| Publication | Date of Publication | Type |
|---|
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 |
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 |
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 |
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 |
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 |
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 |
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 |
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 |
Reduce computation in profile empirical likelihood method
The Canadian Journal of Statistics | 2011-08-16 | Paper |
Empirical likelihood test via estimating equations
Journal of Statistical Planning and Inference | 2011-04-15 | Paper |
Empirical-likelihood-based confidence intervals for conditional variance in heteroskedastic regression models
Econometric Theory | 2011-03-08 | Paper |
Empirical likelihood intervals for conditional Value-at-Risk in ARCH/GARCH models
Journal of Time Series Analysis | 2011-02-22 | Paper |
Empirical likelihood methods based on characteristic functions with applications to Lévy processes
Journal of the American Statistical Association | 2011-02-01 | Paper |
Smoothed jackknife empirical likelihood method for tail copulas
Test | 2011-01-22 | Paper |
Comments on: A review on empirical likelihood methods for regression
Test | 2011-01-22 | Paper |
Bias reduction for high quantiles
Journal of Statistical Planning and Inference | 2010-06-03 | Paper |
Empirical likelihood method for intermediate quantiles
Statistics & Probability Letters | 2010-05-28 | Paper |
Smoothed jackknife empirical likelihood method for ROC curve
Journal of Multivariate Analysis | 2010-05-05 | Paper |
Semi-parametric models for the multivariate tail dependence function -- the asymptotically dependent case
Scandinavian Journal of Statistics | 2010-04-22 | Paper |
Pitfalls in using Weibull tailed distributions
Journal of Statistical Planning and Inference | 2010-04-14 | Paper |
Asymptotic normality and Berry-Esseen results for conditional density estimator with censored and dependent data
Journal of Multivariate Analysis | 2010-04-06 | Paper |
On nonparametric local inference for density estimation
Computational Statistics and Data Analysis | 2010-04-06 | Paper |
Comparing extreme models when the sign of the extreme value index is known
Statistics & Probability Letters | 2010-04-01 | Paper |
scientific article; zbMATH DE number 5668410 (Why is no real title available?)
| 2010-02-10 | Paper |
Coverage accuracy for a mean without third moment
Journal of Statistical Planning and Inference | 2010-01-22 | Paper |
Approximating conditional density functions using dimension reduction
Acta Mathematicae Applicatae Sinica. English Series | 2009-11-13 | Paper |
Effects of data dimension on empirical likelihood
Biometrika | 2009-09-29 | Paper |
A practical method for analysing heavy tailed data
The Canadian Journal of Statistics | 2009-08-10 | Paper |
Maximum likelihood estimation of extreme value index for irregular cases
Journal of Statistical Planning and Inference | 2009-07-22 | Paper |
Jackknife method for intermediate quantiles
Journal of Statistical Planning and Inference | 2009-04-30 | Paper |
Goodness-of-fit test for tail copulas modeled by elliptical copulas
Statistics & Probability Letters | 2009-04-14 | Paper |
Does bias reduction with external estimator of second order parameter work for endpoint?
Journal of Statistical Planning and Inference | 2009-04-08 | Paper |
Statistical inference for multivariate residual copula of GARCH models
| 2009-02-05 | Paper |
Empirical likelihood based confidence intervals for copulas
Journal of Multivariate Analysis | 2008-12-10 | Paper |
Conditional variance estimation in heteroscedastic regression models
Journal of Statistical Planning and Inference | 2008-12-08 | Paper |
Goodness-of-fit tests for a heavy tailed distribution
Journal of Statistical Planning and Inference | 2008-10-29 | Paper |
Bootstrap approximation of tail dependence function
Journal of Multivariate Analysis | 2008-09-10 | Paper |
Parametric tail copula estimation and model testing
Journal of Multivariate Analysis | 2008-06-11 | Paper |
Nonparametric estimation of the dependence function for a multivariate extreme value distribution
Journal of Multivariate Analysis | 2008-04-23 | Paper |
Partial derivatives and confidence intervals of bivariate tail dependence functions
Journal of Statistical Planning and Inference | 2007-10-26 | Paper |
Variance Reduction in Multiparameter Likelihood Models
Journal of the American Statistical Association | 2007-09-18 | Paper |
Reducing variance in univariate smoothing
The Annals of Statistics | 2007-09-03 | Paper |
Estimating the tail dependence function of an elliptical distribution
Bernoulli | 2007-05-15 | Paper |
Comparisons Between Local Linear Estimator and Kernel Smooth Estimator for a Smooth Distribution Based on MSE Under Right Censoring
Communications in Statistics: Theory and Methods | 2007-05-08 | Paper |
A NEW CALIBRATION METHOD OF CONSTRUCTING EMPIRICAL LIKELIHOOD-BASED CONFIDENCE INTERVALS FOR THE TAIL INDEX
Australian <html_ent glyph="@amp;" ascii="&"/> New Zealand Journal of Statistics | 2007-03-20 | Paper |
Simple and efficient improvements of multivariate local linear regression
Journal of Multivariate Analysis | 2006-08-14 | Paper |
Weighted least absolute deviations estimation for an AR(1) process with ARCH(1) errors
Biometrika | 2006-07-10 | Paper |
Quantile inference for near-integrated autoregressive times series with infinite variance
| 2006-05-12 | Paper |
Estimating the First- and Second-Order Parameters of a Heavy-Tailed Distribution
Australian <html_ent glyph="@amp;" ascii="&"/> New Zealand Journal of Statistics | 2005-04-15 | Paper |
scientific article; zbMATH DE number 2104313 (Why is no real title available?)
| 2004-09-29 | Paper |
Nonparametric regression under dependent errors with infinite variance
Annals of the Institute of Statistical Mathematics | 2004-09-27 | Paper |
Empirical-likelihood-based confidence interval for the mean with a heavy-tailed distribution.
The Annals of Statistics | 2004-09-15 | Paper |
Hill's estimator for the tail index of an ARMA model
Journal of Statistical Planning and Inference | 2004-08-19 | Paper |
Semi-parametric estimation of the second order parameter in statistics of extremes
Extremes | 2004-03-16 | Paper |
Likelihood based confidence intervals for the tail index
Extremes | 2004-03-16 | Paper |
Empirical likelihood confidence regions for comparison distributions and ROC curves
The Canadian Journal of Statistics | 2004-03-07 | Paper |
Chover-type laws of the iterated logarithm for weighted sums.
Statistics & Probability Letters | 2004-02-14 | Paper |
Bias-corrected estimators for monotone and concave frontier functions.
Journal of Statistical Planning and Inference | 2004-01-06 | Paper |
Local linear smoothing of receiver operating characteristic (ROC) curves
Journal of Statistical Planning and Inference | 2003-12-14 | Paper |
Prediction and nonparametric estimation for time series with heavy tails
Journal of Time Series Analysis | 2003-10-22 | Paper |
scientific article; zbMATH DE number 1995549 (Why is no real title available?)
| 2003-10-22 | Paper |
Asymptotic expansions of densities of sums of random vectors without third moment
Statistics & Probability Letters | 2003-05-07 | Paper |
scientific article; zbMATH DE number 1850465 (Why is no real title available?)
| 2003-02-16 | Paper |
Robust estimation of the generalized Pareto distribution
Extremes | 2002-11-21 | Paper |
Effect of extrapolation on coverage accuracy of prediction intervals computed from Pareto-type data
The Annals of Statistics | 2002-11-14 | Paper |
Moving-maximum models for extrema of time series
Journal of Statistical Planning and Inference | 2002-06-16 | Paper |
Confidence intervals for the tail index
Bernoulli | 2002-05-23 | Paper |
Estimating the mean of a heavy tailed distribution
Statistics & Probability Letters | 2002-03-26 | Paper |
Approximation by penultimate stable laws
Probability and Mathematical Statistics | 2002-02-18 | Paper |
Convolutions of heavy-tailed random variables and applications to portfolio diversification and \(\text{MA}(1)\) time series
Advances in Applied Probability | 2002-02-03 | Paper |
Estimation of a support curve via order statistics
Extremes | 2002-01-30 | Paper |
Using a bootstrap method to choose the sample fraction in tail index estimation
Journal of Multivariate Analysis | 2002-01-08 | Paper |
SECOND-ORDER REGULAR VARIATION AND THE DOMAIN OF ATTRACTION OF STABLE DISTRIBUTIONS
Analysis | 2001-12-16 | Paper |
A bootstrap-based method to achieve optimality in estimating the extreme-value index
Extremes | 2001-09-23 | Paper |
scientific article; zbMATH DE number 1455799 (Why is no real title available?)
| 2001-03-29 | Paper |
Local likelihood tracking of fault lines and boundaries.
Journal of the Royal Statistical Society. Series B. Statistical Methodology | 2001-01-01 | Paper |
Semi-parametric estimation of long-range dependence index in infinite variance time series.
Statistics & Probability Letters | 2001-01-01 | Paper |
An adaptive optimal estimate of the tail index for MA(1) time series
Statistics & Probability Letters | 2000-08-27 | Paper |
On prediction intervals based on predictive likelihood or bootstrap methods
Biometrika | 2000-08-24 | Paper |
Exact Rates of Convergence to a Stable Law
Journal of the London Mathematical Society | 2000-04-17 | Paper |
Almost Sure Convergence in Extreme Value Theory
Mathematische Nachrichten | 2000-03-13 | Paper |
Comparison of tail index estimators
Statistica Neerlandica | 1999-08-23 | Paper |
scientific article; zbMATH DE number 1159284 (Why is no real title available?)
| 1999-03-02 | Paper |
scientific article; zbMATH DE number 1129553 (Why is no real title available?)
| 1998-12-10 | Paper |
Rates of convergence for bivariate extremes
Journal of Multivariate Analysis | 1998-02-05 | Paper |
scientific article; zbMATH DE number 817502 (Why is no real title available?)
| 1996-03-20 | Paper |
