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08/17/2023
Mixed causality graphs for continuous-time stationary processes
In this paper, we introduce different concepts of Granger non-causality ...
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04/11/2023
On heavy-tailed risks under Gaussian copula: the effects of marginal transformation
In this paper, we compute multivariate tail risk probabilities where the...
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02/25/2022
Empirical spectral processes for stationary state space processes
In this paper, we consider function-indexed normalized weighted integrat...
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02/23/2021
Factorization and discrete-time representation of multivariate CARMA processes
In this paper we show that stationary and non-stationary multivariate co...
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09/10/2020
A note on estimation of α-stable CARMA processes sampled at low frequencies
In this paper, we investigate estimators for symmetric α-stable CARMA pr...
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02/21/2020
Whittle estimation for stationary state space models with finite second moments
In this paper, we consider the Whittle estimator for the parameters of a...
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04/03/2018
Robust estimation of continuous-time ARMA models via indirect inference
In this paper we present a robust estimator for the parameters of a cont...
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02/06/2018
Hidden regular variation, copula models, and the limit behavior of conditional excess risk measures
Risk measures like Marginal Expected Shortfall and Marginal Mean Excess ...
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12/22/2017