Results 81 to 90 of about 135 (110)
Testing nonlinearity of heavy-tailed time series. [PDF]
J Appl StatDe Gooijer JG.
europepmc +1 more source
Estimating changepoints in extremal dependence, applied to aviation stock prices during COVID-19 pandemic. [PDF]
J Appl StatHazra A, Bose S.
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Orthant tail dependence of multivariate extreme value distributions
The orthant tail dependence describes the relative deviation of upper- (or lower-) orthant tail probabilities of a random vector from similar orthant tail probabilities of a subset of its components, and can be used in the study of dependence among ...
Li, Haijun
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A size-of-loss model for the negatively skewed insurance claims data: applications, risk analysis using different methods and statistical forecasting. [PDF]
J Appl StatMohamed HS +4 more
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High level quantile approximations of sums of risks
Dependence Modeling, 2015 Cuberos A. +2 more
doaj +1 more source
, 2007 We consider a financial market model driven by a Gaussian semimartingale with stationary increments. This driving noise process consists of n independent components and each component has memory described by two parameters.
Anton
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Bayesian inference in hidden Markov models through reversible jump Markov chain Monte Carlo
Hidden Markov models form an extension of mixture models providing a flexible class of models exhibiting dependence and a possibly large degree of variability.
D.M. Titterington +2 more
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Correlation of powers of Hüsler-Reiss vectors and Brown-Resnick fields, and application to insured wind losses. [PDF]
Extremes (Boston)Koch E.
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We study the generalized Fong–Vasicek two-factor interest rate model with stochastic volatility. In this model dispersion is assumed to follow a non-negative process with volatility proportional to the square root of dispersion, while the drift is ...
Stehlíková, Beáta, Sevcovic, Daniel
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A generalization of Panjer’s recursion and numerically stable risk aggregation
, 2010 Gerhold, Stefan +5 more
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