoregressive model. (English) Zbl 07767707 J. Econom. 237, No. 1, Article ID 105513, 28 p. (2023). MSC: 62-XX 91-XX PDFBibTeX XMLCite \textit{Y. Fan} et al., J. Econom. 237, No. 1, Article ID 105513, 28 p. (2023; Zbl 07767707) Full Text: DOI
Bennedsen, Mikkel; Lunde, Asger; Shephard, Neil; Veraart, Almut E. D. Inference and forecasting for continuous-time integer-valued trawl processes. (English) Zbl 07743048 J. Econom. 236, No. 2, Article ID 105476, 21 p. (2023). MSC: 62-XX 91-XX PDFBibTeX XMLCite \textit{M. Bennedsen} et al., J. Econom. 236, No. 2, Article ID 105476, 21 p. (2023; Zbl 07743048) Full Text: DOI arXiv
Su, Liangjun; Wang, Wuyi; Xu, Xingbai Identifying latent group structures in spatial dynamic panels. (English) Zbl 07704522 J. Econom. 235, No. 2, 1955-1980 (2023). MSC: 62-XX 91-XX PDFBibTeX XMLCite \textit{L. Su} et al., J. Econom. 235, No. 2, 1955--1980 (2023; Zbl 07704522) Full Text: DOI
Mayer, Alexander; Wied, Dominik Estimation and inference in factor copula models with exogenous covariates. (English) Zbl 07704503 J. Econom. 235, No. 2, 1500-1521 (2023). MSC: 62-XX 91-XX PDFBibTeX XMLCite \textit{A. Mayer} and \textit{D. Wied}, J. Econom. 235, No. 2, 1500--1521 (2023; Zbl 07704503) Full Text: DOI arXiv
Fu, Zhonghao; Hong, Yongmiao; Su, Liangjun; Wang, Xia Specification tests for time-varying coefficient models. (English) Zbl 07704471 J. Econom. 235, No. 2, 720-744 (2023). MSC: 62-XX 91-XX PDFBibTeX XMLCite \textit{Z. Fu} et al., J. Econom. 235, No. 2, 720--744 (2023; Zbl 07704471) Full Text: DOI
Linton, Oliver; Seo, Myung Hwan; Whang, Yoon-Jae Testing stochastic dominance with many conditioning variables. (English) Zbl 07704463 J. Econom. 235, No. 2, 507-527 (2023). MSC: 62-XX 91-XX PDFBibTeX XMLCite \textit{O. Linton} et al., J. Econom. 235, No. 2, 507--527 (2023; Zbl 07704463) Full Text: DOI
Lu, Yang; Zhu, Dan Modelling mortality: a Bayesian factor-augmented VAR (FAVAR) approach. (English) Zbl 1519.91215 ASTIN Bull. 53, No. 1, 29-61 (2023). MSC: 91G05 62P05 91D20 PDFBibTeX XMLCite \textit{Y. Lu} and \textit{D. Zhu}, ASTIN Bull. 53, No. 1, 29--61 (2023; Zbl 1519.91215) Full Text: DOI
Maïnassara, Yacouba Boubacar; Esstafa, Youssef; Saussereau, Bruno Diagnostic checking in FARIMA models with uncorrelated but non-independent error terms. (English) Zbl 07690322 Electron. J. Stat. 17, No. 1, 1160-1239 (2023). MSC: 62M10 62F03 62F05 91B84 62P05 PDFBibTeX XMLCite \textit{Y. B. Maïnassara} et al., Electron. J. Stat. 17, No. 1, 1160--1239 (2023; Zbl 07690322) Full Text: DOI arXiv Link
Aknouche, Abdelhakim; Almohaimeed, Bader S.; Dimitrakopoulos, Stefanos Forecasting transaction counts with integer-valued GARCH models. (English) Zbl 07681743 Stud. Nonlinear Dyn. Econom. 26, No. 4, 529-539 (2022). MSC: 62-XX 91-XX PDFBibTeX XMLCite \textit{A. Aknouche} et al., Stud. Nonlinear Dyn. Econom. 26, No. 4, 529--539 (2022; Zbl 07681743) Full Text: DOI
Chang, Le; Shi, Yanlin Age-coherent mortality modeling and forecasting using a constrained sparse vector-autoregressive model. (English) Zbl 1507.91169 N. Am. Actuar. J. 26, No. 4, 591-609 (2022). MSC: 91G05 62P05 PDFBibTeX XMLCite \textit{L. Chang} and \textit{Y. Shi}, N. Am. Actuar. J. 26, No. 4, 591--609 (2022; Zbl 1507.91169) Full Text: DOI
Mehrdoust, Farshid; Fallah, Somayeh On the calibration of fractional two-factor stochastic volatility model with non-Lipschitz diffusions. (English) Zbl 07632208 Commun. Stat., Simulation Comput. 51, No. 11, 6332-6351 (2022). MSC: 91Gxx 91G60 PDFBibTeX XMLCite \textit{F. Mehrdoust} and \textit{S. Fallah}, Commun. Stat., Simulation Comput. 51, No. 11, 6332--6351 (2022; Zbl 07632208) Full Text: DOI
Kataria, K. K.; Khandakar, M. Generalized fractional counting process. (English) Zbl 1509.60107 J. Theor. Probab. 35, No. 4, 2784-2805 (2022). MSC: 60G55 60G22 91B05 PDFBibTeX XMLCite \textit{K. K. Kataria} and \textit{M. Khandakar}, J. Theor. Probab. 35, No. 4, 2784--2805 (2022; Zbl 1509.60107) Full Text: DOI arXiv
Wang, Bin; Zheng, Xu Testing for the presence of jump components in jump diffusion models. (English) Zbl 07585125 J. Econom. 230, No. 2, 483-509 (2022). MSC: 62-XX 91-XX PDFBibTeX XMLCite \textit{B. Wang} and \textit{X. Zheng}, J. Econom. 230, No. 2, 483--509 (2022; Zbl 07585125) Full Text: DOI
Garnier, Rémy Concurrent neural network: a model of competition between times series. (English) Zbl 07553141 Ann. Oper. Res. 313, No. 2, 945-964 (2022). MSC: 62Mxx 91Bxx 60Exx PDFBibTeX XMLCite \textit{R. Garnier}, Ann. Oper. Res. 313, No. 2, 945--964 (2022; Zbl 07553141) Full Text: DOI arXiv
Juodis, Artūras; Sarafidis, Vasilis An incidental parameters free inference approach for panels with common shocks. (English) Zbl 07538789 J. Econom. 229, No. 1, 19-54 (2022). MSC: 62-XX 91-XX PDFBibTeX XMLCite \textit{A. Juodis} and \textit{V. Sarafidis}, J. Econom. 229, No. 1, 19--54 (2022; Zbl 07538789) Full Text: DOI
Xiao, Jinghong; Tan, Zhongquan Almost sure limit theorems for the maxima of stochastic volatility models. (English) Zbl 1490.60068 Stochastics 93, No. 4, 513-527 (2021). MSC: 60F15 60G70 62P05 91B70 PDFBibTeX XMLCite \textit{J. Xiao} and \textit{Z. Tan}, Stochastics 93, No. 4, 513--527 (2021; Zbl 1490.60068) Full Text: DOI
Linton, Oliver; Whang, Yoon Jae; Yen, Yu-Min The lower regression function and testing expectation dependence dominance hypotheses. (English) Zbl 1490.62109 Econom. Rev. 40, No. 8, 709-727 (2021). MSC: 62G10 62E20 62P05 91G10 PDFBibTeX XMLCite \textit{O. Linton} et al., Econom. Rev. 40, No. 8, 709--727 (2021; Zbl 1490.62109) Full Text: DOI
Guðmundsson, Guðmundur Stefán; Brownlees, Christian Detecting groups in large vector autoregressions. (English) Zbl 07414278 J. Econom. 225, No. 1, 2-26 (2021). MSC: 62-XX 91-XX PDFBibTeX XMLCite \textit{G. S. Guðmundsson} and \textit{C. Brownlees}, J. Econom. 225, No. 1, 2--26 (2021; Zbl 07414278) Full Text: DOI
Li, Hong; Shi, Yanlin Forecasting mortality with international linkages: a global vector-autoregression approach. (English) Zbl 1471.91470 Insur. Math. Econ. 100, 59-75 (2021). MSC: 91G05 91D20 62P05 PDFBibTeX XMLCite \textit{H. Li} and \textit{Y. Shi}, Insur. Math. Econ. 100, 59--75 (2021; Zbl 1471.91470) Full Text: DOI
Kataria, K. K.; Khandakar, M. Mixed fractional risk process. (English) Zbl 1470.60112 J. Math. Anal. Appl. 504, No. 1, Article ID 125379, 18 p. (2021). MSC: 60G22 60G50 91G05 PDFBibTeX XMLCite \textit{K. K. Kataria} and \textit{M. Khandakar}, J. Math. Anal. Appl. 504, No. 1, Article ID 125379, 18 p. (2021; Zbl 1470.60112) Full Text: DOI arXiv
Yousuf, Kashif; Ng, Serena Boosting high dimensional predictive regressions with time varying parameters. (English) Zbl 07376508 J. Econom. 224, No. 1, 60-87 (2021). MSC: 62-XX 91-XX PDFBibTeX XMLCite \textit{K. Yousuf} and \textit{S. Ng}, J. Econom. 224, No. 1, 60--87 (2021; Zbl 07376508) Full Text: DOI arXiv
Kojevnikov, Denis; Marmer, Vadim; Song, Kyungchul Limit theorems for network dependent random variables. (English) Zbl 1471.62536 J. Econom. 222, No. 2, 882-908 (2021). MSC: 62P20 60F05 62M30 91D30 PDFBibTeX XMLCite \textit{D. Kojevnikov} et al., J. Econom. 222, No. 2, 882--908 (2021; Zbl 1471.62536) Full Text: DOI arXiv
Chang, Le; Shi, Yanlin Dynamic modelling and coherent forecasting of mortality rates: a time-varying coefficient spatial-temporal autoregressive approach. (English) Zbl 1454.91172 Scand. Actuar. J. 2020, No. 9, 843-863 (2020). MSC: 91G05 91D20 62P05 PDFBibTeX XMLCite \textit{L. Chang} and \textit{Y. Shi}, Scand. Actuar. J. 2020, No. 9, 843--863 (2020; Zbl 1454.91172) Full Text: DOI Link
Zanin Zambom, Adriano; Gel, Yulia R. Testing for local covariate trend effects in volatility models. (English) Zbl 1450.62119 Electron. J. Stat. 14, No. 2, 2529-2550 (2020). Reviewer: Annibal Parracho Sant’Anna (Rio de Janeiro) MSC: 62M10 62G10 62G20 62J10 91B84 62P20 PDFBibTeX XMLCite \textit{A. Zanin Zambom} and \textit{Y. R. Gel}, Electron. J. Stat. 14, No. 2, 2529--2550 (2020; Zbl 1450.62119) Full Text: DOI Euclid
Wang, Xuejun; Wu, Yi; Yu, Wei; Yang, Wenzhi; Hu, Shuhe Asymptotics for the linear kernel quantile estimator. (English) Zbl 1439.62119 Test 28, No. 4, 1144-1174 (2019). MSC: 62G30 62G08 62G20 62G05 62M10 62P20 91B84 PDFBibTeX XMLCite \textit{X. Wang} et al., Test 28, No. 4, 1144--1174 (2019; Zbl 1439.62119) Full Text: DOI
Loertscher, Simon; Mezzetti, Claudio The deficit on each trade in a Vickrey double auction is at least as large as the Walrasian price gap. (English) Zbl 1427.91139 J. Math. Econ. 84, 101-106 (2019). MSC: 91B26 PDFBibTeX XMLCite \textit{S. Loertscher} and \textit{C. Mezzetti}, J. Math. Econ. 84, 101--106 (2019; Zbl 1427.91139) Full Text: DOI Link
Guibert, Quentin; Lopez, Olivier; Piette, Pierrick Forecasting mortality rate improvements with a high-dimensional VAR. (English) Zbl 1425.91223 Insur. Math. Econ. 88, 255-272 (2019). MSC: 91B30 62P05 62M20 91D20 PDFBibTeX XMLCite \textit{Q. Guibert} et al., Insur. Math. Econ. 88, 255--272 (2019; Zbl 1425.91223) Full Text: DOI Link
Garnier, Josselin; Sølna, Knut Option pricing under fast-varying long-memory stochastic volatility. (English) Zbl 1411.91556 Math. Finance 29, No. 1, 39-83 (2019). MSC: 91G20 60G22 60J60 60G44 PDFBibTeX XMLCite \textit{J. Garnier} and \textit{K. Sølna}, Math. Finance 29, No. 1, 39--83 (2019; Zbl 1411.91556) Full Text: DOI arXiv
Hayashi, Takaki; Koike, Yuta Wavelet-based methods for high-frequency lead-lag analysis. (English) Zbl 1419.91649 SIAM J. Financ. Math. 9, No. 4, 1208-1248 (2018). MSC: 91G60 65T60 62P05 62M10 PDFBibTeX XMLCite \textit{T. Hayashi} and \textit{Y. Koike}, SIAM J. Financ. Math. 9, No. 4, 1208--1248 (2018; Zbl 1419.91649) Full Text: DOI arXiv
Lux, Thomas Estimation of agent-based models using sequential Monte Carlo methods. (English) Zbl 1401.91462 J. Econ. Dyn. Control 91, 391-408 (2018). MSC: 91B69 PDFBibTeX XMLCite \textit{T. Lux}, J. Econ. Dyn. Control 91, 391--408 (2018; Zbl 1401.91462) Full Text: DOI Link
Martins-Filho, Carlos; Yao, Feng; Torero, Maximo Nonparametric estimation of conditional value-at-risk and expected shortfall based on extreme value theory. (English) Zbl 1441.62240 Econom. Theory 34, No. 1, 23-67 (2018). MSC: 62M10 62G05 62G07 62G32 62P05 91G70 PDFBibTeX XMLCite \textit{C. Martins-Filho} et al., Econom. Theory 34, No. 1, 23--67 (2018; Zbl 1441.62240) Full Text: DOI arXiv
Cont, Rama; Kukanov, Arseniy Optimal order placement in limit order markets. (English) Zbl 1402.91678 Quant. Finance 17, No. 1, 21-39 (2017). MSC: 91G10 PDFBibTeX XMLCite \textit{R. Cont} and \textit{A. Kukanov}, Quant. Finance 17, No. 1, 21--39 (2017; Zbl 1402.91678) Full Text: DOI arXiv Link
Garnier, Josselin; Sølna, Knut Correction to Black-Scholes formula due to fractional stochastic volatility. (English) Zbl 1407.91290 SIAM J. Financ. Math. 8, 560-588 (2017). MSC: 91G80 60H10 60G22 60K37 PDFBibTeX XMLCite \textit{J. Garnier} and \textit{K. Sølna}, SIAM J. Financ. Math. 8, 560--588 (2017; Zbl 1407.91290) Full Text: DOI arXiv
Koch, Erwan Spatial risk measures and applications to max-stable processes. (English) Zbl 1387.60086 Extremes 20, No. 3, 635-670 (2017). MSC: 60G70 91B30 PDFBibTeX XMLCite \textit{E. Koch}, Extremes 20, No. 3, 635--670 (2017; Zbl 1387.60086) Full Text: DOI arXiv
Doukhan, Paul; Pommeret, Denys; Rynkiewicz, Joseph; Salhi, Yahia A class of random field memory models for mortality forecasting. (English) Zbl 1422.62309 Insur. Math. Econ. 77, 97-110 (2017). MSC: 62P05 62M40 62F12 91B30 60G60 PDFBibTeX XMLCite \textit{P. Doukhan} et al., Insur. Math. Econ. 77, 97--110 (2017; Zbl 1422.62309) Full Text: DOI HAL
Saïda, Abdallah Ben; Prigent, Jean-Luc On the diversity score: a copula approach. (English) Zbl 1369.62284 Statistics 51, No. 1, 188-204 (2017). MSC: 62P05 91G70 91G40 PDFBibTeX XMLCite \textit{A. B. Saïda} and \textit{J.-L. Prigent}, Statistics 51, No. 1, 188--204 (2017; Zbl 1369.62284) Full Text: DOI
Kim, Min Seong; Sun, Yixiao; Yang, Jingjing A fixed-bandwidth view of the pre-asymptotic inference for kernel smoothing with time series data. (English) Zbl 1422.62151 J. Econom. 197, No. 2, 298-322 (2017). MSC: 62G08 62G10 62G20 62M10 91B84 PDFBibTeX XMLCite \textit{M. S. Kim} et al., J. Econom. 197, No. 2, 298--322 (2017; Zbl 1422.62151) Full Text: DOI
Kacem, Manel; Loisel, Stéphane; Maume-Deschamps, Véronique Some mixing properties of conditionally independent processes. (English) Zbl 1338.60070 Commun. Stat., Theory Methods 45, No. 5, 1241-1259 (2016). MSC: 60F05 60E15 60G10 91B30 PDFBibTeX XMLCite \textit{M. Kacem} et al., Commun. Stat., Theory Methods 45, No. 5, 1241--1259 (2016; Zbl 1338.60070) Full Text: DOI
Ferreira, Eva; Stute, Winfried Dynamic binomials with an application to gender bias analysis. (English) Zbl 1343.60013 J. Appl. Probab. 53, No. 1, 82-90 (2016). MSC: 60F05 60J10 60E10 91D10 PDFBibTeX XMLCite \textit{E. Ferreira} and \textit{W. Stute}, J. Appl. Probab. 53, No. 1, 82--90 (2016; Zbl 1343.60013) Full Text: DOI Euclid
Medeiros, Marcelo C.; Mendes, Eduardo F. \(\ell_1\)-regularization of high-dimensional time-series models with non-Gaussian and heteroskedastic errors. (English) Zbl 1390.62179 J. Econom. 191, No. 1, 255-271 (2016). MSC: 62M10 62J07 91B84 PDFBibTeX XMLCite \textit{M. C. Medeiros} and \textit{E. F. Mendes}, J. Econom. 191, No. 1, 255--271 (2016; Zbl 1390.62179) Full Text: DOI
Iori, Giulia; Kapar, Burcu; Olmo, Jose Bank characteristics and the interbank money market: a distributional approach. (English) Zbl 1506.62514 Stud. Nonlinear Dyn. Econom. 19, No. 3, 249-283 (2015). MSC: 62P20 62G07 62G10 91G70 PDFBibTeX XMLCite \textit{G. Iori} et al., Stud. Nonlinear Dyn. Econom. 19, No. 3, 249--283 (2015; Zbl 1506.62514) Full Text: DOI
Rezapour, M.; Balakrishnan, N. Some properties of stochastic volatility model that are induced by its volatility sequence. (English) Zbl 1486.62274 Stat. Methodol. 24, 28-36 (2015). MSC: 62P05 60G55 62G32 91B70 91G30 PDFBibTeX XMLCite \textit{M. Rezapour} and \textit{N. Balakrishnan}, Stat. Methodol. 24, 28--36 (2015; Zbl 1486.62274) Full Text: DOI
Fried, Roland; Agueusop, Inoncent; Bornkamp, Björn; Fokianos, Konstantinos; Fruth, Jana; Ickstadt, Katja Retrospective Bayesian outlier detection in INGARCH series. (English) Zbl 1332.62321 Stat. Comput. 25, No. 2, 365-374 (2015). MSC: 62M10 62J12 91B84 62F15 PDFBibTeX XMLCite \textit{R. Fried} et al., Stat. Comput. 25, No. 2, 365--374 (2015; Zbl 1332.62321) Full Text: DOI
Zhu, Ke; Li, Wai Keung A bootstrapped spectral test for adequacy in weak ARMA models. (English) Zbl 1337.62285 J. Econom. 187, No. 1, 113-130 (2015). MSC: 62M10 62G10 62M15 91G70 PDFBibTeX XMLCite \textit{K. Zhu} and \textit{W. K. Li}, J. Econom. 187, No. 1, 113--130 (2015; Zbl 1337.62285) Full Text: DOI Link
Wang, Gaowen; Han, Nan-Wei Spurious regressions in time series with long memory. (English) Zbl 1325.62174 Commun. Stat., Theory Methods 44, No. 4, 837-854 (2015). MSC: 62M10 91B84 60J65 62G20 62J02 PDFBibTeX XMLCite \textit{G. Wang} and \textit{N.-W. Han}, Commun. Stat., Theory Methods 44, No. 4, 837--854 (2015; Zbl 1325.62174) Full Text: DOI
Hezarkhani, Behzad; Kubiak, Wieslaw; Hartman, Bruce Asymptotic behavior of optimal quantities in symmetric transshipment coalitions. (English) Zbl 1408.90012 Oper. Res. Lett. 42, No. 6-7, 438-443 (2014). MSC: 90B05 90B06 91A80 PDFBibTeX XMLCite \textit{B. Hezarkhani} et al., Oper. Res. Lett. 42, No. 6--7, 438--443 (2014; Zbl 1408.90012) Full Text: DOI
Lee, Yoonseok Nonparametric estimation of dynamic panel models with fixed effects. (English) Zbl 1314.62206 Econom. Theory 30, No. 6, 1315-1347 (2014). MSC: 62M10 62G05 62G20 91B84 PDFBibTeX XMLCite \textit{Y. Lee}, Econom. Theory 30, No. 6, 1315--1347 (2014; Zbl 1314.62206) Full Text: DOI
Bouezmarni, Taoufik; Taamouti, Abderrahim Nonparametric tests for conditional independence using conditional distributions. (English) Zbl 1329.62209 J. Nonparametric Stat. 26, No. 4, 697-719 (2014). MSC: 62G10 62M10 62G20 62H20 91G70 91B84 62P05 PDFBibTeX XMLCite \textit{T. Bouezmarni} and \textit{A. Taamouti}, J. Nonparametric Stat. 26, No. 4, 697--719 (2014; Zbl 1329.62209) Full Text: DOI Link
Taamouti, Abderrahim; Bouezmarni, Taoufik; El Ghouch, Anouar Nonparametric estimation and inference for conditional density based Granger causality measures. (English) Zbl 1293.62082 J. Econom. 180, No. 2, 251-264 (2014). MSC: 62G05 62G07 62H05 62M10 62P05 91G70 PDFBibTeX XMLCite \textit{A. Taamouti} et al., J. Econom. 180, No. 2, 251--264 (2014; Zbl 1293.62082) Full Text: DOI Link
Berghaus, Betina; Bücher, Axel Nonparametric tests for tail monotonicity. (English) Zbl 1293.62096 J. Econom. 180, No. 2, 117-126 (2014). MSC: 62G10 62P20 91B82 PDFBibTeX XMLCite \textit{B. Berghaus} and \textit{A. Bücher}, J. Econom. 180, No. 2, 117--126 (2014; Zbl 1293.62096) Full Text: DOI Link
Escobar, Marcos; Olivares, Pablo Pricing of mountain range derivatives under a principal component stochastic volatility model. (English) Zbl 1286.91134 Appl. Stoch. Models Bus. Ind. 29, No. 1, 31-44 (2013). MSC: 91G20 60J70 62H25 91B70 91G30 PDFBibTeX XMLCite \textit{M. Escobar} and \textit{P. Olivares}, Appl. Stoch. Models Bus. Ind. 29, No. 1, 31--44 (2013; Zbl 1286.91134) Full Text: DOI
McElroy, Tucker; Politis, Dimitris N. Distribution theory for the Studentized mean for long, short, and negative memory time series. (English) Zbl 1285.62108 J. Econom. 177, No. 1, 60-74 (2013). MSC: 62M10 62G05 62G20 91B84 PDFBibTeX XMLCite \textit{T. McElroy} and \textit{D. N. Politis}, J. Econom. 177, No. 1, 60--74 (2013; Zbl 1285.62108) Full Text: DOI
Linton, Oliver; Xiao, Zhijie Estimation of and inference about the expected shortfall for time series with infinite variance. (English) Zbl 1283.91156 Econom. Theory 29, No. 4, 771-807 (2013). MSC: 91B84 62P05 62M10 91G60 91G70 PDFBibTeX XMLCite \textit{O. Linton} and \textit{Z. Xiao}, Econom. Theory 29, No. 4, 771--807 (2013; Zbl 1283.91156) Full Text: DOI
Mikosch, Thomas; Rezapour, Mohsen Stochastic volatility models with possible extremal clustering. (English) Zbl 1286.91144 Bernoulli 19, No. 5A, 1688-1713 (2013). Reviewer: Emilia Di Lorenzo (Napoli) MSC: 91G30 60G55 91B70 PDFBibTeX XMLCite \textit{T. Mikosch} and \textit{M. Rezapour}, Bernoulli 19, No. 5A, 1688--1713 (2013; Zbl 1286.91144) Full Text: DOI arXiv
Tien, Dung Nguyen Fractional stochastic differential equations with applications to finance. (English) Zbl 1255.60100 J. Math. Anal. Appl. 397, No. 1, 334-348 (2013). Reviewer: Aleksandr D. Borisenko (Kyïv) MSC: 60H10 60G22 91G20 PDFBibTeX XMLCite \textit{D. N. Tien}, J. Math. Anal. Appl. 397, No. 1, 334--348 (2013; Zbl 1255.60100) Full Text: DOI
Kokoszka, Piotr Dependent functional data. (English) Zbl 06169714 ISRN Probab. Stat. 2012, Article ID 958254, 30 p. (2012). MSC: 62-XX 91-XX 92-XX PDFBibTeX XMLCite \textit{P. Kokoszka}, ISRN Probab. Stat. 2012, Article ID 958254, 30 p. (2012; Zbl 06169714) Full Text: DOI
Li, Degui; Lu, Zudi; Linton, Oliver Local linear fitting under near epoch dependence: uniform consistency with convergence rates. (English) Zbl 1369.62075 Econom. Theory 28, No. 5, 935-958 (2012). MSC: 62G08 62G05 62G20 91B82 PDFBibTeX XMLCite \textit{D. Li} et al., Econom. Theory 28, No. 5, 935--958 (2012; Zbl 1369.62075) Full Text: DOI
Ayache, Antoine; Peng, Qidi Stochastic volatility and multifractional Brownian motion. (English) Zbl 1247.91205 Zili, Mounir (ed.) et al., Stochastic differential equations and processes. SAAP, Tunisia, October 7-9, 2010. Selected papers based on the presentations at the international conference on stochastic analysis and applied probability. Berlin: Springer (ISBN 978-3-642-22367-9/hbk; 978-3-642-22368-6/ebook). Springer Proceedings in Mathematics 7, 211-237 (2012). MSC: 91G70 60G22 91G20 60J65 62P05 PDFBibTeX XMLCite \textit{A. Ayache} and \textit{Q. Peng}, Springer Proc. Math. 7, 211--237 (2012; Zbl 1247.91205) Full Text: DOI
Dueker, Michael J.; Psaradakis, Zacharias; Sola, Martin; Spagnolo, Fabio Multivariate contemporaneous-threshold autoregressive models. (English) Zbl 1441.62672 J. Econom. 160, No. 2, 311-325 (2011). MSC: 62P20 62M10 91B84 62P05 PDFBibTeX XMLCite \textit{M. J. Dueker} et al., J. Econom. 160, No. 2, 311--325 (2011; Zbl 1441.62672) Full Text: DOI Link
Cossette, Hélène; Marceau, Etienne; Maume-Deschamps, Véronique Adjustment coefficient for risk processes in some dependent contexts. (English) Zbl 1368.62241 Methodol. Comput. Appl. Probab. 13, No. 4, 695-721 (2011). MSC: 62M09 60G10 62G20 62P05 91B30 PDFBibTeX XMLCite \textit{H. Cossette} et al., Methodol. Comput. Appl. Probab. 13, No. 4, 695--721 (2011; Zbl 1368.62241) Full Text: DOI arXiv
Bickel, Peter J.; Chen, Aiyou; Levina, Elizaveta The method of moments and degree distributions for network models. (English) Zbl 1232.91577 Ann. Stat. 39, No. 5, 2280-2301 (2011). MSC: 91D30 62E10 62G05 PDFBibTeX XMLCite \textit{P. J. Bickel} et al., Ann. Stat. 39, No. 5, 2280--2301 (2011; Zbl 1232.91577) Full Text: DOI arXiv
Krätschmer, Volker; Zähle, Henryk Sensitivity of risk measures with respect to the normal approximation of total claim distributions. (English) Zbl 1228.91040 Insur. Math. Econ. 49, No. 3, 335-344 (2011). MSC: 91B30 PDFBibTeX XMLCite \textit{V. Krätschmer} and \textit{H. Zähle}, Insur. Math. Econ. 49, No. 3, 335--344 (2011; Zbl 1228.91040) Full Text: DOI Link
Boussama, Farid; Fuchs, Florian; Stelzer, Robert Stationarity and geometric ergodicity of BEKK multivariate GARCH models. (English) Zbl 1250.62043 Stochastic Processes Appl. 121, No. 10, 2331-2360 (2011). Reviewer: Miroslav M. Ristic (Niš) MSC: 62M10 60J05 60B99 91G70 PDFBibTeX XMLCite \textit{F. Boussama} et al., Stochastic Processes Appl. 121, No. 10, 2331--2360 (2011; Zbl 1250.62043) Full Text: DOI arXiv
Kaluszka, Marek; Okolewski, Andrzej Stability of \(L\)-statistics from weakly dependent observations. (English) Zbl 1489.62151 Stat. Probab. Lett. 81, No. 5, 618-625 (2011). MSC: 62G30 60E15 62P05 91G05 PDFBibTeX XMLCite \textit{M. Kaluszka} and \textit{A. Okolewski}, Stat. Probab. Lett. 81, No. 5, 618--625 (2011; Zbl 1489.62151) Full Text: DOI HAL
Cossette, Hélène; Marceau, Etienne; Maume-Deschamps, Véronique Discrete-time risk models on time series for count random variables. (English) Zbl 1230.91071 Astin Bull. 40, No. 1, 123-150 (2010). MSC: 91B30 60K10 62M10 PDFBibTeX XMLCite \textit{H. Cossette} et al., ASTIN Bull. 40, No. 1, 123--150 (2010; Zbl 1230.91071) Full Text: DOI
Dalkir, Mehmet Spurious correlation under fractional integration in output series. (English) Zbl 1203.91231 Econ. Lett. 107, No. 2, 165-168 (2010). MSC: 91B84 91B82 62M10 PDFBibTeX XMLCite \textit{M. Dalkir}, Econ. Lett. 107, No. 2, 165--168 (2010; Zbl 1203.91231) Full Text: DOI
Audrino, Francesco; Bühlmann, Peter Splines for financial volatility. (English) Zbl 1250.91103 J. R. Stat. Soc., Ser. B, Stat. Methodol. 71, No. 3, 655-670 (2009). MSC: 91G70 62M10 65D07 PDFBibTeX XMLCite \textit{F. Audrino} and \textit{P. Bühlmann}, J. R. Stat. Soc., Ser. B, Stat. Methodol. 71, No. 3, 655--670 (2009; Zbl 1250.91103) Full Text: DOI Link
Aue, Alexander; Hörmann, Siegfried; Horváth, Lajos; Reimherr, Matthew Break detection in the covariance structure of multivariate time series models. (English) Zbl 1191.62143 Ann. Stat. 37, No. 6B, 4046-4087 (2009). MSC: 62M10 60F17 62P05 62G10 91G70 65C60 62G20 PDFBibTeX XMLCite \textit{A. Aue} et al., Ann. Stat. 37, No. 6B, 4046--4087 (2009; Zbl 1191.62143) Full Text: DOI arXiv
Grecksch, W.; Roth, C.; Anh, V. V. \(Q\)-fractional Brownian motion in infinite dimensions with application to fractional Black-Scholes market. (English) Zbl 1158.60364 Stochastic Anal. Appl. 27, No. 1, 149-175 (2009). MSC: 60H40 60H15 91B28 60G15 PDFBibTeX XMLCite \textit{W. Grecksch} et al., Stochastic Anal. Appl. 27, No. 1, 149--175 (2009; Zbl 1158.60364) Full Text: DOI
Sun, Wei; Rachev, Svetlozar; Fabozzi, Frank J.; Kalev, Petko S. Fractals in trade duration: capturing long-range dependence and heavy tailedness in modeling trade duration. (English) Zbl 1233.91333 Ann. Finance 4, No. 2, 217-241 (2008). MSC: 91G70 PDFBibTeX XMLCite \textit{W. Sun} et al., Ann. Finance 4, No. 2, 217--241 (2008; Zbl 1233.91333) Full Text: DOI
Psaradakis, Zacharias Assessing time-reversibility under minimal assumptions. (English) Zbl 1199.60116 J. Time Ser. Anal. 29, No. 5, 881-905 (2008). Reviewer: Mikhail P. Moklyachuk (Kyïv) MSC: 60G10 62M10 62G09 91G80 91G70 PDFBibTeX XMLCite \textit{Z. Psaradakis}, J. Time Ser. Anal. 29, No. 5, 881--905 (2008; Zbl 1199.60116) Full Text: DOI
Nualart, David; Taqqu, Murad S. Wick-Itô formula for regular processes and applications to the Black and Scholes formula. (English) Zbl 1160.60012 Stochastics 80, No. 5, 477-487 (2008). Reviewer: Pavel Gapeev (London) MSC: 60G15 60G18 60H05 91B28 PDFBibTeX XMLCite \textit{D. Nualart} and \textit{M. S. Taqqu}, Stochastics 80, No. 5, 477--487 (2008; Zbl 1160.60012) Full Text: DOI
Doukhan, Paul; Wintenberger, Olivier Weakly dependent chains with infinite memory. (English) Zbl 1166.60031 Stochastic Processes Appl. 118, No. 11, 1997-2013 (2008). Reviewer: Alexander V. Bulinski (Moskva) MSC: 60G99 62M10 91B62 60K35 60F05 60F17 PDFBibTeX XMLCite \textit{P. Doukhan} and \textit{O. Wintenberger}, Stochastic Processes Appl. 118, No. 11, 1997--2013 (2008; Zbl 1166.60031) Full Text: DOI arXiv
Boutahar, Mohamed; Dufrénot, Gilles; Péguin-Feissolle, Anne A simple fractionally integrated model with a time-varying long memory parameter \(d_t\). (English) Zbl 1136.91564 Comput. Econ. 31, No. 3, 225-241 (2008). MSC: 91B84 PDFBibTeX XMLCite \textit{M. Boutahar} et al., Comput. Econ. 31, No. 3, 225--241 (2008; Zbl 1136.91564) Full Text: DOI
Lu, Zudi; Linton, Oliver Local linear fitting under near epoch dependence. (English) Zbl 1441.62238 Econom. Theory 23, No. 1, 37-70 (2007). MSC: 62M10 62G07 62E20 62P20 91B84 PDFBibTeX XMLCite \textit{Z. Lu} and \textit{O. Linton}, Econom. Theory 23, No. 1, 37--70 (2007; Zbl 1441.62238) Full Text: DOI
Corradi, Valentina; Swanson, Norman R. Evaluation of dynamic stochastic general equilibrium models based on distributional comparison of simulated and historical data. (English) Zbl 1418.62437 J. Econom. 136, No. 2, 699-723 (2007). MSC: 62P20 62G09 62G10 62M10 91B51 PDFBibTeX XMLCite \textit{V. Corradi} and \textit{N. R. Swanson}, J. Econom. 136, No. 2, 699--723 (2007; Zbl 1418.62437) Full Text: DOI Link
Frangos, N. E.; Vrontos, S. D.; Yannacopoulos, A. N. Reinsurance control in a model with liabilities of the fractional Brownian motion type. (English) Zbl 1150.91429 Appl. Stoch. Models Bus. Ind. 23, No. 5, 403-428 (2007). Reviewer: Aleksandr D. Borisenko (Kyïv) MSC: 91B30 PDFBibTeX XMLCite \textit{N. E. Frangos} et al., Appl. Stoch. Models Bus. Ind. 23, No. 5, 403--428 (2007; Zbl 1150.91429) Full Text: DOI
Hansen, Bruce E. Interval forecasts and parameter uncertainty. (English) Zbl 1418.62327 J. Econom. 135, No. 1-2, 377-398 (2006). MSC: 62M10 62P20 91B84 PDFBibTeX XMLCite \textit{B. E. Hansen}, J. Econom. 135, No. 1--2, 377--398 (2006; Zbl 1418.62327) Full Text: DOI
Levina, Elizaveta; Bickel, Peter J. Texture synthesis and nonparametric resampling of random fields. (English) Zbl 1246.62194 Ann. Stat. 34, No. 4, 1751-1773 (2006). MSC: 62M40 62G09 65C60 91E30 PDFBibTeX XMLCite \textit{E. Levina} and \textit{P. J. Bickel}, Ann. Stat. 34, No. 4, 1751--1773 (2006; Zbl 1246.62194) Full Text: DOI arXiv Euclid
Banerjee, Anindya (ed.); Urga, Giovanni (ed.) Modelling structural breaks, long memory and stock market volatility: an overview. (English) Zbl 1335.00139 J. Econom. 129, No. 1-2, 1-34 (2005). MSC: 00B25 62-06 62P05 91B84 91G70 PDFBibTeX XMLCite \textit{A. Banerjee} (ed.) and \textit{G. Urga} (ed.), J. Econom. 129, No. 1--2, 1--34 (2005; Zbl 1335.00139) Full Text: DOI
Konstantinides, Dimitrios G.; Mikosch, Thomas Large deviations and ruin probabilities for solutions to stochastic recurrence equations with heavy-tailed innovations. (English) Zbl 1085.60017 Ann. Probab. 33, No. 5, 1992-2035 (2005). Reviewer: Zdzisław Rychlik (Lublin) MSC: 60F10 91B30 60G70 60G35 PDFBibTeX XMLCite \textit{D. G. Konstantinides} and \textit{T. Mikosch}, Ann. Probab. 33, No. 5, 1992--2035 (2005; Zbl 1085.60017) Full Text: DOI
Lanne, Markku; Saikkonen, Pentti Non-linear GARCH models for highly persistent volatility. (English) Zbl 1095.91046 Econom. J. 8, No. 2, 251-276 (2005). MSC: 91B84 91B82 PDFBibTeX XMLCite \textit{M. Lanne} and \textit{P. Saikkonen}, Econom. J. 8, No. 2, 251--276 (2005; Zbl 1095.91046) Full Text: DOI
Bianchi, Sergio Pathwise identification of the memory function of multifractional Brownian motion with application to finance. (English) Zbl 1100.91037 Int. J. Theor. Appl. Finance 8, No. 2, 255-281 (2005). MSC: 91G80 60G22 60J65 91B84 PDFBibTeX XMLCite \textit{S. Bianchi}, Int. J. Theor. Appl. Finance 8, No. 2, 255--281 (2005; Zbl 1100.91037) Full Text: DOI
Lee, Oesook; Shin, Dong Wan Strict stationarity and mixing properties of asymmetric power GARCH models allowing a signed volatility. (English) Zbl 1254.91674 Econ. Lett. 84, No. 2, 167-173 (2004). MSC: 91B84 62M10 91B82 60G10 PDFBibTeX XMLCite \textit{O. Lee} and \textit{D. W. Shin}, Econ. Lett. 84, No. 2, 167--173 (2004; Zbl 1254.91674) Full Text: DOI
Scaillet, O. Nonparametric estimation and sensitivity analysis of expected shortfall. (English) Zbl 1097.91049 Math. Finance 14, No. 1, 115-129 (2004). MSC: 91G70 91B82 62G05 62M10 62P05 91B84 PDFBibTeX XMLCite \textit{O. Scaillet}, Math. Finance 14, No. 1, 115--129 (2004; Zbl 1097.91049) Full Text: DOI Link
Sørensen, Helle Simulated likelihood approximation for stochastic volatility models. (English) Zbl 1053.62090 Scand. J. Stat. 30, No. 2, 257-276 (2003). Reviewer: N. M. Zinchenko (Kyïv) MSC: 62M05 62P05 60H10 91B28 PDFBibTeX XMLCite \textit{H. Sørensen}, Scand. J. Stat. 30, No. 2, 257--276 (2003; Zbl 1053.62090) Full Text: DOI
Basrak, Bojan; Davis, Richard A.; Mikosch, Thomas Regular variation of GARCH processes. (English) Zbl 1060.60033 Stochastic Processes Appl. 99, No. 1, 95-115 (2002). Reviewer: Jiří Anděl (Praha) MSC: 60G10 62M10 60G55 91B28 62G20 62P05 PDFBibTeX XMLCite \textit{B. Basrak} et al., Stochastic Processes Appl. 99, No. 1, 95--115 (2002; Zbl 1060.60033) Full Text: DOI
Hili, Ouagnina Hellinger distance estimation of SSAR models. (English) Zbl 0982.62076 Stat. Probab. Lett. 53, No. 3, 305-314 (2001). MSC: 62M10 62F12 91B84 62F35 PDFBibTeX XMLCite \textit{O. Hili}, Stat. Probab. Lett. 53, No. 3, 305--314 (2001; Zbl 0982.62076) Full Text: DOI
Chen, Xiaoheng; Conley, Timothy G. A new semiparametric spatial model for panel time series. (English) Zbl 0980.62104 J. Econom. 105, No. 1, 59-83 (2001). MSC: 62P20 91B84 62G05 PDFBibTeX XMLCite \textit{X. Chen} and \textit{T. G. Conley}, J. Econom. 105, No. 1, 59--83 (2001; Zbl 0980.62104) Full Text: DOI
Abberger, Klaus Quantile smoothing in financial time series. (English) Zbl 1003.62544 Stat. Pap. 38, No. 2, 125-148 (1997). MSC: 62P05 62M10 62G07 91B84 PDFBibTeX XMLCite \textit{K. Abberger}, Stat. Pap. 38, No. 2, 125--148 (1997; Zbl 1003.62544) Full Text: DOI