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Using copulas to model time dependence in stochastic frontier models

Amsler, Christine Elaine; Prokhorov, Artem; Schmidt, Peter - In: Econometric reviews 33 (2014) 5/6, pp. 497-522

Persistent link: https://www.econbiz.de/10010360796

Goodness of fit tests in stochastic frontier models

Wang, Wei Siang; Amsler, Christine Elaine; Schmidt, Peter - In: Journal of productivity analysis 35 (2011) 2, pp. 95-118

Persistent link: https://www.econbiz.de/10009273106

Evaluating the cdf of the Skew Normal distribution

Amsler, Christine Elaine; Papadopoulos, Alecos; … - In: Empirical economics : a quarterly journal of the … 60 (2021) 6, pp. 3171-3202

Persistent link: https://www.econbiz.de/10012585859

Estimating asymmetric dynamic distributions in high dimensions

Anatolyev, Stanislav; Khabibullin, Renat; Prokhorov, Artem - In: Asymmetric dependence in finance : diversification, …, (pp. 169-197). 2018

Persistent link: https://www.econbiz.de/10011978496

Forecasting tail risk measures for financial time series : an extreme value approach with covariates

James, Robert; Leung, Henry; Leung, Jessica Wai Yin; … - In: Journal of empirical finance 71 (2023), pp. 29-50

Persistent link: https://www.econbiz.de/10014292519

Reconstructing high dimensional dynamic distributions from ditributions of lower dimension

Anatolyev, Stanislav; Khabibullin, Renat; Prokhorov, Artem - 2012

Persistent link: https://www.econbiz.de/10009509704

An algorithm for constructing high dimensional distributions from distributions of lower dimension

Anatolyev, Stanislav; Khabibullin, Renat; Prokhorov, Artem - In: Economics letters 123 (2014) 3, pp. 257-261

Persistent link: https://www.econbiz.de/10010400222

GEL estimation for heavy-tailed GARCH models with robust empirical likelihood inference

Hill, Jonathan B.; Prokhorov, Artem - In: Journal of econometrics 190 (2016) 1, pp. 18-45

Persistent link: https://www.econbiz.de/10011591613

Heavy tails and copulas : limits of diversification revisited

Ibragimov, Rustam Ju.; Prokhorov, Artem - In: Economics letters 149 (2016), pp. 102-107

Persistent link: https://www.econbiz.de/10011620157

Reconstructing High Dimensional Dynamic Distributions from Distributions of Lower Dimension

Anatolyev, Stanislav - 2012

We propose a new procedure for estimating a dynamic joint distribution of a group of assets in a sequential manner starting from univariate marginals, continuing with pairwise bivariate distributions, then with triplewise trivariate distributions, etc., until the joint distribution for the whole...

Persistent link: https://www.econbiz.de/10013108871