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Dependence in Probability and Statistics
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Cited by:
- Gürtler, Marc & Rauh, Ronald, 2009. "Shortcomings of a parametric VaR approach and nonparametric improvements based on a non-stationary return series model," Working Papers IF32V2, Technische Universität Braunschweig, Institute of Finance.
- Paul Doukhan & Jean-David Fermanian & Gabriel Lang, 2009. "An empirical central limit theorem with applications to copulas under weak dependence," Statistical Inference for Stochastic Processes, Springer, vol. 12(1), pages 65-87, February.
- Cooley, Daniel & Davis, Richard A. & Naveau, Philippe, 2010. "The pairwise beta distribution: A flexible parametric multivariate model for extremes," Journal of Multivariate Analysis, Elsevier, vol. 101(9), pages 2103-2117, October.
- Greenwood, Priscilla E. & Schick, Anton & Wefelmeyer, Wolfgang, 2011. "Estimating the inter-arrival time density of Markov renewal processes under structural assumptions on the transition distribution," Statistics & Probability Letters, Elsevier, vol. 81(2), pages 277-282, February.
- Guglielmo Maria Caporale & Luis A Gil-Alana & Olaoluwa Simon Yaya, 2022.
"Modeling persistence and non-linearities in the US treasury 10-year bond yields,"
Economics Bulletin, AccessEcon, vol. 42(3), pages 1221-1229.
- Guglielmo Maria Caporale & Luis A. Gil-Alana & OlaOluwa Simon Yaya, 2022. "Modelling Persistence and Non-Linearities in the US Treasury 10-Year Bond Yields," CESifo Working Paper Series 9554, CESifo.
- Hsieh, Meng-Chen & Hurvich, Clifford M. & Soulier, Philippe, 2007.
"Asymptotics for duration-driven long range dependent processes,"
Journal of Econometrics, Elsevier, vol. 141(2), pages 913-949, December.
- Mengchen Hsieh & Clifford Hurvich & Philippe Soulier, 2004. "Asymptotics for Duration-Driven Long Range Dependent Processes," Econometrics 0412009, University Library of Munich, Germany.
- Klar, B. & Lindner, F. & Meintanis, S.G., 2012. "Specification tests for the error distribution in GARCH models," Computational Statistics & Data Analysis, Elsevier, vol. 56(11), pages 3587-3598.
- Thomas Chuffart, 2015.
"Selection Criteria in Regime Switching Conditional Volatility Models,"
Econometrics, MDPI, vol. 3(2), pages 1-28, May.
- Thomas Chuffart, 2013. "Selection Criteria in Regime Switching Conditional Volatility Models," AMSE Working Papers 1339, Aix-Marseille School of Economics, France, revised 14 Jul 2013.
- Thomas Chuffart, 2015. "Selection Criteria in Regime Switching Conditional Volatility Models," Post-Print hal-01457388, HAL.
- Thomas Chuffart, 2013. "Selection Criteria in Regime Switching Conditional Volatility Models," Working Papers halshs-00844413, HAL.
- repec:hal:journl:peer-00732536 is not listed on IDEAS
- Francq, Christian & Zakoïan, Jean-Michel, 2010.
"Inconsistency of the MLE and inference based on weighted LS for LARCH models,"
Journal of Econometrics, Elsevier, vol. 159(1), pages 151-165, November.
- Christian Francq & Jean-Michel Zakoïan, 2010. "Inconsistency of the MLE and inference based on weighted LS for LARCH models," Post-Print hal-00732536, HAL.
- Stoyan V. Stoyanov & Svetlozar T. Rachev & Stefan Mittnik & Frank J. Fabozzi, 2019.
"Pricing Derivatives In Hermite Markets,"
International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 22(06), pages 1-27, September.
- Svetlozar T. Rachev & Stefan Mittnik & Frank J. Fabozzi, 2016. "Pricing Derivatives in Hermite Markets," Papers 1612.07016, arXiv.org, revised Dec 2016.
- Stoyan V. Stoyanov & Svetlozar T. Rachev & Stefan Mittnik & Frank J. Fabozzi, 2017. "Pricing derivatives in Hermite markets," Papers 1709.09068, arXiv.org.
- Hugo Harari-Kermadec, 2011. "Regenerative block empirical likelihood for Markov chains," Journal of Nonparametric Statistics, Taylor & Francis Journals, vol. 23(3), pages 781-802.
- Ahmed BenSaïda, 2021. "The Good and Bad Volatility: A New Class of Asymmetric Heteroskedastic Models," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 83(2), pages 540-570, April.
- Salaheddine El Adlouni, 2018. "Quantile regression C-vine copula model for spatial extremes," Natural Hazards: Journal of the International Society for the Prevention and Mitigation of Natural Hazards, Springer;International Society for the Prevention and Mitigation of Natural Hazards, vol. 94(1), pages 299-317, October.
- Gürtler, Marc & Kreiss, Jens-Peter & Rauh, Ronald, 2009. "A non-stationary approach for financial returns with nonparametric heteroscedasticity," Working Papers IF31V2, Technische Universität Braunschweig, Institute of Finance.
- Christian FRANCQ & Jean-Michel ZAKOIAN, 2009. "Properties of the QMLE and the Weighted LSE for LARCH(q) Models," Working Papers 2009-19, Center for Research in Economics and Statistics.
- Robinson, Peter, 2019. "Spatial long memory," LSE Research Online Documents on Economics 102182, London School of Economics and Political Science, LSE Library.
- Lahiri, S.N. & Robinson, Peter M., 2016. "Central limit theorems for long range dependent spatial linear processes," LSE Research Online Documents on Economics 65331, London School of Economics and Political Science, LSE Library.
- Lee, Xing Ju & Hainy, Markus & McKeone, James P. & Drovandi, Christopher C. & Pettitt, Anthony N., 2018. "ABC model selection for spatial extremes models applied to South Australian maximum temperature data," Computational Statistics & Data Analysis, Elsevier, vol. 128(C), pages 128-144.
- Joshua Hewitt & Miranda J. Fix & Jennifer A. Hoeting & Daniel S. Cooley, 2019. "Improved Return Level Estimation via a Weighted Likelihood, Latent Spatial Extremes Model," Journal of Agricultural, Biological and Environmental Statistics, Springer;The International Biometric Society;American Statistical Association, vol. 24(3), pages 426-443, September.
- Brunella Bonaccorso & Giuseppe T. Aronica, 2016. "Estimating Temporal Changes in Extreme Rainfall in Sicily Region (Italy)," Water Resources Management: An International Journal, Published for the European Water Resources Association (EWRA), Springer;European Water Resources Association (EWRA), vol. 30(15), pages 5651-5670, December.
- Anh, V.V. & Leonenko, N.N. & Sakhno, L.M., 2007. "Statistical inference using higher-order information," Journal of Multivariate Analysis, Elsevier, vol. 98(4), pages 706-742, April.
- Erhardt, Robert J. & Smith, Richard L., 2012. "Approximate Bayesian computing for spatial extremes," Computational Statistics & Data Analysis, Elsevier, vol. 56(6), pages 1468-1481.
- Nikolai Leonenko & Andriy Olenko, 2013. "Tauberian and Abelian Theorems for Long-range Dependent Random Fields," Methodology and Computing in Applied Probability, Springer, vol. 15(4), pages 715-742, December.
- Samuel A. Morris & Brian J. Reich & Emeric Thibaud, 2019. "Exploration and Inference in Spatial Extremes Using Empirical Basis Functions," Journal of Agricultural, Biological and Environmental Statistics, Springer;The International Biometric Society;American Statistical Association, vol. 24(4), pages 555-572, December.
- Bertail, Patrice & Clemencon, Stephan, 2008. "Approximate regenerative-block bootstrap for Markov chains," Computational Statistics & Data Analysis, Elsevier, vol. 52(5), pages 2739-2756, January.
- Iryna Dubovetska & Oleksandr Masyutka & Mikhail Moklyachuk, 2015. "Estimation Problems for Periodically Correlated Isotropic Random Fields," Methodology and Computing in Applied Probability, Springer, vol. 17(1), pages 41-57, March.
- A. Abu-Awwad & V. Maume-Deschamps & P. Ribereau, 2020. "Fitting spatial max-mixture processes with unknown extremal dependence class: an exploratory analysis tool," TEST: An Official Journal of the Spanish Society of Statistics and Operations Research, Springer;Sociedad de Estadística e Investigación Operativa, vol. 29(2), pages 479-522, June.
- Shulin Zhang & Qian M. Zhou & Huazhen Lin, 2021. "Goodness-of-fit test of copula functions for semi-parametric univariate time series models," Statistical Papers, Springer, vol. 62(4), pages 1697-1721, August.
- Doukhan, Paul & Wintenberger, Olivier, 2008. "Weakly dependent chains with infinite memory," Stochastic Processes and their Applications, Elsevier, vol. 118(11), pages 1997-2013, November.
- Inass Soukarieh & Salim Bouzebda, 2022. "Exchangeably Weighted Bootstraps of General Markov U -Process," Mathematics, MDPI, vol. 10(20), pages 1-42, October.
- D. Loukianova & O. Loukianov, 2008. "Deterministic equivalents of additive functionals of recurrent diffusions and drift estimation," Statistical Inference for Stochastic Processes, Springer, vol. 11(2), pages 107-121, June.
- Beran, Jan & Ghosh, Sucharita & Schell, Dieter, 2009. "On least squares estimation for long-memory lattice processes," Journal of Multivariate Analysis, Elsevier, vol. 100(10), pages 2178-2194, November.