Carey, Michelle; Genest, Christian; Ramsay, James O. Sparse estimation within Pearson’s system, with an application to financial market risk. (English. French summary) Zbl 07759557 Can. J. Stat. 51, No. 3, 800-823 (2023). MSC: 62-XX PDFBibTeX XMLCite \textit{M. Carey} et al., Can. J. Stat. 51, No. 3, 800--823 (2023; Zbl 07759557) Full Text: DOI OA License
Hasan, Mirza Nazmul; Braekers, Roel Modelling the association in bivariate survival data by using a Bernstein copula. (English) Zbl 1505.62177 Comput. Stat. 37, No. 2, 781-815 (2022). MSC: 62-08 62G07 62H05 PDFBibTeX XMLCite \textit{M. N. Hasan} and \textit{R. Braekers}, Comput. Stat. 37, No. 2, 781--815 (2022; Zbl 1505.62177) Full Text: DOI
Bouzebda, Salim; Elhattab, Issam; Nemouchi, Boutheina On the uniform-in-bandwidth consistency of the general conditional \(U\)-statistics based on the copula representation. (English) Zbl 1472.62067 J. Nonparametric Stat. 33, No. 2, 321-358 (2021). MSC: 62G30 62G07 62H05 62E20 60F05 60F15 PDFBibTeX XMLCite \textit{S. Bouzebda} et al., J. Nonparametric Stat. 33, No. 2, 321--358 (2021; Zbl 1472.62067) Full Text: DOI
Birge, John R.; Chavez-Bedoya, L. Portfolio optimization under the generalized hyperbolic distribution: optimal allocation, performance and tail behavior. (English) Zbl 1466.91280 Quant. Finance 21, No. 2, 199-219 (2021). MSC: 91G10 93E20 62P05 PDFBibTeX XMLCite \textit{J. R. Birge} and \textit{L. Chavez-Bedoya}, Quant. Finance 21, No. 2, 199--219 (2021; Zbl 1466.91280) Full Text: DOI
Neumann, André; Dickhaus, Thorsten Nonparametric Archimedean generator estimation with implications for multiple testing. (English) Zbl 1457.62102 AStA, Adv. Stat. Anal. 104, No. 2, 309-323 (2020). MSC: 62G07 62G20 62H05 62J15 PDFBibTeX XMLCite \textit{A. Neumann} and \textit{T. Dickhaus}, AStA, Adv. Stat. Anal. 104, No. 2, 309--323 (2020; Zbl 1457.62102) Full Text: DOI arXiv
Borowska, Agnieszka; Hoogerheide, Lennart; Koopman, Siem Jan; van Dijk, Herman K. Partially censored posterior for robust and efficient risk evaluation. (English) Zbl 1456.62273 J. Econom. 217, No. 2, 335-355 (2020). MSC: 62P20 62F15 62M10 62P05 91G70 PDFBibTeX XMLCite \textit{A. Borowska} et al., J. Econom. 217, No. 2, 335--355 (2020; Zbl 1456.62273) Full Text: DOI Link
Leitao, Álvaro; Ortiz-Gracia, Luis Model-free computation of risk contributions in credit portfolios. (English) Zbl 1461.91355 Appl. Math. Comput. 382, Article ID 125351, 21 p. (2020). MSC: 91G60 65T60 91G40 PDFBibTeX XMLCite \textit{Á. Leitao} and \textit{L. Ortiz-Gracia}, Appl. Math. Comput. 382, Article ID 125351, 21 p. (2020; Zbl 1461.91355) Full Text: DOI
Laub, Patrick J.; Salomone, Robert; Botev, Zdravko I. Monte Carlo estimation of the density of the sum of dependent random variables. (English) Zbl 07316673 Math. Comput. Simul. 161, 23-31 (2019). MSC: 62Pxx 62-XX PDFBibTeX XMLCite \textit{P. J. Laub} et al., Math. Comput. Simul. 161, 23--31 (2019; Zbl 07316673) Full Text: DOI arXiv Link
Neumann, André; Bodnar, Taras; Pfeifer, Dietmar; Dickhaus, Thorsten Multivariate multiple test procedures based on nonparametric copula estimation. (English) Zbl 1412.62059 Biom. J. 61, No. 1, 40-61 (2019). MSC: 62H05 62J15 62G07 91B30 62P20 PDFBibTeX XMLCite \textit{A. Neumann} et al., Biom. J. 61, No. 1, 40--61 (2019; Zbl 1412.62059) Full Text: DOI
Bahraoui, Zuhair; Bahraoui, M. Amin Extreme quantiles and tail index of a distribution based on kernel estimator. (English) Zbl 1411.62123 J. Korean Stat. Soc. 48, No. 1, 134-145 (2019). MSC: 62G32 62G07 62G08 PDFBibTeX XMLCite \textit{Z. Bahraoui} and \textit{M. A. Bahraoui}, J. Korean Stat. Soc. 48, No. 1, 134--145 (2019; Zbl 1411.62123) Full Text: DOI
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
Bingham, N. H.; Ostaszewski, A. J. Category-measure duality: convexity, midpoint convexity and Berz sublinearity. (English) Zbl 1434.26002 Aequationes Math. 91, No. 5, 801-836 (2017). MSC: 26A03 39B62 26A21 03E25 PDFBibTeX XMLCite \textit{N. H. Bingham} and \textit{A. J. Ostaszewski}, Aequationes Math. 91, No. 5, 801--836 (2017; Zbl 1434.26002) Full Text: DOI arXiv
Paolella, Marc S.; Polak, Paweł COMFORT: a common market factor non-Gaussian returns model. (English) Zbl 1337.62331 J. Econom. 187, No. 2, 593-605 (2015). MSC: 62P05 62M10 62H30 91G70 PDFBibTeX XMLCite \textit{M. S. Paolella} and \textit{P. Polak}, J. Econom. 187, No. 2, 593--605 (2015; Zbl 1337.62331) Full Text: DOI Link
Bolancé, Catalina; Bahraoui, Zuhair; Artís, Manuel Quantifying the risk using copulae with nonparametric marginals. (English) Zbl 1304.62127 Insur. Math. Econ. 58, 46-56 (2014). MSC: 62P05 62H05 62G07 91B30 PDFBibTeX XMLCite \textit{C. Bolancé} et al., Insur. Math. Econ. 58, 46--56 (2014; Zbl 1304.62127) Full Text: DOI
El Methni, Jonathan; Gardes, Laurent; Girard, Stéphane Non-parametric estimation of extreme risk measures from conditional heavy-tailed distributions. (English) Zbl 1305.62199 Scand. J. Stat. 41, No. 4, 988-1012 (2014). MSC: 62G32 62P12 62G05 62G07 62G20 PDFBibTeX XMLCite \textit{J. El Methni} et al., Scand. J. Stat. 41, No. 4, 988--1012 (2014; Zbl 1305.62199) Full Text: DOI HAL
Nolde, Natalia Geometric interpretation of the residual dependence coefficient. (English) Zbl 1360.60100 J. Multivariate Anal. 123, 85-95 (2014). MSC: 60G70 62G20 62G32 PDFBibTeX XMLCite \textit{N. Nolde}, J. Multivariate Anal. 123, 85--95 (2014; Zbl 1360.60100) Full Text: DOI
Tjøstheim, Dag; Hufthammer, Karl Ove Local Gaussian correlation: a new measure of dependence. (English) Zbl 1443.62288 J. Econom. 172, No. 1, 33-48 (2013). MSC: 62M10 62H20 62G07 62P05 PDFBibTeX XMLCite \textit{D. Tjøstheim} and \textit{K. O. Hufthammer}, J. Econom. 172, No. 1, 33--48 (2013; Zbl 1443.62288) Full Text: DOI Link
Lee, Sharon X.; McLachlan, Geoffrey J. Model-based clustering and classification with non-normal mixture distributions. (English) Zbl 1332.62209 Stat. Methods Appl. 22, No. 4, 427-454 (2013). MSC: 62H30 62E10 62G07 62-07 62P05 62H35 PDFBibTeX XMLCite \textit{S. X. Lee} and \textit{G. J. McLachlan}, Stat. Methods Appl. 22, No. 4, 427--454 (2013; Zbl 1332.62209) Full Text: DOI
Lauterbach, Dominic; Pfeifer, Dietmar Singular mixture copulas. (English) Zbl 1273.62114 Jaworski, Piotr (ed.) et al., Copulae in mathematical and quantitative finance. Proceedings of the workshop, Cracow, Poland, July 10–11, 2012. Berlin: Springer (ISBN 978-3-642-35406-9/pbk; 978-3-642-35407-6/ebook). Lecture Notes in Statistics 213, 165-175 (2013). MSC: 62H05 65C60 PDFBibTeX XMLCite \textit{D. Lauterbach} and \textit{D. Pfeifer}, Lect. Notes Stat. 213, 165--175 (2013; Zbl 1273.62114) Full Text: DOI
Diks, Cees; Panchenko, Valentyn; van Dijk, Dick Likelihood-based scoring rules for comparing density forecasts in tails. (English) Zbl 1441.62669 J. Econom. 163, No. 2, 215-230 (2011). MSC: 62P20 PDFBibTeX XMLCite \textit{C. Diks} et al., J. Econom. 163, No. 2, 215--230 (2011; Zbl 1441.62669) Full Text: DOI HAL
Fan, Yanqin; Park, Sang Soo Sharp bounds on the distribution of treatment effects and their statistical inference. (English) Zbl 1191.62061 Econom. Theory 26, No. 3, 931-951 (2010). MSC: 62G07 62G20 62G09 62E20 PDFBibTeX XMLCite \textit{Y. Fan} and \textit{S. S. Park}, Econom. Theory 26, No. 3, 931--951 (2010; Zbl 1191.62061) Full Text: DOI
Balkema, Guus; Nolde, Natalia Asymptotic independence for unimodal densities. (English) Zbl 1239.60007 Adv. Appl. Probab. 42, No. 2, 411-432 (2010). MSC: 60E05 60G55 60G70 62E20 PDFBibTeX XMLCite \textit{G. Balkema} and \textit{N. Nolde}, Adv. Appl. Probab. 42, No. 2, 411--432 (2010; Zbl 1239.60007) Full Text: DOI arXiv
Kallenberg, Wilbert C. M. Estimating copula densities, using model selection techniques. (English) Zbl 1231.62055 Insur. Math. Econ. 45, No. 2, 209-223 (2009). MSC: 62G07 62H12 62H20 PDFBibTeX XMLCite \textit{W. C. M. Kallenberg}, Insur. Math. Econ. 45, No. 2, 209--223 (2009; Zbl 1231.62055) Full Text: DOI
Landsman, Zinoviy; Nešlehová, Johanna Stein’s lemma for elliptical random vectors. (English) Zbl 1286.62018 J. Multivariate Anal. 99, No. 5, 912-927 (2008). MSC: 62E10 62H05 91G50 PDFBibTeX XMLCite \textit{Z. Landsman} and \textit{J. Nešlehová}, J. Multivariate Anal. 99, No. 5, 912--927 (2008; Zbl 1286.62018) Full Text: DOI
Scaillet, Olivier Kernel-based goodness-of-fit tests for copulas with fixed smoothing parameters. (English) Zbl 1107.62037 J. Multivariate Anal. 98, No. 3, 533-543 (2007). MSC: 62G10 62G20 65C05 62P05 PDFBibTeX XMLCite \textit{O. Scaillet}, J. Multivariate Anal. 98, No. 3, 533--543 (2007; Zbl 1107.62037) Full Text: DOI