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 develop quantile regression models in order to derive risk margin and to evaluate capital in non-life insurance applications. By utilizing the entire range of conditional quantile functions, especially higher quantile levels, we detail how quantile regression is capable of providing an...