Cao, Wenzhi; Zhang, Zhengjun New extreme value theory for maxima of maxima. (English) Zbl 07660274 Stat. Theory Relat. Fields 5, No. 3, 232-252 (2021). MSC: 62-XX PDFBibTeX XMLCite \textit{W. Cao} and \textit{Z. Zhang}, Stat. Theory Relat. Fields 5, No. 3, 232--252 (2021; Zbl 07660274) Full Text: DOI
Zhang, Zhengjun Rejoinder of “On studying extreme values and systematic risks with nonlinear time series models and tail dependence measures”. (English) Zbl 1527.62069 Stat. Theory Relat. Fields 5, No. 1, 45-48 (2021). MSC: 62M10 60G70 PDFBibTeX XMLCite \textit{Z. Zhang}, Stat. Theory Relat. Fields 5, No. 1, 45--48 (2021; Zbl 1527.62069) Full Text: DOI
Zhang, Zhengjun On studying extreme values and systematic risks with nonlinear time series models and tail dependence measures. (English) Zbl 1527.62068 Stat. Theory Relat. Fields 5, No. 1, 1-25 (2021). MSC: 62M10 60G70 PDFBibTeX XMLCite \textit{Z. Zhang}, Stat. Theory Relat. Fields 5, No. 1, 1--25 (2021; Zbl 1527.62068) Full Text: DOI
Cui, Qiurong; Xu, Yuqing; Zhang, Zhengjun; Chan, Vincent Max-linear regression models with regularization. (English) Zbl 1471.62460 J. Econom. 222, No. 1, Part B, 579-600 (2021). MSC: 62M10 60G70 62G08 62G20 62P20 PDFBibTeX XMLCite \textit{Q. Cui} et al., J. Econom. 222, No. 1, Part B, 579--600 (2021; Zbl 1471.62460) Full Text: DOI
Zhao, Zifeng; Zhang, Zhengjun; Chen, Rong Modeling maxima with autoregressive conditional Fréchet model. (English) Zbl 1452.62339 J. Econom. 207, No. 2, 325-351 (2018). MSC: 62G32 62M10 62P05 62P20 PDFBibTeX XMLCite \textit{Z. Zhao} et al., J. Econom. 207, No. 2, 325--351 (2018; Zbl 1452.62339) Full Text: DOI
Mao, Guangyu; Zhang, Zhengjun Stochastic tail index model for high frequency financial data with Bayesian analysis. (English) Zbl 1452.62781 J. Econom. 205, No. 2, 470-487 (2018). MSC: 62P05 62F15 62G32 62M10 PDFBibTeX XMLCite \textit{G. Mao} and \textit{Z. Zhang}, J. Econom. 205, No. 2, 470--487 (2018; Zbl 1452.62781) Full Text: DOI
Idowu, Timothy; Zhang, Zhengjun An extended sparse max-linear moving model with application to high-frequency financial data. (English) Zbl 07660532 Stat. Theory Relat. Fields 1, No. 1, 92-111 (2017). MSC: 62-XX PDFBibTeX XMLCite \textit{T. Idowu} and \textit{Z. Zhang}, Stat. Theory Relat. Fields 1, No. 1, 92--111 (2017; Zbl 07660532) Full Text: DOI
Zhang, Zhengjun; Zhu, Bin Copula structured M4 processes with application to high-frequency financial data. (English) Zbl 1443.62295 J. Econom. 194, No. 2, 231-241 (2016). MSC: 62M10 62G32 60G70 62H05 62P05 PDFBibTeX XMLCite \textit{Z. Zhang} and \textit{B. Zhu}, J. Econom. 194, No. 2, 231--241 (2016; Zbl 1443.62295) Full Text: DOI
Tang, Rui; Shao, Jun; Zhang, Zhengjun Sparse moving maxima models for tail dependence in multivariate financial time series. (English) Zbl 1259.62083 J. Stat. Plann. Inference 143, No. 5, 882-895 (2013). MSC: 62M10 62G32 62P05 91G70 62H12 65C60 PDFBibTeX XMLCite \textit{R. Tang} et al., J. Stat. Plann. Inference 143, No. 5, 882--895 (2013; Zbl 1259.62083) Full Text: DOI
Kunihama, Tsuyoshi; Omori, Yasuhiro; Zhang, Zhengjun Efficient estimation and particle filter for max-stable processes. (English) Zbl 1300.62094 J. Time Ser. Anal. 33, No. 1, 61-80 (2012). MSC: 62M20 60G70 60G52 62F15 60J22 62P05 91G70 91B84 PDFBibTeX XMLCite \textit{T. Kunihama} et al., J. Time Ser. Anal. 33, No. 1, 61--80 (2012; Zbl 1300.62094) Full Text: DOI Link
Zhang, Zhengjun; Qi, Yongcheng; Ma, Xiwen Asymptotic independence of correlation coefficients with application to testing hypothesis of independence. (English) Zbl 1274.62401 Electron. J. Stat. 5, 342-372 (2011). MSC: 62H20 62G10 62G30 PDFBibTeX XMLCite \textit{Z. Zhang} et al., Electron. J. Stat. 5, 342--372 (2011; Zbl 1274.62401) Full Text: DOI Euclid
Yang, Xipei; Frees, Edward W.; Zhang, Zhengjun A generalized beta copula with applications in modeling multivariate long-tailed data. (English) Zbl 1218.62049 Insur. Math. Econ. 49, No. 2, 265-284 (2011). MSC: 62H05 62H20 PDFBibTeX XMLCite \textit{X. Yang} et al., Insur. Math. Econ. 49, No. 2, 265--284 (2011; Zbl 1218.62049) Full Text: DOI
Zhang, Zhengjun; Smith, Richard L. On the estimation and application of max-stable processes. (English) Zbl 1181.62150 J. Stat. Plann. Inference 140, No. 5, 1135-1153 (2010). MSC: 62M10 62G05 62G32 62M09 PDFBibTeX XMLCite \textit{Z. Zhang} and \textit{R. L. Smith}, J. Stat. Plann. Inference 140, No. 5, 1135--1153 (2010; Zbl 1181.62150) Full Text: DOI
Zhang, Zhengjun The estimation of M4 processes with geometric moving patterns. (English) Zbl 1184.62147 Ann. Inst. Stat. Math. 60, No. 1, 121-150 (2008). MSC: 62M09 62M10 62M30 62G30 62G32 PDFBibTeX XMLCite \textit{Z. Zhang}, Ann. Inst. Stat. Math. 60, No. 1, 121--150 (2008; Zbl 1184.62147) Full Text: DOI
Zhang, Zhengjun Quotient correlation: a sample based alternative to Pearson’s correlation. (English) Zbl 1133.62041 Ann. Stat. 36, No. 2, 1007-1030 (2008). MSC: 62H20 62E20 62G10 62G20 62G32 60F15 PDFBibTeX XMLCite \textit{Z. Zhang}, Ann. Stat. 36, No. 2, 1007--1030 (2008; Zbl 1133.62041) Full Text: DOI arXiv
Heffernan, Janet E.; Tawn, Jonathan A.; Zhang, Zhengjun Asymptotically (in)dependent multivariate maxima of moving maxima process. (English) Zbl 1150.60030 Extremes 10, No. 1-2, 57-82 (2007). Reviewer: R. E. Maiboroda (Kyïv) MSC: 60G70 62H05 PDFBibTeX XMLCite \textit{J. E. Heffernan} et al., Extremes 10, No. 1--2, 57--82 (2007; Zbl 1150.60030) Full Text: DOI