He, Xinya; Gu, Ailing; Yao, Haixiang Stochastic differential reinsurance and investment games with delay under VaR constraints. (English) Zbl 07808609 Commun. Stat., Theory Methods 53, No. 4, 1479-1515 (2024). MSC: 62-XX PDFBibTeX XMLCite \textit{X. He} et al., Commun. Stat., Theory Methods 53, No. 4, 1479--1515 (2024; Zbl 07808609) Full Text: DOI
Mirniam, A. S.; Nematollahi, A. R. On accelerating the EM-based algorithms for the VAR(1) models with multivariate generalized scaled \(t\)-distributed innovations. (English) Zbl 07710544 Commun. Stat., Theory Methods 52, No. 13, 4414-4428 (2023). MSC: 62-XX 68-XX PDFBibTeX XMLCite \textit{A. S. Mirniam} and \textit{A. R. Nematollahi}, Commun. Stat., Theory Methods 52, No. 13, 4414--4428 (2023; Zbl 07710544) Full Text: DOI
Zhu, Dan; Yin, Chuancun Optimal reinsurance policy under a new distortion risk measure. (English) Zbl 07706307 Commun. Stat., Theory Methods 52, No. 12, 4151-4164 (2023). MSC: 62-XX PDFBibTeX XMLCite \textit{D. Zhu} and \textit{C. Yin}, Commun. Stat., Theory Methods 52, No. 12, 4151--4164 (2023; Zbl 07706307) Full Text: DOI
Zhu, Shunqing; Dong, Yinghui; Wu, Sang Optimal investment of DC pension plan with two VaR constraints. (English) Zbl 07533632 Commun. Stat., Theory Methods 51, No. 6, 1745-1764 (2022). MSC: 91B16 91G10 62-XX PDFBibTeX XMLCite \textit{S. Zhu} et al., Commun. Stat., Theory Methods 51, No. 6, 1745--1764 (2022; Zbl 07533632) Full Text: DOI
Ünvan, Yüksel Akay Impacts of Bitcoin on USA, Japan, China and Turkey stock market indexes: causality analysis with value at risk method (VAR). (English) Zbl 07530925 Commun. Stat., Theory Methods 50, No. 7, 1599-1614 (2021). MSC: 62-XX PDFBibTeX XMLCite \textit{Y. A. Ünvan}, Commun. Stat., Theory Methods 50, No. 7, 1599--1614 (2021; Zbl 07530925) Full Text: DOI
Zhao, Xu; Cheng, Weihu; Zhang, Pengyue Extreme tail risk estimation with the generalized Pareto distribution under the peaks-over-threshold framework. (English) Zbl 07549064 Commun. Stat., Theory Methods 49, No. 4, 827-844 (2020). MSC: 62-XX PDFBibTeX XMLCite \textit{X. Zhao} et al., Commun. Stat., Theory Methods 49, No. 4, 827--844 (2020; Zbl 07549064) Full Text: DOI
Thavaneswaran, Aerambamoorthy; Paseka, Alex; Frank, Julieta Generalized value at risk forecasting. (English) Zbl 07529939 Commun. Stat., Theory Methods 49, No. 20, 4988-4995 (2020). MSC: 62-XX PDFBibTeX XMLCite \textit{A. Thavaneswaran} et al., Commun. Stat., Theory Methods 49, No. 20, 4988--4995 (2020; Zbl 07529939) Full Text: DOI
Arefi, Ahmad; Pourtaheri, Reza Multi-modal tempered stable distributions and prosses with applications to finance. (English) Zbl 1511.60032 Commun. Stat., Theory Methods 49, No. 17, 4133-4149 (2020). MSC: 60E07 60G51 60G52 62P05 91G15 91G70 PDFBibTeX XMLCite \textit{A. Arefi} and \textit{R. Pourtaheri}, Commun. Stat., Theory Methods 49, No. 17, 4133--4149 (2020; Zbl 1511.60032) Full Text: DOI
Deng, Xiang; Yao, Jing On the property of multivariate generalized hyperbolic distribution and the Stein-type inequality. (English) Zbl 1508.62145 Commun. Stat., Theory Methods 47, No. 21, 5346-5356 (2018). MSC: 62H10 60E05 PDFBibTeX XMLCite \textit{X. Deng} and \textit{J. Yao}, Commun. Stat., Theory Methods 47, No. 21, 5346--5356 (2018; Zbl 1508.62145) Full Text: DOI
Fiorentini, Gabriele; Planas, Christophe; Rossi, Alessandro Marginal distribution of Markov-switching VAR processes. (English) Zbl 1391.62167 Commun. Stat., Theory Methods 46, No. 13, 6605-6623 (2017). MSC: 62M10 62E17 PDFBibTeX XMLCite \textit{G. Fiorentini} et al., Commun. Stat., Theory Methods 46, No. 13, 6605--6623 (2017; Zbl 1391.62167) Full Text: DOI
Cavicchioli, Maddalena Third and fourth moments of vector autoregressions with regime switching. (English) Zbl 1368.62243 Commun. Stat., Theory Methods 46, No. 9, 4181-4194 (2017). MSC: 62M10 62M02 PDFBibTeX XMLCite \textit{M. Cavicchioli}, Commun. Stat., Theory Methods 46, No. 9, 4181--4194 (2017; Zbl 1368.62243) Full Text: DOI
Dvořák, Marek Darling-Erdös-type test for change detection in parameters and variance for stationary VAR models. (English) Zbl 1364.60041 Commun. Stat., Theory Methods 46, No. 1, 465-484 (2017). MSC: 60F17 62G10 62G20 PDFBibTeX XMLCite \textit{M. Dvořák}, Commun. Stat., Theory Methods 46, No. 1, 465--484 (2017; Zbl 1364.60041) Full Text: DOI
Raïssi, Hamdi Autoregressive order identification for VAR models with non constant variance. (English) Zbl 1419.62245 Commun. Stat., Theory Methods 44, No. 10, 2059-2078 (2015). MSC: 62M10 62J10 62B10 62P05 PDFBibTeX XMLCite \textit{H. Raïssi}, Commun. Stat., Theory Methods 44, No. 10, 2059--2078 (2015; Zbl 1419.62245) Full Text: DOI arXiv
Dvořák, Marek; Prášková, Zuzana On testing changes in autoregressive parameters of a VAR model. (English) Zbl 1347.62183 Commun. Stat., Theory Methods 42, No. 7, 1208-1226 (2013). MSC: 62M07 62G20 62M10 60F17 PDFBibTeX XMLCite \textit{M. Dvořák} and \textit{Z. Prášková}, Commun. Stat., Theory Methods 42, No. 7, 1208--1226 (2013; Zbl 1347.62183) Full Text: DOI
Pettere, Gaida; Kollo, Tõnu Risk modeling for future cash flow using skew \(t\)-copula. (English) Zbl 1284.62641 Commun. Stat., Theory Methods 40, No. 16, 2919-2925 (2011). MSC: 62P05 62E17 62F10 91B30 PDFBibTeX XMLCite \textit{G. Pettere} and \textit{T. Kollo}, Commun. Stat., Theory Methods 40, No. 16, 2919--2925 (2011; Zbl 1284.62641) Full Text: DOI
Shabbir, Javid; Gupta, Sat On improvement in variance estimation using auxiliary information. (English) Zbl 1183.62016 Commun. Stat., Theory Methods 36, No. 12, 2177-2185 (2007). MSC: 62D05 65C60 62F10 PDFBibTeX XMLCite \textit{J. Shabbir} and \textit{S. Gupta}, Commun. Stat., Theory Methods 36, No. 12, 2177--2185 (2007; Zbl 1183.62016) Full Text: DOI
Wang, Peijie Phase-shifting common cycles and common trends. (English) Zbl 0958.62116 Commun. Stat., Theory Methods 28, No. 6, 1311-1329 (1999). MSC: 62P20 62M10 91B84 PDFBibTeX XMLCite \textit{P. Wang}, Commun. Stat., Theory Methods 28, No. 6, 1311--1329 (1999; Zbl 0958.62116) Full Text: DOI