Karlsson, Sune; Mazur, Stepan; Nguyen, Hoang Vector autoregression models with skewness and heavy tails. (English) Zbl 1521.62214 J. Econ. Dyn. Control 146, Article ID 104580, 20 p. (2023). MSC: 62P20 62M10 91B64 91B84 PDFBibTeX XMLCite \textit{S. Karlsson} et al., J. Econ. Dyn. Control 146, Article ID 104580, 20 p. (2023; Zbl 1521.62214) Full Text: DOI arXiv
Damek, Ewa; Matsui, Muneya Tails of bivariate stochastic recurrence equation with triangular matrices. (English) Zbl 1495.60044 Stochastic Processes Appl. 150, 147-191 (2022). MSC: 60G70 60G10 60H25 62M10 91B84 PDFBibTeX XMLCite \textit{E. Damek} and \textit{M. Matsui}, Stochastic Processes Appl. 150, 147--191 (2022; Zbl 1495.60044) Full Text: DOI arXiv
Matsui, Muneya; Świątkowski, Witold Tail indices for \(AX+B\) recursion with triangular matrices. (English) Zbl 1482.60053 J. Theor. Probab. 34, No. 4, 1831-1869 (2021). MSC: 60G10 60G70 62M10 60H25 PDFBibTeX XMLCite \textit{M. Matsui} and \textit{W. Świątkowski}, J. Theor. Probab. 34, No. 4, 1831--1869 (2021; Zbl 1482.60053) Full Text: DOI arXiv
Nitithumbundit, Thanakorn; Chan, Jennifer S. K. ECM algorithm for auto-regressive multivariate skewed variance gamma model with unbounded density. (English) Zbl 1457.62171 Methodol. Comput. Appl. Probab. 22, No. 3, 1169-1191 (2020). MSC: 62H12 62F10 62M10 62P05 91B84 PDFBibTeX XMLCite \textit{T. Nitithumbundit} and \textit{J. S. K. Chan}, Methodol. Comput. Appl. Probab. 22, No. 3, 1169--1191 (2020; Zbl 1457.62171) Full Text: DOI
Stindl, Tom; Chen, Feng Modeling extreme negative returns using marked renewal Hawkes processes. (English) Zbl 1434.62177 Extremes 22, No. 4, 705-728 (2019). MSC: 62M09 60G55 62P05 91B84 62M20 62M10 PDFBibTeX XMLCite \textit{T. Stindl} and \textit{F. Chen}, Extremes 22, No. 4, 705--728 (2019; Zbl 1434.62177) Full Text: DOI
Neumeyer, Natalie; Omelka, Marek; Hudecová, Šárka A copula approach for dependence modeling in multivariate nonparametric time series. (English) Zbl 1417.62254 J. Multivariate Anal. 171, 139-162 (2019). MSC: 62M10 62H12 62G05 62H05 62G20 PDFBibTeX XMLCite \textit{N. Neumeyer} et al., J. Multivariate Anal. 171, 139--162 (2019; Zbl 1417.62254) Full Text: DOI arXiv
Tian, Yuzhu; Tang, Manlai; Zang, Yanchao; Tian, Maozai Quantile regression for linear models with autoregressive errors using EM algorithm. (English) Zbl 1417.62097 Comput. Stat. 33, No. 4, 1605-1625 (2018). MSC: 62G08 62J05 62M10 PDFBibTeX XMLCite \textit{Y. Tian} et al., Comput. Stat. 33, No. 4, 1605--1625 (2018; Zbl 1417.62097) Full Text: DOI
Miyata, Yoichi Laplace approximations using \(n^\alpha\)-consistent estimators. (English) Zbl 1392.62273 J. Stat. Plann. Inference 194, 25-31 (2018). MSC: 62M10 62F15 62F12 62E20 PDFBibTeX XMLCite \textit{Y. Miyata}, J. Stat. Plann. Inference 194, 25--31 (2018; Zbl 1392.62273) Full Text: DOI
Nakajima, Jouchi Bayesian analysis of multivariate stochastic volatility with skew return distribution. (English) Zbl 1524.62514 Econom. Rev. 36, No. 5, 546-562 (2017). MSC: 62P05 62F15 62M10 62H05 62H12 91G70 PDFBibTeX XMLCite \textit{J. Nakajima}, Econom. Rev. 36, No. 5, 546--562 (2017; Zbl 1524.62514) Full Text: DOI arXiv
Zhou, Chen Book review of: A. J. McNeil et al., Quantitative risk management. Concepts, techniques and tools. Revised ed. (English) Zbl 1378.00092 Extremes 20, No. 2, 489-491 (2017). MSC: 00A17 91-01 91G70 91B30 91B84 91G20 91G40 91G10 62-01 62P05 62P20 60G70 62M10 62H05 PDFBibTeX XMLCite \textit{C. Zhou}, Extremes 20, No. 2, 489--491 (2017; Zbl 1378.00092) Full Text: DOI
Pumi, Guilherme; Lopes, Sílvia R. C. Copulas related to piecewise monotone functions of the interval and associated processes. (English) Zbl 1364.62117 Commun. Stat., Theory Methods 46, No. 2, 828-860 (2017). MSC: 62H05 62M10 37M10 37C40 62F10 65C60 PDFBibTeX XMLCite \textit{G. Pumi} and \textit{S. R. C. Lopes}, Commun. Stat., Theory Methods 46, No. 2, 828--860 (2017; Zbl 1364.62117) Full Text: DOI
Matsui, Muneya; Mikosch, Thomas The extremogram and the cross-extremogram for a bivariate GARCH(1,1) process. (English) Zbl 1426.60059 Adv. Appl. Probab. 48, No. A, 217-233 (2016). MSC: 60G70 62M10 60G10 91B84 PDFBibTeX XMLCite \textit{M. Matsui} and \textit{T. Mikosch}, Adv. Appl. Probab. 48, No. A, 217--233 (2016; Zbl 1426.60059) Full Text: DOI arXiv
Bee, Marco; Dupuis, Debbie J.; Trapin, Luca US stock returns: are there seasons of excesses? (English) Zbl 1400.91693 Quant. Finance 16, No. 9, 1453-1464 (2016). MSC: 91G99 62P05 91B84 PDFBibTeX XMLCite \textit{M. Bee} et al., Quant. Finance 16, No. 9, 1453--1464 (2016; Zbl 1400.91693) Full Text: DOI
Mikosch, Thomas Book review of: A. J. McNeil et al., Quantitative risk management. Concepts, techniques and tools. Rev. ed. (English) Zbl 1347.00025 Eur. Actuar. J. 6, No. 1, 283-285 (2016). MSC: 00A17 91-01 91G70 91B30 91B84 91G20 91G40 91G10 62-01 62P05 62P20 60G70 62M10 62H05 PDFBibTeX XMLCite \textit{T. Mikosch}, Eur. Actuar. J. 6, No. 1, 283--285 (2016; Zbl 1347.00025) Full Text: DOI
Nešlehová, Johanna G. Book review of: A. J. McNeil et al., Quantitative risk management. Concepts, techniques and tools. (English) Zbl 1341.00037 J. Time Ser. Anal. 37, No. 3, 431-432 (2016). MSC: 00A17 91-01 91G70 91B30 91B84 91G20 91G40 91G10 62-01 62P05 62P20 60G70 62M10 62H05 PDFBibTeX XMLCite \textit{J. G. Nešlehová}, J. Time Ser. Anal. 37, No. 3, 431--432 (2016; Zbl 1341.00037) Full Text: DOI
Gruber, Lutz; Czado, Claudia Sequential Bayesian model selection of regular vine copulas. (English) Zbl 1335.62048 Bayesian Anal. 10, No. 4, 937-963 (2015). MSC: 62F15 62H05 62-07 62P05 91G10 PDFBibTeX XMLCite \textit{L. Gruber} and \textit{C. Czado}, Bayesian Anal. 10, No. 4, 937--963 (2015; Zbl 1335.62048) Full Text: DOI arXiv Euclid
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
McNeil, Alexander J.; Frey, Rüdiger; Embrechts, Paul Quantitative risk management. Concepts, techniques and tools. Revised edition. (English) Zbl 1337.91003 Princeton, NJ: Princeton University Press (ISBN 978-0-691-16627-8/hbk). xix, 699 p. (2015). MSC: 91-01 91G70 91B30 91B84 91G20 91G40 91G10 62-01 62P05 62P20 60G70 62M10 62H05 PDFBibTeX XMLCite \textit{A. J. McNeil} et al., Quantitative risk management. Concepts, techniques and tools. Revised edition. Princeton, NJ: Princeton University Press (2015; Zbl 1337.91003)
Durante, Fabrizio; Pappadà, Roberta; Torelli, Nicola Clustering of financial time series in risky scenarios. (English) Zbl 1414.62241 Adv. Data Anal. Classif., ADAC 8, No. 4, 359-376 (2014). MSC: 62H30 62H20 62M10 PDFBibTeX XMLCite \textit{F. Durante} et al., Adv. Data Anal. Classif., ADAC 8, No. 4, 359--376 (2014; Zbl 1414.62241) Full Text: DOI
Chen, Ray-Bing; Chen, Ying; Härdle, Wolfgang K. TVICA – time varying independent component analysis and its application to financial data. (English) Zbl 1506.62039 Comput. Stat. Data Anal. 74, 95-109 (2014). MSC: 62-08 62H25 62M10 62P05 PDFBibTeX XMLCite \textit{R.-B. Chen} et al., Comput. Stat. Data Anal. 74, 95--109 (2014; Zbl 1506.62039) Full Text: DOI
Münnix, M. C.; Schäfer, R.; Grothe, O. Estimating correlation and covariance matrices by weighting of market similarity. (English) Zbl 1308.91145 Quant. Finance 14, No. 5, 931-939 (2014). MSC: 91G10 62P05 62H12 62H20 91B84 PDFBibTeX XMLCite \textit{M. C. Münnix} et al., Quant. Finance 14, No. 5, 931--939 (2014; Zbl 1308.91145) Full Text: DOI arXiv
Bücher, Axel; Kojadinovic, Ivan; Rohmer, Tom; Segers, Johan Detecting changes in cross-sectional dependence in multivariate time series. (English) Zbl 1360.62451 J. Multivariate Anal. 132, 111-128 (2014). MSC: 62M10 62H15 62G10 60F05 PDFBibTeX XMLCite \textit{A. Bücher} et al., J. Multivariate Anal. 132, 111--128 (2014; Zbl 1360.62451) Full Text: DOI arXiv
Grothe, Oliver; Korniichuk, Volodymyr; Manner, Hans Modeling multivariate extreme events using self-exciting point processes. (English) Zbl 1311.62074 J. Econom. 182, No. 2, 269-289 (2014). MSC: 62G32 60G70 60G55 91G70 91B84 62P05 PDFBibTeX XMLCite \textit{O. Grothe} et al., J. Econom. 182, No. 2, 269--289 (2014; Zbl 1311.62074) Full Text: DOI Link
Chavez-Demoulin, V.; Embrechts, P.; Sardy, S. Extreme-quantile tracking for financial time series. (English) Zbl 1311.91160 J. Econom. 181, No. 1, 44-52 (2014). MSC: 91B84 91G70 62M10 62G32 PDFBibTeX XMLCite \textit{V. Chavez-Demoulin} et al., J. Econom. 181, No. 1, 44--52 (2014; Zbl 1311.91160) Full Text: DOI
Pfaff, Bernhard Financial risk modelling and portfolio optimization with R. (English) Zbl 1275.91006 Statistics in Practice. Hoboken, NJ: John Wiley & Sons (ISBN 978-0-470-97870-2/hbk; 978-1-118-47712-0/ebook). xvi, 356 p. (2013). Reviewer: Tamás Mátrai (Budapest) MSC: 91-02 91G10 62P05 62M10 91B70 91B84 91G60 91G70 PDFBibTeX XMLCite \textit{B. Pfaff}, Financial risk modelling and portfolio optimization with R. Hoboken, NJ: John Wiley \& Sons (2013; Zbl 1275.91006)
Penzer, Jeremy; Schmid, Friedrich; Schmidt, Rafael Measuring large comovements in financial markets. (English) Zbl 1279.91194 Quant. Finance 12, No. 7, 1037-1049 (2012). MSC: 91G70 91B84 62P05 62H05 91G20 PDFBibTeX XMLCite \textit{J. Penzer} et al., Quant. Finance 12, No. 7, 1037--1049 (2012; Zbl 1279.91194) Full Text: DOI
Patton, Andrew J. A review of copula models for economic time series. (English) Zbl 1244.62085 J. Multivariate Anal. 110, 4-18 (2012). MSC: 62H20 62M10 62P20 62P05 62H12 91B84 PDFBibTeX XMLCite \textit{A. J. Patton}, J. Multivariate Anal. 110, 4--18 (2012; Zbl 1244.62085) Full Text: DOI
Koopman, Siem Jan; Lucas, André; Schwaab, Bernd Modeling frailty-correlated defaults using many macroeconomic covariates. (English) Zbl 1441.62783 J. Econom. 162, No. 2, 312-325 (2011). MSC: 62P20 62M10 62M20 62H25 62P05 PDFBibTeX XMLCite \textit{S. J. Koopman} et al., J. Econom. 162, No. 2, 312--325 (2011; Zbl 1441.62783) Full Text: DOI
Liu, Shuangzhe; Heyde, Chris C.; Wong, Wing-Keung Moment matrices in conditional heteroskedastic models under elliptical distributions with applications in AR-ARCH models. (English) Zbl 1234.62121 Stat. Pap. 52, No. 3, 621-632 (2011). MSC: 62M10 62H10 62H99 65C60 PDFBibTeX XMLCite \textit{S. Liu} et al., Stat. Pap. 52, No. 3, 621--632 (2011; Zbl 1234.62121) Full Text: DOI
Hafner, Christian M.; Reznikova, Olga Efficient estimation of a semiparametric dynamic copula model. (English) Zbl 1284.91472 Comput. Stat. Data Anal. 54, No. 11, 2609-2627 (2010). MSC: 91B84 62H05 62G05 PDFBibTeX XMLCite \textit{C. M. Hafner} and \textit{O. Reznikova}, Comput. Stat. Data Anal. 54, No. 11, 2609--2627 (2010; Zbl 1284.91472) Full Text: DOI
Kolev, Nikolai; Paiva, Delhi Copula-based regression models: a survey. (English) Zbl 1169.62328 J. Stat. Plann. Inference 139, No. 11, 3847-3856 (2009). MSC: 62H05 62J05 62P05 62H20 PDFBibTeX XMLCite \textit{N. Kolev} and \textit{D. Paiva}, J. Stat. Plann. Inference 139, No. 11, 3847--3856 (2009; Zbl 1169.62328) Full Text: DOI