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Stochastic Ordering of Exponential Family Distributions and Their Mixturesxk JOURNAL ARTICLE published March 2009 in Journal of Applied Probability |
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On a random-coefficient AR(1) process with heavy-tailed renewal switching coefficient and heavy-tailed noise JOURNAL ARTICLE published June 2006 in Journal of Applied Probability |
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Pricing risk when distributions are fat tailed JOURNAL ARTICLE published 2004 in Journal of Applied Probability |
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Expansions of multivariate Pickands densities and testing the tail dependence JOURNAL ARTICLE published July 2009 in Journal of Multivariate Analysis |
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Comparison and Classification of Flexible Distributions for Multivariate Skew and Heavy-Tailed Data JOURNAL ARTICLE published 30 September 2019 in Symmetry Research funded by Fonds Wetenschappelijk Onderzoek (165880) |
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Multivariate Generalized Marshall–Olkin Distributions and Copulas JOURNAL ARTICLE published March 2014 in Methodology and Computing in Applied Probability |
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On Learning Mixtures of Heavy-Tailed Distributions PROCEEDINGS ARTICLE published in 46th Annual IEEE Symposium on Foundations of Computer Science (FOCS'05) |
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Functional Inequalities for Heavy Tailed Distributions and Application to Isoperimetry JOURNAL ARTICLE published 1 January 2010 in Electronic Journal of Probability |
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Application of Extreme Value Theory to Estimate Tail Thickness for Asset Return Distributions BOOK CHAPTER published March 2019 in Handbook of Heavy-Tailed Distributions in Asset Management and Risk Management |
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Modelling financial time series based on heavy-tailed market microstructure models with scale mixtures of normal distributions JOURNAL ARTICLE published 11 June 2018 in International Journal of Systems Science Research funded by National Natural Science Foundation for Young Scientists of China (51507015) | National Natural Science Foundation of China (71271215, 71221061) | Natural Science Foundation of Hunan Province, China (2018JJ2439, 2015JJ3008) |
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Heavy-Tailed and Long-Tailed Distributions BOOK CHAPTER published 2013 in An Introduction to Heavy-Tailed and Subexponential Distributions |
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Tail densities of skew-elliptical distributions JOURNAL ARTICLE published May 2019 in Journal of Multivariate Analysis Research funded by Shell United States (DMS 1007556) | Natural Sciences and Engineering Research Council of Canada (8698) |
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Bernoulli and tail-dependence compatibility JOURNAL ARTICLE published 1 June 2016 in The Annals of Applied Probability |
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Statistical Issues in Modeling Multivariate Stable Portfolios BOOK CHAPTER published 2003 in Handbook of Heavy Tailed Distributions in Finance |
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Inference for multivariate heavy-tailed time series models DISSERTATION published |
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Tail-regression estimator for heavy-tailed distributions of known tail indices and its application to continuum quantum Monte Carlo data JOURNAL ARTICLE published 20 June 2019 in Physical Review E Research funded by Engineering and Physical Sciences Research Council (EP/P034616/1) |
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Tail Conditional Expectation for the Multivariate Pareto Distribution of the Second Kind: Another Approach JOURNAL ARTICLE published March 2011 in Methodology and Computing in Applied Probability |
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Duality of the Multivariate Distributions of Marshall–Olkin Type and Tail Dependence JOURNAL ARTICLE published 28 May 2008 in Communications in Statistics - Theory and Methods |
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Tail of compound distributions and excess time JOURNAL ARTICLE published March 1996 in Journal of Applied Probability |
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The Logarithmic Skew-Normal Distributions are Moment-Indeterminate JOURNAL ARTICLE published September 2009 in Journal of Applied Probability |