Copula modeling for discrete random vectors

Portfolio Modeling with Heavy Tailed Random Vectors

Since the work of Mandelbrot in the 1960’s there has accumulated a great deal of empirical evidence for heavy tailed models in finance. In these models, the probability of a large fluctuation falls off like a power law. The generalized central limit theorem shows that these heavy-tailed fluctuations accumulate to a stable probability distribution. If the tails are not too heavy then the varianc...

Autoregressive Gaussian Random Vectors of First Order

Contributions to copula modeling

This report summarizes my contributions to copulas modeling. Two main research topics are addressed: The construction of semiparametric family of copulas based on a set of orthonormal functions and a matrix and the design of efficient estimation procedures.

Estimation of Spectral Measure of Stable Random Vectors

This article has no abstract.

Partial correlation with copula modeling

Jong-Min Kim 1 Statistics Discipline, Division of Science and Mathematics, University of Minnesota at Morris, Morris, MN, 56267, USA Yoon-Sung Jung Office of Research, Alcorn State University, Alcorn State, MS, 39096, USA Taeryon Choi Department of Statistics, Korea University, Seoul, 136-701, South Korea Engin A. Sungur Statistics Discipline, Division of Science and Mathematics, University of ...