RMetrics

swMATH9991MaRDI QIDQ21968FDOQ21968

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Cited In (37)

• Statistical arbitrage with vine copulas
• Finite-sample properties of estimators for first and second order autoregressive processes
• Fast goodness-of-fit tests based on the characteristic function
• Fractional Erlang queues
• A method to estimate power parameter in exponential power distribution via polynomial regression
• Graphical comparison of normality tests for unimodal distribution data
• Preprocessing of centred logratio transformed density functions using smoothing splines
• Specification tests for the error distribution in GARCH models
• A simple approach to maximum intractable likelihood estimation
• Model selection in sparse high-dimensional vine copula models with an application to portfolio risk
• Nonparametric density estimation for linear processes with infinite variance
• Inference on the tail process with application to financial time series modeling
• Testing for correlation between two time series using a parametric bootstrap
• Interval forecasts based on regression trees for streaming data
• A framework for analyzing the robustness of movement models to variable step discretization
• Fourier inference for stochastic volatility models with heavy-tailed innovations
• MCMC4Extremes: an R package for Bayesian inference for extremes and its extensions
• A new class of independence tests for interval forecasts evaluation
• Applied Econometrics with R
• New independent component analysis tools for time series
• Nonparametric quantile regression with heavy-tailed and strongly dependent errors
• Estimating and forecasting dynamic correlation matrices: a nonlinear common factor approach
• A software review for extreme value analysis
• On automatic bias reduction for extreme expectile estimation
• Testing for Serial Independence: Beyond the Portmanteau Approach
• Robust analogs to the coefficient of variation
• Combining predictive distributions
• Specification testing in nonparametric AR‐ARCH models
• Blind source separation for compositional time series
• Semiparametric Time Series Models with Log‐concave Innovations: Maximum Likelihood Estimation and its Consistency
• An introduction to analysis of financial data with R.
• Pairs trading with a mean-reverting jump–diffusion model on high-frequency data
• Conditional empirical copula processes and generalized measures of association
• On the efficacy of stop-loss rules in the presence of overnight gaps
• A Bayesian approach for estimating the parameters of an α-stable distribution
• Computational finance. An introductory course with R
• Stock market forecasting by using a hybrid model of exponential fuzzy time series

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