The ever-growing volume of cryptocurrency transactions including those from major banks indicates the importance to understand the new cryptocurrency market. We analyse several cryptocurrencies simultaneously to study their cross-dependency while allowing for their wide volatility, high kurtosis...

The simultaneous analysis of several financial time series is important in portfolio setting and risk management. This paper proposes a novel alternating Expectation conditional Maximisation (AECM) algorithm to estimate the vector autoregressive moving average (VARMA) model with variance gamma...

We consider two problems concerning locating change points in a linear regression model. One involves jump discontinuities (change-point) in a regression model and the other involves regression lines connected at unknown points. We compare four methods for estimating single or multiple change...