| Publication | Date of Publication | Type |
|---|
| Testing for zero skill in stock picking or market timing | 2025-01-27 | Paper |
| Statistical Inference for a Relative Risk Measure | 2024-11-08 | Paper |
| Risk Analysis via Generalized Pareto Distributions | 2024-10-17 | Paper |
| Unified Tests for a Dynamic Predictive Regression | 2024-10-11 | Paper |
| Uniform Test for Predictive Regression With AR Errors | 2024-10-09 | Paper |
| Test for Market Timing Using Daily Fund Returns | 2024-08-13 | Paper |
| A Unified Inference for Predictive Quantile Regression | 2024-07-05 | Paper |
| A contagion test with unspecified heteroscedastic errors | 2024-06-19 | Paper |
| Panel quantile regression for extreme risk | 2024-03-21 | Paper |
| Uncertainty Comparison Between Value-at-Risk and Expected Shortfall | 2024-03-04 | Paper |
| Diagnostic tests before modeling longitudinal actuarial data | 2024-02-13 | Paper |
| Test for Zero Mean of Errors In An ARMA-GGARCH Model After Using A Median Inference | 2024-01-29 | Paper |
| A unified unit root test regardless of intercept | 2023-09-18 | Paper |
| Nonparametric tests for market timing ability using daily mutual fund returns | 2023-07-04 | Paper |
| Bootstrap analysis of mutual fund performance | 2023-06-09 | Paper |
| Efficiently Backtesting Conditional Value-at-Risk and Conditional Expected Shortfall | 2023-03-14 | Paper |
| Three-step risk inference in insurance ratemaking | 2022-07-15 | Paper |
| Inference for the Lee-Carter model with an AR(2) process | 2022-07-07 | Paper |
| TEST FOR ZERO MEDIAN OF ERRORS IN AN ARMA–GARCH MODEL | 2022-06-17 | Paper |
| Inference for the tail index of a GARCH(1,1) model and an AR(1) model with ARCH(1) errors | 2022-03-04 | Paper |
| Estimating the Probability of a Rare Event via Elliptical Copulas | 2022-01-19 | Paper |
| Empirical likelihood test for the equality of several high-dimensional covariance matrices | 2021-12-14 | Paper |
| Two-step risk analysis in insurance ratemaking | 2021-09-13 | Paper |
| Design and Implementation of Software-Defined Radio Receiver Based on Blind Nonlinear System Identification and Compensation | 2021-08-26 | Paper |
| Empirical likelihood test for the application of swqmele in fitting an arma‐garch model | 2021-06-30 | Paper |
| Inference for conditional value-at-risk of a predictive regression | 2021-02-26 | Paper |
| Testing the Predictability of U.S. Housing Price Index Returns Based on an IVX-AR Model | 2021-01-22 | Paper |
| Jackknife empirical likelihood test for the equality of degrees of freedom in t-copulas | 2020-04-01 | Paper |
| Risk analysis with categorical explanatory variables | 2020-03-20 | Paper |
| An efficient approach to quantile capital allocation and sensitivity analysis | 2019-12-05 | Paper |
| Statistical Inference for Lee-Carter Mortality Model and Corresponding Forecasts | 2019-11-04 | Paper |
| Estimation of Extreme Quantiles for Functions of Dependent Random Variables | 2019-06-12 | Paper |
| Endpoint estimation for observations with normal measurement errors | 2019-05-31 | Paper |
| BIAS-CORRECTED INFERENCE FOR A MODIFIED LEE–CARTER MORTALITY MODEL | 2019-05-29 | Paper |
| CreditRisk+Model with Dependent Risk Factors | 2019-05-28 | Paper |
| A unified test for predictability of asset returns regardless of properties of predicting variables | 2019-04-26 | Paper |
| Asymptotic Theory and Unified Confidence Region for an Autoregressive Model | 2019-03-05 | Paper |
| Maximum Penalized Likelihood Estimation For The Endpoint And Exponent Of A Distribution | 2019-02-28 | Paper |
| Nonparametric inference for sensitivity of Haezendonck–Goovaerts risk measure | 2018-12-14 | Paper |
| TESTING FOR A UNIT ROOT IN LEE–CARTER MORTALITY MODEL | 2018-06-04 | Paper |
| Stochastic distortion and its transformed copula | 2018-04-12 | Paper |
| Inference for Heavy-Tailed Data Analysis | 2017-10-18 | Paper |
| Estimating conditional means with heavy tails | 2017-10-06 | Paper |
| Haezendonck-Goovaerts risk measure with a heavy tailed loss | 2017-09-19 | Paper |
| A Statistical Integral Equation Model for Shadow-Corrected EM Scattering From a Gaussian Rough Surface | 2017-09-01 | Paper |
| https://portal.mardi4nfdi.de/entity/Q5276254 | 2017-07-14 | Paper |
| https://portal.mardi4nfdi.de/entity/Q5272720 | 2017-07-04 | Paper |
| Inference pitfalls in Lee-Carter model for forecasting mortality | 2016-12-13 | Paper |
| Inference for intermediate Haezendonck-Goovaerts risk measure | 2016-10-06 | Paper |
| Tail dependence measure for examining financial extreme co-movements | 2016-09-06 | Paper |
| Least absolute deviations estimation for ARCH and GARCH models | 2016-06-27 | Paper |
| Dynamic bivariate normal copula | 2016-06-17 | Paper |
| Interval estimation of value-at-risk based on GARCH models with heavy-tailed innovations | 2016-05-04 | Paper |
| Test for a mean vector with fixed or divergent dimension | 2016-03-08 | Paper |
| Bias reduction for endpoint estimation | 2016-01-22 | Paper |
| Empirical likelihood inference for Haezendonck-Goovaerts risk measure | 2016-01-15 | Paper |
| Maxima of a triangular array of multivariate Gaussian sequence | 2015-11-23 | Paper |
| Interval estimation for a measure of tail dependence | 2015-09-14 | Paper |
| Joint tail of ECOMOR and LCR reinsurance treaties | 2015-01-28 | Paper |
| INFERENCE FOR A SPECIAL BILINEAR TIME-SERIES MODEL | 2015-01-12 | Paper |
| Statistical models and methods for dependence in insurance data | 2014-09-30 | Paper |
| Rejoinder: Statistical models and methods for dependence in insurance data | 2014-09-30 | Paper |
| EMPIRICAL LIKELIHOOD TEST FOR CAUSALITY OF BIVARIATE AR(1) PROCESSES | 2014-09-05 | Paper |
| Jackknife Empirical Likelihood Intervals for Spearman’s Rho | 2014-07-19 | Paper |
| TAIL INDEX OF AN AR(1) MODEL WITH ARCH(1) ERRORS | 2014-06-20 | Paper |
| Predictive regressions for macroeconomic data | 2014-06-10 | Paper |
| Empirical likelihood test for high dimensional linear models | 2014-06-05 | Paper |
| Jackknife empirical likelihood method for some risk measures and related quantities | 2014-04-10 | Paper |
| Interval estimation for a simple bilinear model | 2014-02-19 | Paper |
| Jackknife empirical likelihood for parametric copulas | 2013-12-17 | Paper |
| Tests for covariance matrix with fixed or divergent dimension | 2013-12-11 | Paper |
| Bootstrapping endpoint | 2013-08-01 | Paper |
| Weighted estimation of the dependence function for an extreme-value distribution | 2013-05-30 | Paper |
| https://portal.mardi4nfdi.de/entity/Q4921671 | 2013-05-13 | Paper |
| Jackknife empirical likelihood method for copulas | 2013-04-05 | Paper |
| Bounds for the sum of dependent risks and worst value-at-risk with monotone marginal densities | 2013-04-02 | Paper |
| Parameter estimation and model testing for Markov processes via conditional characteristic functions | 2013-03-07 | Paper |
| Interval estimation of the tail index of a GARCH(1,1) model | 2013-02-05 | Paper |
| Empirical likelihood confidence intervals for the endpoint of a distribution function | 2012-11-15 | Paper |
| Jackknife empirical likelihood tests for error distributions in regression models | 2012-09-26 | Paper |
| Confidence regions for high quantiles of a heavy tailed distribution | 2012-09-03 | Paper |
| Asymptotically unbiased estimators for the extreme-value index | 2012-09-02 | Paper |
| Empirical Likelihood Intervals for Conditional Value-at-Risk in Heteroscedastic Regression Models | 2012-09-01 | Paper |
| Jackknife empirical likelihood tests for distribution functions | 2012-07-16 | Paper |
| EMPIRICAL LIKELIHOOD METHODS FOR THE GINI INDEX | 2012-06-18 | Paper |
| TOWARD A UNIFIED INTERVAL ESTIMATION OF AUTOREGRESSIONS | 2012-06-11 | Paper |
| Approximate jackknife empirical likelihood method for estimating equations | 2012-03-22 | Paper |
| Jackknife-blockwise empirical likelihood methods under dependence | 2011-10-28 | Paper |
| Reduce computation in profile empirical likelihood method | 2011-08-16 | Paper |
| Empirical likelihood test via estimating equations | 2011-04-15 | Paper |
| EMPIRICAL-LIKELIHOOD-BASED CONFIDENCE INTERVALS FOR CONDITIONAL VARIANCE IN HETEROSKEDASTIC REGRESSION MODELS | 2011-03-08 | Paper |
| Empirical likelihood intervals for conditional Value-at-Risk in ARCH/GARCH models | 2011-02-22 | Paper |
| Empirical Likelihood Methods Based on Characteristic Functions With Applications to Lévy Processes | 2011-02-01 | Paper |
| Comments on: A review on empirical likelihood methods for regression | 2011-01-22 | Paper |
| Smoothed jackknife empirical likelihood method for tail copulas | 2011-01-22 | Paper |
| Bias reduction for high quantiles | 2010-06-03 | Paper |
| Empirical likelihood method for intermediate quantiles | 2010-05-28 | Paper |
| Smoothed jackknife empirical likelihood method for ROC curve | 2010-05-05 | Paper |
| Semi‐Parametric Models for the Multivariate Tail Dependence Function – the Asymptotically Dependent Case | 2010-04-22 | Paper |
| Pitfalls in using Weibull tailed distributions | 2010-04-14 | Paper |
| Asymptotic normality and Berry-Esseen results for conditional density estimator with censored and dependent data | 2010-04-06 | Paper |
| On nonparametric local inference for density estimation | 2010-04-06 | Paper |
| Comparing extreme models when the sign of the extreme value index is known | 2010-04-01 | Paper |
| https://portal.mardi4nfdi.de/entity/Q3405573 | 2010-02-10 | Paper |
| Coverage accuracy for a mean without third moment | 2010-01-22 | Paper |
| Approximating conditional density functions using dimension reduction | 2009-11-13 | Paper |
| Effects of data dimension on empirical likelihood | 2009-09-29 | Paper |
| A practical method for analysing heavy tailed data | 2009-08-10 | Paper |
| Maximum likelihood estimation of extreme value index for irregular cases | 2009-07-22 | Paper |
| Jackknife method for intermediate quantiles | 2009-04-30 | Paper |
| Goodness-of-fit test for tail copulas modeled by elliptical copulas | 2009-04-14 | Paper |
| Does bias reduction with external estimator of second order parameter work for endpoint? | 2009-04-08 | Paper |
| https://portal.mardi4nfdi.de/entity/Q3600720 | 2009-02-05 | Paper |
| Empirical likelihood based confidence intervals for copulas | 2008-12-10 | Paper |
| Conditional variance estimation in heteroscedastic regression models | 2008-12-08 | Paper |
| Goodness-of-fit tests for a heavy tailed distribution | 2008-10-29 | Paper |
| Bootstrap approximation of tail dependence function | 2008-09-10 | Paper |
| Parametric tail copula estimation and model testing | 2008-06-11 | Paper |
| Nonparametric estimation of the dependence function for a multivariate extreme value distribution | 2008-04-23 | Paper |
| Partial derivatives and confidence intervals of bivariate tail dependence functions | 2007-10-26 | Paper |
| Variance Reduction in Multiparameter Likelihood Models | 2007-09-18 | Paper |
| Reducing variance in univariate smoothing | 2007-09-03 | Paper |
| Estimating the tail dependence function of an elliptical distribution | 2007-05-15 | Paper |
| Comparisons Between Local Linear Estimator and Kernel Smooth Estimator for a Smooth Distribution Based on MSE Under Right Censoring | 2007-05-08 | Paper |
| A NEW CALIBRATION METHOD OF CONSTRUCTING EMPIRICAL LIKELIHOOD-BASED CONFIDENCE INTERVALS FOR THE TAIL INDEX | 2007-03-20 | Paper |
| Simple and efficient improvements of multivariate local linear regression | 2006-08-14 | Paper |
| Weighted least absolute deviations estimation for an AR(1) process with ARCH(1) errors | 2006-07-10 | Paper |
| https://portal.mardi4nfdi.de/entity/Q5468801 | 2006-05-12 | Paper |
| Estimating the First- and Second-Order Parameters of a Heavy-Tailed Distribution | 2005-04-15 | Paper |
| https://portal.mardi4nfdi.de/entity/Q4818606 | 2004-09-29 | Paper |
| Nonparametric regression under dependent errors with infinite variance | 2004-09-27 | Paper |
| Empirical-likelihood-based confidence interval for the mean with a heavy-tailed distribution. | 2004-09-15 | Paper |
| Hill's estimator for the tail index of an ARMA model | 2004-08-19 | Paper |
| Likelihood based confidence intervals for the tail index | 2004-03-16 | Paper |
| Semi-parametric estimation of the second order parameter in statistics of extremes | 2004-03-16 | Paper |
| Empirical likelihood confidence regions for comparison distributions and ROC curves | 2004-03-07 | Paper |
| Chover-type laws of the iterated logarithm for weighted sums. | 2004-02-14 | Paper |
| Bias-corrected estimators for monotone and concave frontier functions. | 2004-01-06 | Paper |
| Local linear smoothing of receiver operating characteristic (ROC) curves | 2003-12-14 | Paper |
| https://portal.mardi4nfdi.de/entity/Q4431516 | 2003-10-22 | Paper |
| Prediction and nonparametric estimation for time series with heavy tails | 2003-10-22 | Paper |
| Asymptotic expansions of densities of sums of random vectors without third moment | 2003-05-07 | Paper |
| https://portal.mardi4nfdi.de/entity/Q4787684 | 2003-02-16 | Paper |
| Robust estimation of the generalized Pareto distribution | 2002-11-21 | Paper |
| Effect of extrapolation on coverage accuracy of prediction intervals computed from Pareto-type data | 2002-11-14 | Paper |
| Moving-maximum models for extrema of time series | 2002-06-16 | Paper |
| Confidence intervals for the tail index | 2002-05-23 | Paper |
| Estimating the mean of a heavy tailed distribution | 2002-03-26 | Paper |
| https://portal.mardi4nfdi.de/entity/Q2772013 | 2002-02-18 | Paper |
| Convolutions of heavy-tailed random variables and applications to portfolio diversification and MA(1) time series | 2002-02-03 | Paper |
| Using a bootstrap method to choose the sample fraction in tail index estimation | 2002-01-08 | Paper |
| SECOND-ORDER REGULAR VARIATION AND THE DOMAIN OF ATTRACTION OF STABLE DISTRIBUTIONS | 2001-12-16 | Paper |
| https://portal.mardi4nfdi.de/entity/Q4954281 | 2001-03-29 | Paper |
| Semi-parametric estimation of long-range dependence index in infinite variance time series. | 2001-01-01 | Paper |
| Local Likelihood Tracking of Fault Lines and Boundaries | 2001-01-01 | Paper |
| An adaptive optimal estimate of the tail index for MA(1) time series | 2000-08-27 | Paper |
| On prediction intervals based on predictive likelihood or bootstrap methods | 2000-08-24 | Paper |
| Exact Rates of Convergence to a Stable Law | 2000-04-17 | Paper |
| Almost Sure Convergence in Extreme Value Theory | 2000-03-13 | Paper |
| Comparison of tail index estimators | 1999-08-23 | Paper |
| https://portal.mardi4nfdi.de/entity/Q4391714 | 1999-03-02 | Paper |
| https://portal.mardi4nfdi.de/entity/Q4380619 | 1998-12-10 | Paper |
| Rates of convergence for bivariate extremes | 1998-02-05 | Paper |
| https://portal.mardi4nfdi.de/entity/Q4854870 | 1996-03-20 | Paper |
