| Publication | Date of Publication | Type |
|---|
Variance-reduced risk inference in semi-supervised settings
Scandinavian Actuarial Journal | 2026-09-04 | Paper |
Asymptotics of CoVaR inference in two-quantile-regression
Journal of Econometrics | 2026-09-01 | Paper |
A zero serial cross-correlation test before fitting heteroscedasticity
Journal of Time Series Analysis | 2026-02-23 | Paper |
Statistical inference for systemic risk-driven portfolio selection
Journal of Econometrics | 2026-02-18 | Paper |
Diversification effect in multivariate optimal risk transfer
Insurance Mathematics & Economics | 2025-11-25 | Paper |
Endogeneity and moments in time series momentum's predictability test
The Annals of Applied Statistics | 2025-06-30 | Paper |
A simplified condition for quantile regression
Statistics & Probability Letters | 2025-05-31 | Paper |
Unified inference for an integer-valued AR(1) model
Communications in Statistics. Theory and Methods | 2025-05-20 | Paper |
A revisit of the optimal excess-of-loss contract
European Journal of Operational Research | 2025-05-19 | Paper |
Improved regression inference using a second overlapping regression model
Statistica Sinica | 2025-04-03 | Paper |
Fitting heavy-tailed distributions to mortality indexes for longevity risk forecasts
Journal of Mathematical Study | 2025-03-06 | Paper |
Testing Constant Serial Dynamics in Two-Step Risk Inference for Longitudinal Actuarial Data
North American Actuarial Journal | 2025-02-10 | Paper |
Testing for zero skill in stock picking or market timing
STATISTICA SINICA | 2025-01-27 | Paper |
Statistical Inference for a Relative Risk Measure
Journal of Business and Economic Statistics | 2024-11-08 | Paper |
Risk Analysis via Generalized Pareto Distributions
Journal of Business and Economic Statistics | 2024-10-17 | Paper |
Unified Tests for a Dynamic Predictive Regression
Journal of Business and Economic Statistics | 2024-10-11 | Paper |
Uniform Test for Predictive Regression With AR Errors
Journal of Business and Economic Statistics | 2024-10-09 | Paper |
Test for Market Timing Using Daily Fund Returns
Journal of Business and Economic Statistics | 2024-08-13 | Paper |
A Unified Inference for Predictive Quantile Regression
Journal of the American Statistical Association | 2024-07-05 | Paper |
A contagion test with unspecified heteroscedastic errors
Journal of Economic Dynamics and Control | 2024-06-19 | Paper |
Panel quantile regression for extreme risk
Journal of Econometrics | 2024-03-21 | Paper |
Uncertainty Comparison Between Value-at-Risk and Expected Shortfall
Communications in Mathematical Research | 2024-03-04 | Paper |
Diagnostic tests before modeling longitudinal actuarial data
Insurance Mathematics & Economics | 2024-02-13 | Paper |
Test for Zero Mean of Errors In An ARMA-GGARCH Model After Using A Median Inference
STATISTICA SINICA | 2024-01-29 | Paper |
A unified unit root test regardless of intercept
Econometric Reviews | 2023-09-18 | Paper |
Nonparametric tests for market timing ability using daily mutual fund returns
Journal of Economic Dynamics and Control | 2023-07-04 | Paper |
Bootstrap analysis of mutual fund performance
Journal of Econometrics | 2023-06-09 | Paper |
Efficiently Backtesting Conditional Value-at-Risk and Conditional Expected Shortfall
Journal of the American Statistical Association | 2023-03-14 | Paper |
Three-step risk inference in insurance ratemaking
Insurance Mathematics & Economics | 2022-07-15 | Paper |
Inference for the Lee-Carter model with an AR(2) process
Methodology and Computing in Applied Probability | 2022-07-07 | Paper |
Test for zero median of errors in an ARMA-GARCH model
Econometric Theory | 2022-06-17 | Paper |
Inference for the tail index of a GARCH(1,1) model and an AR(1) model with ARCH(1) errors
Econometric Reviews | 2022-03-04 | Paper |
Estimating the probability of a rare event via elliptical copulas
North American Actuarial Journal | 2022-01-19 | Paper |
Empirical likelihood test for the equality of several high-dimensional covariance matrices
Science China. Mathematics | 2021-12-14 | Paper |
Two-step risk analysis in insurance ratemaking
Scandinavian Actuarial Journal | 2021-09-13 | Paper |
Design and Implementation of Software-Defined Radio Receiver Based on Blind Nonlinear System Identification and Compensation
IEEE Transactions on Circuits and Systems I: Regular Papers | 2021-08-26 | Paper |
Empirical likelihood test for the application of SWQMELE in fitting an ARMA-GARCH model
Journal of Time Series Analysis | 2021-06-30 | Paper |
Inference for conditional value-at-risk of a predictive regression
The Annals of Statistics | 2021-02-26 | Paper |
Testing the predictability of U.S. housing price index returns based on an IVX-AR model
Journal of the American Statistical Association | 2021-01-22 | Paper |
Jackknife empirical likelihood test for the equality of degrees of freedom in t-copulas
Science China. Mathematics | 2020-04-01 | Paper |
Risk analysis with categorical explanatory variables
Insurance Mathematics & Economics | 2020-03-20 | Paper |
An efficient approach to quantile capital allocation and sensitivity analysis
Mathematical Finance | 2019-12-05 | Paper |
Statistical inference for Lee-Carter mortality model and corresponding forecasts
North American Actuarial Journal | 2019-11-04 | Paper |
Estimation of Extreme Quantiles for Functions of Dependent Random Variables
Journal of the Royal Statistical Society Series B: Statistical Methodology | 2019-06-12 | Paper |
Estimation of Extreme Quantiles for Functions of Dependent Random Variables
Journal of the Royal Statistical Society Series B: Statistical Methodology | 2019-06-12 | Paper |
Endpoint estimation for observations with normal measurement errors
Extremes | 2019-05-31 | Paper |
Bias-corrected inference for a modified Lee-Carter mortality model
ASTIN Bulletin | 2019-05-29 | Paper |
CreditRisk\(^+\) model with dependent risk factors
North American Actuarial Journal | 2019-05-28 | Paper |
A unified test for predictability of asset returns regardless of properties of predicting variables
Journal of Econometrics | 2019-04-26 | Paper |
Asymptotic theory and unified confidence region for an autoregressive model
Journal of Time Series Analysis | 2019-03-05 | Paper |
Maximum penalized likelihood estimation for the endpoint and exponent of a distribution
STATISTICA SINICA | 2019-02-28 | Paper |
Nonparametric inference for sensitivity of Haezendonck-Goovaerts risk measure
Scandinavian Actuarial Journal | 2018-12-14 | Paper |
Testing for a unit root in Lee-Carter mortality model
ASTIN Bulletin | 2018-06-04 | Paper |
Stochastic distortion and its transformed copula
Insurance Mathematics & Economics | 2018-04-12 | Paper |
| Inference for Heavy-Tailed Data Analysis | 2017-10-18 | Paper |
Estimating conditional means with heavy tails
Statistics & Probability Letters | 2017-10-06 | Paper |
Haezendonck-Goovaerts risk measure with a heavy tailed loss
Insurance Mathematics & Economics | 2017-09-19 | Paper |
A Statistical Integral Equation Model for Shadow-Corrected EM Scattering From a Gaussian Rough Surface
IEEE Transactions on Antennas and Propagation | 2017-09-01 | Paper |
| A gait trajectory adaptation algorithm based on nonlinear oscillator | 2017-07-14 | Paper |
| Max-autoregressive and moving maxima models for extremes | 2017-07-04 | Paper |
Inference pitfalls in Lee-Carter model for forecasting mortality
Insurance Mathematics & Economics | 2016-12-13 | Paper |
Inference for intermediate Haezendonck-Goovaerts risk measure
Insurance Mathematics & Economics | 2016-10-06 | Paper |
Tail dependence measure for examining financial extreme co-movements
Journal of Econometrics | 2016-09-06 | Paper |
Least absolute deviations estimation for ARCH and GARCH models
Biometrika | 2016-06-27 | Paper |
Dynamic bivariate normal copula
Science China. Mathematics | 2016-06-17 | Paper |
Interval estimation of value-at-risk based on GARCH models with heavy-tailed innovations
Journal of Econometrics | 2016-05-04 | Paper |
Test for a mean vector with fixed or divergent dimension
Statistical Science | 2016-03-08 | Paper |
Test for a mean vector with fixed or divergent dimension
Statistical Science | 2016-03-08 | Paper |
Bias reduction for endpoint estimation
Extremes | 2016-01-22 | Paper |
Empirical likelihood inference for Haezendonck-Goovaerts risk measure
European Actuarial Journal | 2016-01-15 | Paper |
Maxima of a triangular array of multivariate Gaussian sequence
Statistics & Probability Letters | 2015-11-23 | Paper |
Interval estimation for a measure of tail dependence
Insurance Mathematics & Economics | 2015-09-14 | Paper |
Joint tail of ECOMOR and LCR reinsurance treaties
Insurance Mathematics & Economics | 2015-01-28 | Paper |
INFERENCE FOR A SPECIAL BILINEAR TIME-SERIES MODEL
Journal of Time Series Analysis | 2015-01-12 | Paper |
Statistical models and methods for dependence in insurance data
Journal of the Korean Statistical Society | 2014-09-30 | Paper |
Rejoinder: Statistical models and methods for dependence in insurance data
Journal of the Korean Statistical Society | 2014-09-30 | Paper |
Empirical likelihood test for causality of bivariate AR(1) processes
Econometric Theory | 2014-09-05 | Paper |
Jackknife Empirical Likelihood Intervals for Spearman’s Rho
North American Actuarial Journal | 2014-07-19 | Paper |
Tail index of an AR(1) model with ARCH(1) errors
Econometric Theory | 2014-06-20 | Paper |
Predictive regressions for macroeconomic data
The Annals of Applied Statistics | 2014-06-10 | Paper |
Predictive regressions for macroeconomic data
The Annals of Applied Statistics | 2014-06-10 | Paper |
Empirical likelihood test for high dimensional linear models
Statistics & Probability Letters | 2014-06-05 | Paper |
Jackknife empirical likelihood method for some risk measures and related quantities
Insurance Mathematics & Economics | 2014-04-10 | Paper |
Interval estimation for a simple bilinear model
Statistics & Probability Letters | 2014-02-19 | Paper |
Jackknife empirical likelihood for parametric copulas
Scandinavian Actuarial Journal | 2013-12-17 | Paper |
Tests for covariance matrix with fixed or divergent dimension
The Annals of Statistics | 2013-12-11 | Paper |
Tests for covariance matrix with fixed or divergent dimension
The Annals of Statistics | 2013-12-11 | Paper |
Bootstrapping endpoint
Sankhyā. Series A | 2013-08-01 | Paper |
Weighted estimation of the dependence function for an extreme-value distribution
Bernoulli | 2013-05-30 | Paper |
Weighted estimation of the dependence function for an extreme-value distribution
Bernoulli | 2013-05-30 | Paper |
| Jackknife empirical likelihood test for equality of two high dimensional means | 2013-05-13 | Paper |
Jackknife empirical likelihood method for copulas
Test | 2013-04-05 | Paper |
Bounds for the sum of dependent risks and worst value-at-risk with monotone marginal densities
Finance and Stochastics | 2013-04-02 | Paper |
Parameter estimation and model testing for Markov processes via conditional characteristic functions
Bernoulli | 2013-03-07 | Paper |
Parameter estimation and model testing for Markov processes via conditional characteristic functions
Bernoulli | 2013-03-07 | Paper |
Interval estimation of the tail index of a GARCH(1,1) model
Test | 2013-02-05 | Paper |
Empirical likelihood confidence intervals for the endpoint of a distribution function
Test | 2012-11-15 | Paper |
Jackknife empirical likelihood tests for error distributions in regression models
Journal of Multivariate Analysis | 2012-09-26 | Paper |
Confidence regions for high quantiles of a heavy tailed distribution
The Annals of Statistics | 2012-09-03 | Paper |
Confidence regions for high quantiles of a heavy tailed distribution
The Annals of Statistics | 2012-09-03 | Paper |
Asymptotically unbiased estimators for the extreme-value index
Statistics & Probability Letters | 2012-09-02 | Paper |
Empirical likelihood intervals for conditional value-at-risk in heteroscedastic regression models
Scandinavian Journal of Statistics | 2012-09-01 | Paper |
Jackknife empirical likelihood tests for distribution functions
Journal of Statistical Planning and Inference | 2012-07-16 | Paper |
Empirical likelihood methods for the Gini index
Australian & New Zealand Journal of Statistics | 2012-06-18 | Paper |
Toward a unified interval estimation of autoregressions
Econometric Theory | 2012-06-11 | Paper |
Approximate jackknife empirical likelihood method for estimating equations
The Canadian Journal of Statistics | 2012-03-22 | Paper |
Jackknife-blockwise empirical likelihood methods under dependence
Journal of Multivariate Analysis | 2011-10-28 | Paper |
