-
2
-
-
0346125288
-
Dependence structures for multivariate high-frequency data in finance
-
Breymann,W., A. Dias, & P. Embrechts (2003) Dependence structures for multivariate high-frequency data in finance. Quantitative Finance 3, 1-14.
-
(2003)
Quantitative Finance
, vol.3
, pp. 1-14
-
-
Breymann, W.1
Dias, A.2
Embrechts, P.3
-
4
-
-
0011913882
-
Some properties and generalizations of multivariate Eyraud-Gumbel- Morgenstern distributions
-
Cambanis, S. (1977) Some properties and generalizations of multivariate Eyraud-Gumbel-Morgenstern distributions. Journal of Multivariate Analysis 7, 551-559.
-
(1977)
Journal of Multivariate Analysis
, vol.7
, pp. 551-559
-
-
Cambanis, S.1
-
5
-
-
0000041820
-
On Eyraud-Farlie-Gumbel-Morgenstern random processes
-
G. Dalláglio, S. Kotz, & G. Salinetti (eds.) Mathematics and Its Applications 67. Kluwer
-
Cambanis, S. (1991) On Eyraud-Farlie-Gumbel-Morgenstern random processes. In G. Dalláglio, S. Kotz, & G. Salinetti (eds.), Advances in probability Distributions with Given Marginals, pp. 207-222. Mathematics and Its Applications 67. Kluwer.
-
(1991)
Advances in probability Distributions with Given Marginals
, pp. 207-222
-
-
Cambanis, S.1
-
6
-
-
3242707048
-
Evaluating density forecasts via the copula approach
-
Chen, X. & Y. Fan (2004) Evaluating density forecasts via the copula approach. Finance Research Letters 1, 74-84.
-
(2004)
Finance Research Letters
, vol.1
, pp. 74-84
-
-
Chen, X.1
Fan, Y.2
-
7
-
-
31344466558
-
Estimation of copula-based semiparametric time series models
-
DOI 10.1016/j.jeconom.2005.03.004, PII S0304407605000783
-
Chen, X. & Y. Fan (2006) Estimation of copula-based semiparametric time series models. Journal of Econometrics 130, 307-335. (Pubitemid 43144866)
-
(2006)
Journal of Econometrics
, vol.130
, Issue.2
, pp. 307-335
-
-
Chen, X.1
Fan, Y.2
-
9
-
-
85008848771
-
Empirical properties of asset returns: Stylized facts and statistical issues
-
Cont, R. (2001) Empirical properties of asset returns: Stylized facts and statistical issues. Quantitative Finance 1, 223-236.
-
(2001)
Quantitative Finance
, vol.1
, pp. 223-236
-
-
Cont, R.1
-
11
-
-
69849095201
-
Characterizations of joint distributions, copulas, information, dependence and decoupling, with applications to time series
-
J. Rojo (ed.) IMS Lecture Notes-Monograph Series 49. Available at
-
de la Peña, V.H., R. Ibragimov, & S. Sharakhmetov (2006) Characterizations of joint distributions, copulas, information, dependence and decoupling, with applications to time series. In J. Rojo (ed.), 2nd Erich L. Lehmann Symposium-Optimality, pp. 183-209. IMS Lecture Notes-Monograph Series 49. Available at http://dx.doi.org/10.1214/074921706000000455.
-
(2006)
2nd Erich L. Lehmann Symposium-Optimality
, pp. 183-209
-
-
De La Peña, V.H.1
Ibragimov, R.2
Sharakhmetov, S.3
-
14
-
-
0002101229
-
Correlation and dependence in risk management: Properties and pitfalls
-
M.A.H. Dempster (ed.) Cambridge University Press
-
Embrechts, P., A. McNeil, & D. Straumann (2002) Correlation and dependence in risk management: Properties and pitfalls. In M.A.H. Dempster (ed.), Risk Management: Value at Risk and Beyond, pp. 176-223. Cambridge University Press.
-
(2002)
Risk Management: Value at Risk and Beyond
, pp. 176-223
-
-
Embrechts, P.1
McNeil, A.2
Straumann, D.3
-
15
-
-
0038512532
-
Non-Markovian processes with the semi-group property
-
Feller, W. (1959) Non-Markovian processes with the semi-group property. Annals of Mathematical Statistics 30, 1252-1253.
-
(1959)
Annals of Mathematical Statistics
, vol.30
, pp. 1252-1253
-
-
Feller, W.1
-
16
-
-
20444459804
-
Weak convergence of empirical copula process
-
Fermanian, J.-D., D. Radulović, & M. Wegkamp (2004) Weak convergence of empirical copula process. Bernoulli 10, 847-860.
-
(2004)
Bernoulli
, vol.10
, pp. 847-860
-
-
Fermanian, J.-D.1
Radulović, D.2
Wegkamp, M.3
-
17
-
-
0001397847
-
On the characterization of a joint probability distribution by conditional distributions
-
Gouriéroux, C. & A. Monfort (1979) On the characterization of a joint probability distribution by conditional distributions. Journal of Econometrics 10, 115-118.
-
(1979)
Journal of Econometrics
, vol.10
, pp. 115-118
-
-
Gouriéroux, C.1
Monfort, A.2
-
19
-
-
33745096550
-
Dependence patterns across financial markets: A mixed copula approach
-
Hu, L. (2006) Dependence patterns across financial markets: A mixed copula approach. Applied Financial Economics 16, 717-729.
-
(2006)
Applied Financial Economics
, vol.16
, pp. 717-729
-
-
Hu, L.1
-
22
-
-
78649726741
-
Heavy-tailed densities
-
S.N. Durlauf & L.E. Blume (eds.) Palgrave Macmillan. Available at
-
Ibragimov, R. (2009) Heavy-tailed densities. In S.N. Durlauf & L.E. Blume (eds.), The New Palgrave Dictionary Online. Palgrave Macmillan. Available at http://www.dictionaryofeconomics.com/article?id=pde2008H000191.
-
(2009)
The New Palgrave Dictionary Online
-
-
Ibragimov, R.1
-
23
-
-
0042503788
-
Majorization, randomness and dependence for multivariate distributions
-
Joe, H. (1987) Majorization, randomness and dependence for multivariate distributions. Annals of Probability 15, 1217-1225.
-
(1987)
Annals of Probability
, vol.15
, pp. 1217-1225
-
-
Joe, H.1
-
24
-
-
68349153730
-
Relative entropy measures of multivariate dependence
-
Joe, H. (1989) Relative entropy measures of multivariate dependence. Journal of the American Statistical Association 84, 157-164.
-
(1989)
Journal of the American Statistical Association
, vol.84
, pp. 157-164
-
-
Joe, H.1
-
26
-
-
84963388651
-
On some generalized farlie-gumbel-morgenstern distributions
-
Johnson, N.L. & S. Kotz (1975) On some generalized Farlie-Gumbel-Morgenstern distributions. Communications in Statistics 4, 415-424.
-
(1975)
Communications in Statistics
, vol.4
, pp. 415-424
-
-
Johnson, N.L.1
Kotz, S.2
-
27
-
-
24544472485
-
Exemples de processus pseudo-markoviens
-
Lévy, P. (1949) Exemples de processus pseudo-markoviens. Comptes Rendus de l'Académie des Sciences 228, 2004-2006.
-
(1949)
Comptes Rendus de l'Académie des Sciences
, vol.228
, pp. 2004-2006
-
-
Lévy, P.1
-
28
-
-
0000119560
-
Testing the covariance stationarity of heavy-tailed time series
-
Loretan, M. & P.C.B. Phillips (1994). Testing the covariance stationarity of heavy-tailed time series. Journal of Empirical Finance 3, 211-248.
-
(1994)
Journal of Empirical Finance
, vol.3
, pp. 211-248
-
-
Loretan, M.1
Phillips, P.C.B.2
-
33
-
-
33748681141
-
Nonparametric measures of multivariate association
-
L. R̈uschendorf, B. Schweizer, & M.D. Taylor (eds.) IMS Lecture Notes-Monograph Series 28
-
Nelsen, R.B. (1996) Nonparametric measures of multivariate association. In L. R̈uschendorf, B. Schweizer, & M.D. Taylor (eds.), Distributions with Fixed Marginals and Related Topics (Seattle, WA, 1993), pp. 223-232. IMS Lecture Notes-Monograph Series 28.
-
(1996)
Distributions with Fixed Marginals and Related Topics (Seattle, WA, 1993)
, pp. 223-232
-
-
Nelsen, R.B.1
-
34
-
-
0003323490
-
An introduction to copulas
-
Springer-Verlag
-
Nelsen, R.B. (1999) An Introduction to Copulas. Lecture Notes in Statistics 139. Springer-Verlag.
-
(1999)
Lecture Notes in Statistics
, vol.139
-
-
Nelsen, R.B.1
-
35
-
-
11944258719
-
On the out-of-sample importance of skewness and asymmetric dependence for asset allocation
-
Patton, A. (2004) On the out-of-sample importance of skewness and asymmetric dependence for asset allocation. Journal of Financial Econometrics 2, 130-168.
-
(2004)
Journal of Financial Econometrics
, vol.2
, pp. 130-168
-
-
Patton, A.1
-
36
-
-
33645716201
-
Modelling asymmetric exchange rate dependence
-
Patton, A. (2006) Modelling asymmetric exchange rate dependence. International Economic Review 47, 527-556.
-
(2006)
International Economic Review
, vol.47
, pp. 527-556
-
-
Patton, A.1
-
37
-
-
0000301907
-
Remarks on a multivariate transformation
-
Rosenblatt, M. (1952) Remarks on a multivariate transformation. Annals of Mathematical Statistics 23, 470-472.
-
(1952)
Annals of Mathematical Statistics
, vol.23
, pp. 470-472
-
-
Rosenblatt, M.1
-
38
-
-
69849110234
-
An aggregation problem for Markov chains
-
R.E. Machol (ed.) McGraw-Hill
-
Rosenblatt, M. (1960) An aggregation problem for Markov chains. In R.E. Machol (ed.), Information and Decision Processes, pp. 87-92. McGraw-Hill.
-
(1960)
Information and Decision Processes
, pp. 87-92
-
-
Rosenblatt, M.1
-
41
-
-
2542540640
-
The Bernstein copula and its applications to modeling and approximations of multivariate distributions
-
Sancetta, A. & S. Satchell (2004). The Bernstein copula and its applications to modeling and approximations of multivariate distributions. Econometric Theory 20, 535-562.
-
(2004)
Econometric Theory
, vol.20
, pp. 535-562
-
-
Sancetta, A.1
Satchell, S.2
-
42
-
-
0036857533
-
A characterization of joint distribution of two-valued random variables and its applications
-
Sharakhmetov, S.&R. Ibragimov (2002) A characterization of joint distribution of two-valued random variables and its applications. Journal of Multivariate Analysis 83, 389-408.
-
(2002)
Journal of Multivariate Analysis
, vol.83
, pp. 389-408
-
-
Sharakhmetov, S.1
Ibragimov, R.2
-
44
-
-
0007259725
-
On the symmetrized Kronecker power of a matrix and extensions of Mehler's formula for Hermite polynomials
-
Slepian, D. (1972) On the symmetrized Kronecker power of a matrix and extensions of Mehler's formula for Hermite polynomials. SIAM Journal on Mathematical Analysis 3, 606-616.
-
(1972)
SIAM Journal on Mathematical Analysis
, vol.3
, pp. 606-616
-
-
Slepian, D.1
|