Zobrazeno 1 - 10
of 101
pro vyhledávání: '"Bruno Rémillard"'
Autor:
Bruno Rémillard
Publikováno v:
Econometrics, Vol 5, Iss 1, p 13 (2017)
In this paper, we study the asymptotic behavior of the sequential empirical process and the sequential empirical copula process, both constructed from residuals of multivariate stochastic volatility models. Applications for the detection of structura
Externí odkaz:
https://doaj.org/article/b04723712f0346dfb7812a9f27f439c9
Publikováno v:
Journal of Futures Markets. 40:1548-1561
Levy processes provide a solution to overcome the shortcomings of the lognormal hypothesis. A growing literature proposes the use of pure‐jump Levy processes, such as the variance‐gamma (VG) model. In this setting, explicit solutions for derivati
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::2a5a9739e4162b8ff0c6b4b29a80805a
https://doi.org/10.1002/fut.22148
https://doi.org/10.1002/fut.22148
Publikováno v:
Canadian Journal of Statistics. 48:79-96
We consider several time series and for each of them, we fit an appropriate dynamic parametric model. This produces serially independent error terms for each time series. The dependence between these error terms is then modeled by a regime-switching
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::566db50ab2713a4aa457c71cc798108d
https://doi.org/10.1002/cjs.11534
https://doi.org/10.1002/cjs.11534
Publikováno v:
Statistical Science. 36
Donald Andrew Dawson (Don Dawson) was born in 1937. He received a bachelor’s degree in 1958 and a master’s degree in 1959 from McGill University and a Ph.D. in 1963 from M.I.T. under the supervision of Henry P. McKean, Jr. Following an appointmen
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::074d4040d6636268f0febf6cfdd642b1
https://doi.org/10.1214/21-sts821
https://doi.org/10.1214/21-sts821
Autor:
Bruno Rémillard, Michael A. Kouritzin
Publikováno v:
Journal of Mathematical Analysis and Applications. 473:534-566
Strong solutions of p-dimensional stochastic differential equations d X t = b ( X t , t ) d t + σ ( X t , t ) d W t , X s = x that can be represented locally in explicit simulation form X t = ϕ x , s ( ∫ s t V s , u d W u , t ) are considered. He
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::81f78a34ec42e53d1165f7411e1cbade
https://doi.org/10.1016/j.jmaa.2018.12.067
https://doi.org/10.1016/j.jmaa.2018.12.067
Publikováno v:
Biometrika. 106:47-68
SUMMARY Statistics are proposed for testing the hypothesis that arbitrary random variables are mutually independent. The tests are consistent and well behaved for any marginal distributions; they can be used, for example, for contingency tables which
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::3cba5e1a61a5354ba90781eb8b63c629
https://doi.org/10.1093/biomet/asy059
https://doi.org/10.1093/biomet/asy059
Publikováno v:
Water Resources Research. 56
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::b53ac363d5a0ce6b37dac3b6321334a6
https://doi.org/10.1029/2019wr025122
https://doi.org/10.1029/2019wr025122
Publikováno v:
Risks, Vol 8, Iss 98, p 98 (2020)
Risks
Volume 8
Issue 3
Risks
Volume 8
Issue 3
In this paper, we focus on a new generalization of multivariate general compound Hawkes process (MGCHP), which we referred to as the multivariate general compound point process (MGCPP). Namely, we applied a multivariate point process to model the ord
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::6fbe41387c7eda8470694029e4d54c3f
Publikováno v:
Journal of Multivariate Analysis. 187:104857
In this article we show that under weak assumptions, the change-point tests designed for independent random vectors can also be used with pseudo-observations for testing change-point in the joint distribution of non-observable random vectors, the ass
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::f411484f114c18141cbe9119dbcf1ea4
https://doi.org/10.1016/j.jmva.2021.104857
https://doi.org/10.1016/j.jmva.2021.104857
Autor:
Clarence Simard, Bruno Rémillard
Publikováno v:
Methodology and Computing in Applied Probability. 21:985-1005
In this paper we build a discrete time model for the structure of the limit order book, so that the price per share depends on the size of the transaction. We deduce the value of a portfolio when the investor trades using market orders and a bank acc
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::99d29ff66dfa48c9e83fcc2281013be5
https://doi.org/10.1007/s11009-017-9610-3
https://doi.org/10.1007/s11009-017-9610-3