Jiang, Wei; Kou, Steven Simulating risk measures via asymptotic expansions for relative errors. (English) Zbl 1522.91320 Math. Finance 31, No. 3, 907-942 (2021). Reviewer: Pavel Stoynov (Sofia) MSC: 91G70 41A60 PDFBibTeX XMLCite \textit{W. Jiang} and \textit{S. Kou}, Math. Finance 31, No. 3, 907--942 (2021; Zbl 1522.91320) Full Text: DOI
Chavez-Demoulin, Valérie; Guillou, Armelle Extreme quantile estimation for \(\beta\)-mixing time series and applications. (English) Zbl 1406.62092 Insur. Math. Econ. 83, 59-74 (2018). MSC: 62M10 62G08 62G32 62P20 PDFBibTeX XMLCite \textit{V. Chavez-Demoulin} and \textit{A. Guillou}, Insur. Math. Econ. 83, 59--74 (2018; Zbl 1406.62092) Full Text: DOI arXiv HAL
Bücher, Axel; Kojadinovic, Ivan; Rohmer, Tom; Segers, Johan Detecting changes in cross-sectional dependence in multivariate time series. (English) Zbl 1360.62451 J. Multivariate Anal. 132, 111-128 (2014). MSC: 62M10 62H15 62G10 60F05 PDFBibTeX XMLCite \textit{A. Bücher} et al., J. Multivariate Anal. 132, 111--128 (2014; Zbl 1360.62451) Full Text: DOI arXiv