scientific article; zbMATH DE number 3600847

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On the asymptotic behaviour of Lévy processes. I: Subexponential and exponential processes
Statistics, yokes and symplectic geometry
Hypothesis testing for the generalized multivariate modified Bessel model
A structure for general and specific market risk
A Gaussian-generalized inverse Gaussian finite-dimensional filter.
Approximation and simulation of infinite-dimensional Lévy processes
On the computation of multivariate scenario sets for the skew-t and generalized hyperbolic families
Inference and rare event simulation for stopped Markov processes via reverse-time sequential Monte Carlo
Linear mixed model with Laplace distribution (LLMM)
Likelihood-based risk estimation for variance-gamma models
A Stein type lemma for the multivariate generalized hyperbolic distribution
Mixtures of generalized hyperbolic distributions and mixtures of skew-t distributions for model-based clustering with incomplete data
On the real natural exponential families of grand-Babel
Extended incomplete gamma functions with applications
Some properties of the multivariate generalized hyperbolic laws
A formulation for continuous mixtures of multivariate normal distributions
Probability-conservative simulation for \textit{Lévy} financial model by a mixed finite element method
Maximum likelihood estimation of diffusions by continuous time Markov chain
A method to construct exponential families by representation theory
Financial modelling applying multivariate Lévy processes: new insights into estimation and simulation
How should parameter estimation be tailored to the objective?
Spearman rank correlation of the bivariate Student \(t\) and scale mixtures of normal distributions
On some identities in law involving exponential functionals of Brownian motion and Cauchy random variable
On the divergence and vorticity of vector ambit fields
On bounds for the mode and median of the generalized hyperbolic and related distributions
ECM algorithm for auto-regressive multivariate skewed variance gamma model with unbounded density
Hypotheses tests on the skewness parameter in a multivariate generalized hyperbolic distribution
Maximizing leave-one-out likelihood for the location parameter of unbounded densities
A flexible class of parametric distributions for Bayesian linear mixed models
A mixture of coalesced generalized hyperbolic distributions
Ordering risk bounds in factor models
Mixed estimation methods for Halphen distributions with applications in extreme hydrologic events
Empirical evidence on Student-t log-returns of diversified world stock indices
Subspace clustering for the finite mixture of generalized hyperbolic distributions
Robust finite mixture modeling of multivariate unrestricted skew-normal generalized hyperbolic distributions
Variance-mean mixture of the multivariate skew normal distribution
Hidden truncation hyperbolic distributions, finite mixtures thereof, and their application for clustering
Outcrossings of safe regions by generalized hyperbolic processes
Simple simulation of diffusion bridges with application to likelihood inference for diffusions
Multivariate skew-normal generalized hyperbolic distribution and its properties
Penalized nonparametric mean square estimation of the coefficients of diffusion processes
Extensions of the conjugate prior through the Kullback--Leibler separators
A criterion for invariant measures of Itô processes based on the symbol
Modeling high-frequency non-homogeneous order flows by compound Cox processes
Goodness-of-fit tests for the hyperbolic distribution
On asymmetric generalization of the Weibull distribution by scale-location mixing of normal laws
Sample path asymmetries in non-Gaussian random processes
Geostatistical modelling using non-Gaussian Matérn fields
Modeling high-frequency order flow imbalance by functional limit theorems for two-sided risk processes
Pricing of basket options using univariate normal inverse Gaussian approximations
Hyperbolic measures on infinite dimensional spaces
Combination of Levene-type tests and a finite-intersection method for testing equality of variances against ordered alternatives
Inferring network structure in non-normal and mixed discrete-continuous genomic data
Multi-tail generalized elliptical distributions for asset returns
Multivariate normal \(\alpha\)-stable exponential families
On accuracy of long-term risk forecasts by normal variance-mean mixtures decomposition algorithm
On robust algorithm for finding maximum likelihood estimation of the generalized inverse Gaussian distribution
A note on functional limit theorems for compound Cox processes
Value at risk with time varying variance, skewness and kurtosis-the NIG-ACD model
Modelling energy spot prices by volatility modulated Lévy-driven Volterra processes
Self-decomposability of the generalized inverse Gaussian and hyperbolic distributions
Reviewing alternative characterizations of Meixner process
An alternative multivariate skew Laplace distribution: properties and estimation
Analytic option pricing and risk measures under a regime-switching generalized hyperbolic model with an application to equity-linked insurance
Estimation of hyperbolic diffusion using the Markov chain Monte Carlo method
A Study of Elliptic Partial Differential Equations with Jump Diffusion Coefficients
Spectral properties of MCMC algorithms for Bayesian linear regression with generalized hyperbolic errors
Semi-parametric modelling in finance: theoretical foundations
Decomposition of variance for spatial Cox processes
On the convergence of distributions of statistics constructed from samples of random size to a multivariate generalized variance-gamma distributions
Portfolio optimization under the generalized hyperbolic distribution: optimal allocation, performance and tail behavior
Dependence calibration and portfolio fit with factor-based subordinators
An Exponential Family on the Upper Half Plane and Its Conjugate Prior
Numerical analysis for time-dependent advection-diffusion problems with random discontinuous coefficients
An Exact Auxiliary Variable Gibbs Sampler for a Class of Diffusions
Analyzing survival data with highly negatively skewed distribution: the Gompertz-sinh family
A robust statistical approach to select adequate error distributions for financial returns
Bayesian inference for sinh-normal/independent nonlinear regression models
A mixture of generalized hyperbolic distributions
Skewed Normal Variance‐Mean Models for Asset Pricing and the Method of Moments
Student processes
Drug sensitivity prediction with normal inverse Gaussian shrinkage informed by external data
ECM algorithm for estimating vector ARMA model with variance gamma distribution and possible unbounded density
Probability thermodynamics and probability quantum field
Augmenting the realized-GARCH: the role of signed-jumps, attenuation-biases and long-memory effects
A q-analogue of the family of Poincaré distributions on the upper half plane
On the f-divergences between hyperboloid and Poincaré distributions
Point process simulation of generalised hyperbolic Lévy processes
Controlling the flexibility of non-Gaussian processes through shrinkage priors
The exponentiated generalized inverse Gaussian distribution
Some covariance models based on normal scale mixtures
The Shkarofsky-Gneiting class of covariance models for bivariate Gaussian random fields
Multivariate measurement error models with normal mean-variance mixture distributions
A generalized Isserlis theorem for location mixtures of Gaussian random vectors
Flexible mixture regression with the generalized hyperbolic distribution
A Laplace-based model with flexible tail behavior
Multivariate random fields evolving temporally over hyperbolic spaces
Multivariate generalized hyperbolic laws for modeling financial log-returns: empirical and theoretical considerations
Advances in statistical modeling of spatial extremes
Modeling Dependence in High Dimensions With Factor Copulas

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