Home | Current | Past volumes | About | Login | Notify | Contact | Search | |||||
|
|||||
ReferencesBaillie, R. T. (1996), ‘Long memory processes and fractional integration in econometrics’, Journal of Econometrics 73, 5–59. MR1410000 Beare, B. (2010), ‘Copulas and temporal dependence’, Econometrica 78, 395–410. MR2642867 Bollerslev, T. and Mikkelsen, H. O. (1996), ‘Modeling and pricing long memory in stock market volatility’, Journal of Econometrics 73, 151–184. Cambanis, S. (1991), On Eyraud-Farlie-Gumbel-Morgenstern random processes, in ‘Advances in probability distributions with given marginals (Rome, 1990)’, Vol. 67 of Mathematics and its Applications, Kluwer Academic Publishing, Dordrecht, pp. 207–222. MR1215953 Campbell, J. Y., Lo, A. W. and MacKinlay, A. (1997), The econometrics of financial markets, Princeton University Press, Princeton. Chen, X. and Fan, Y. (2004), ‘Evaluating density forecasts via copula approach’, Finance Research Letters 1, 74–84. Chen, X. and Fan, Y. (2006), ‘Estimation of copula-based semiparametric time series models’, Journal of Econometrics 130, 307–335. MR2211797 Chen, X., Wu, W. B. and Yi, Y. (2009), ‘Efficient estimation of copula-based semiparametric Markov models’, Annals of Statistics 37, 4214–4253. MR2572458 Cherubini, U., Luciano, E. and Vecchiato, W., eds (2004), Copula methods in finance, Wiley, Chichester. MR2250804 Comte, F. and Renault, E. (1998), ‘Long memory in continuous-time stochastic volatility models’, Mathematical Finance 8, 291–323. MR1645101 Cont, R. (2001), ‘Empirical properties of asset returns: Stylized facts and statistical issues’, Quantitative Finance 1, 223–236. Cuadras, C. (2009), ‘Constructing copula functions with weighted geometric means’, Journal of Statistical Planning and Inference 139, 3766–3772. MR2553761 Cuadras, C. and Diaz, W. (2012), ‘Another generalization of the bivariate fgm distribution with two-dimensional extensions’, Acta et Commentationes Universitatis Tartuensis de Mathematica 16, 3–12. MR2988796 Darsow, W. F., Nguyen, B. and Olsen, E. T. (1992), ‘Copulas and Markov processes’, Illinois Journal of Mathematics 36, 600–642. MR1215798 Davis, R. A. and Mikosch, T. (1998), ‘The sample autocorrelations of heavy-tailed processes with applications to ARCH’, Annals of Statistics 26, 2049–2080. MR1673289 de la Peña, V. H., Ibragimov, R. and Sharakhmetov, S. (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, IMS Lecture Notes – Monograph Series’, Vol. 49, Institute of Mathematical Statistics, Beachwood, Ohio, USA, pp. 183–209. Available at http://dx.doi.org/10.1214/074921706000000455. Doukhan, P., Fermanian, J.-D. and Lang, G. (2004), ‘Copulas of a vector-valued stationary weakly dependent process’, Working paper, CREST. Doukhan, P., Oppenheim, G. and Taqqu, M. S., eds (2003), Theory and applications of long-range dependence, Birkhäuser, Boston. MR1957509 Drost, F. C. and Nijman, T. E. (1993), ‘Temporal aggregation of garch processes’, Econometrica 61, 909–927. MR1231681 Embrechts, P., Klüppelberg, C. and Mikosch, T. (1997), Modelling extremal events for insurance and finance, Springer, New York. MR1458613 Embrechts, P., McNeil, A. J. and Straumann, D. (2002), Correlation and dependence in risk management: properties and pitfalls, in ‘Risk management: value at risk and beyond (Cambridge, 1998)’, Cambridge Univeristy Press, Cambridge, pp. 176–223. MR1892190 Fermanian, J.-D., Radulović, D. and Wegkamp, M. (2004), ‘Weak convergence of empirical copula processes’, Bernoulli 10, 847–860. MR2093613 Fruhwirth-Schnatter, S. (2006), Finite mixture models and Markov switching models, Wiley Series in Probability and Statistics, Springer, New York. MR2265601 Granger, C. W. J. (2003), ‘Time series concepts for conditional distributions’, Oxford Bulletin of Economics and Statistics 65, 689–701 Suppl. S. Granger, C. W. J., Teräsvirta, T. and Patton, A. J. (2006), ‘Common factors in conditional distributions for bivariate time series’, Journal of Econometrics 132, 43–57. MR2271390 Granger, C. W., Maasoumi, E. and Racine, J. (2004), ‘A dependence metric for possibly nonlinear processes’, Journal of Time Series Analysis 25, 649–669. MR2086354 Hosking, J. R. M. (1996), ‘Asymptotic distributions of the sample mean, autocovariances, and autocorrelations of long-memory time series’, Journal of Econometrics 73, 261–284. MR1410007 Hu, L. (2006), ‘Dependence patterns across financial markets: methods and evidence’, Applied Financial Economics 16, 717–729. Ibragimov, M., Ibragimov, R. and Walden, J. (2015), Heavy-Tailed Distributions and Robustness in Economics and Finance, Vol. 214 of Lecture Notes in Statistics, Springer, New York. MR3331281 Ibragimov, R. (2009a), ‘Copula-based characterizations for higher-order Markov processes’, Econometric Theory 25, 819–846. MR2507535 Ibragimov, R. (2009b), Heavy tailed densities, in S. N. Durlauf and L. E. Blume, eds, ‘The New Palgrave Dictionary of Economics Online’, Palgrave Macmillan, New York. Ibragimov, R., Jaffee, D. and Walden, J. (2009), ‘Nondiversification traps in catastrophe insurance markets’, Review of Financial Studies 22, 959–993. Ibragimov, R. and Lentzas, G. (2008), ‘Copulas and long memory’, Harvard University Research Discussion Paper 2160. Ibragimov, R. and Prokhorov, A. (2016), ‘Heavy tails and copulas: Limits of diversification revisited’, Economics Letters 149, 102–107. MR3576394 Ibragimov, R. and Prokhorov, A. (2017), Heavy Tails and Copulas: Topics in Dependence Modelling in Economics and Finance, World Scientific, New York. Joe, H. (1989), ‘Relative entropy measures of multivariate dependence’, Journal of the American Statistical Association 84(405), 157–164. MR0999674 Joe, H. (1997), Multivariate models and dependence concepts, Vol. 73 of Monographs on Statistics and Applied Probability, Chapman & Hall, London. MR1462613 Kendall, M. G. and Stuart, A. (1973), The advanced theory of statistics, Vol. 2, third edn, Hafner Publishing Co., New York. MR0474561 Kimeldorf, G. and Sampson, A. (1975), ‘Uniform representations of bivariate distributions’, Communications in Statistics 4, 617–627. MR0397989 Lancaster, H. O. (1957), ‘Some properties of the bivariate normal distribution considered in the form of contingency table’, Biometrika 44, 289–292. Lin, G. (1987), ‘Relationships between two extensions of farlie–gumbel– morgenstern distribution’, Annals of the Institute of Statistical Mathematics 39, 129–140. MR0886511 Lo, A. W. (1991), ‘Long-term memory in stock market prices’, Econometrica 59, 1279–1313. Loretan, M. and Phillips, P. C. B. (1994), ‘Testing the covariance stationarity of heavy-tailed time series’, Journal of Empirical Finance 1, 211–248. MR2687497 Lowin, J. (2007), The Fourier copula: Theory and applications, Senior thesis, Harvard University. Marshall, A. W. and Olkin, I. (1979), Inequalities: theory of majorization and its applications, Vol. 143 of Mathematics in Science and Engineering, Academic Press Inc. [Harcourt Brace Jovanovich Publishers], New York. MR0552278 McLachlan, G. J. and Peel, D. (2000), Finite mixture models, Wiley Series in Probability and Statistics, John Wiley & Sons, New York. MR1789474 McNeil, A. J., Frey, R. and Embrechts, P. (2015), Quantitative risk management: Concepts, Techniques and Tools, Princeton Series in Finance, Princeton University Press, Princeton, NJ. MR3445371 Meddahi, N. and Renault, E. (2004), ‘Temporal aggregation of volatility models’, Journal of Econometrics 119, 355–379. MR2057104 Mikosch, T. and Stărică, C. (2000), ‘Limit theory for the sample autocorrelations and extremes of a GARCH (1,1) process’, Annals of Statistics 28, 1427–1451. MR1805791 Nelsen, R. B. (1999), An introduction to copulas, Vol. 139 of Lecture Notes in Statistics, Springer-Verlag, New York. MR1653203 Nelsen, R. B., Quesada-Molina, J. and Rodriguez-Lallena, J. (1997), ‘Bivariate copulas with cubic sections’, Nonparametric Statistics 7, 205–220. MR1443354 Nze, P. A. and Doukhan, P. (2004), ‘Weak dependence: models and applications to econometrics’, Econometric Theory 20, 995–1045. MR2101950 Patton, A. (2006), ‘Modelling asymmetric exchange rate dependence’, International Economic Review 47, 527–556. MR2216591 Robinson, P. M. and Zaffaroni, P. (1998), ‘Nonlinear time series with long memory: a model for stochastic volatility’, Journal of Statistical Planning and Inference 68, 359–371. MR1629599 Schweizer, B. and Wolff, E. F. (1981), ‘On nonparametric measures of dependence for random variables’, Annals of Statistics 9, 879–885. MR0619291 Sharakhmetov, S. and Ibragimov, R. (2002), ‘A characterization of joint distribution of two-valued random variables and its applications’, Journal of Multivariate Analysis 83, 389–408. MR1945960 |
|||||
Home | Current | Past volumes | About | Login | Notify | Contact | Search Probability Surveys. ISSN: 1549-5787 |