The behavior of multivariate maxima of moving maxima processes. Zbl 1122.60052
Zhang, Zhengjun; Smith, Richard L. |
|
2004
|
A generalized beta copula with applications in modeling multivariate long-tailed data. Zbl 1218.62049
Yang, Xipei; Frees, Edward W.; Zhang, Zhengjun |
|
2011
|
Asymptotically (in)dependent multivariate maxima of moving maxima process. Zbl 1150.60030
Heffernan, Janet E.; Tawn, Jonathan A.; Zhang, Zhengjun |
|
2007
|
On the estimation and application of max-stable processes. Zbl 1181.62150
Zhang, Zhengjun; Smith, Richard L. |
|
2010
|
Quotient correlation: a sample based alternative to Pearson’s correlation. Zbl 1133.62041
Zhang, Zhengjun |
|
2008
|
Generalized measures of correlation for asymmetry, nonlinearity, and beyond. Zbl 1443.62169
Zheng, Shurong; Shi, Ning-Zhong; Zhang, Zhengjun |
|
2012
|
On approximating max-stable processes and constructing extremal copula functions. Zbl 1205.60102
Zhang, Zhengjun |
|
2009
|
Copula structured M4 processes with application to high-frequency financial data. Zbl 1443.62295
Zhang, Zhengjun; Zhu, Bin |
|
2016
|
Efficient estimation and particle filter for max-stable processes. Zbl 1300.62094
Kunihama, Tsuyoshi; Omori, Yasuhiro; Zhang, Zhengjun |
|
2012
|
Extremal financial risk models and portfolio evaluation. Zbl 1157.62528
Zhang, Zhengjun; Huang, James |
|
2006
|
Stochastic tail index model for high frequency financial data with Bayesian analysis. Zbl 1452.62781
Mao, Guangyu; Zhang, Zhengjun |
|
2018
|
Semiparametric dynamic max-copula model for multivariate time series. Zbl 06849261
Zhao, Zifeng; Zhang, Zhengjun |
|
2018
|
Nonparametric estimation of copula regression models with discrete outcomes. Zbl 1445.62062
Yang, Lu; Frees, Edward W.; Zhang, Zhengjun |
|
2020
|
Sparse moving maxima models for tail dependence in multivariate financial time series. Zbl 1259.62083
Tang, Rui; Shao, Jun; Zhang, Zhengjun |
|
2013
|
On studying extreme values and systematic risks with nonlinear time series models and tail dependence measures. Zbl 1527.62068
Zhang, Zhengjun |
|
2021
|
Asymptotic independence of correlation coefficients with application to testing hypothesis of independence. Zbl 1274.62401
Zhang, Zhengjun; Qi, Yongcheng; Ma, Xiwen |
|
2011
|
An extension of max autoregressive models. Zbl 1513.62178
Naveau, Philippe; Zhang, Zhengjun; Zhu, Bin |
|
2011
|
Modeling maxima with autoregressive conditional Fréchet model. Zbl 1452.62339
Zhao, Zifeng; Zhang, Zhengjun; Chen, Rong |
|
2018
|
Random threshold driven tail dependence measures with application to precipitation data analysis. Zbl 1362.62199
Zhang, Zhengjun; Zhang, Chunming; Cui, Qiurong |
|
2017
|
The estimation of M4 processes with geometric moving patterns. Zbl 1184.62147
Zhang, Zhengjun |
|
2008
|
Mark to market value at risk. Zbl 1452.62751
Chen, Yu; Wang, Zhicheng; Zhang, Zhengjun |
|
2019
|
New extreme value theory for maxima of maxima. Zbl 07660274
Cao, Wenzhi; Zhang, Zhengjun |
|
2021
|
Sure explained variability and independence screening. Zbl 1459.62040
Chen, Min; Lian, Yimin; Chen, Zhao; Zhang, Zhengjun |
|
2017
|
A new class of tail-dependent time-series models and its applications in financial time series. Zbl 1190.91166
Zhang, Zhengjun |
|
2006
|
Robust-BD estimation and inference for varying-dimensional general linear models. Zbl 1533.62052
Zhang, Chunming; Guo, Xiao; Cheng, Chen; Zhang, Zhengjun |
|
2014
|
Marked point process adjusted tail dependence analysis for high-frequency financial data. Zbl 1407.62388
Malinowski, Alexander; Schlather, Martin; Zhang, Zhengjun |
|
2015
|
A peak-over-threshold search method for global optimization. Zbl 1387.93141
Gao, Siyang; Shi, Leyuan; Zhang, Zhengjun |
|
2018
|
An extended sparse max-linear moving model with application to high-frequency financial data. Zbl 07660532
Idowu, Timothy; Zhang, Zhengjun |
|
2017
|
On the analysis of nonlinear dynamic behavior of an isolation system with irrational restoring force and fractional damping. Zbl 1428.74091
Dong, Y. Y.; Han, Y. W.; Zhang, Z. J. |
|
2019
|
Universal role of quantum uncertainty in Anderson metal-insulator transition. Zbl 1380.81069
Cheng, W. W.; Zhang, Z. J.; Gong, L. Y.; Zhao, S. M. |
|
2016
|
Monotone piecewise curve fitting algorithms. Zbl 0811.65007
Zhang, Zhengjun; Yang, Ziqiang; Zhang, Chunming |
|
1994
|
Asymptotic theory for fractionally integrated asymmetric power ARCH models. Zbl 1335.62146
Shinki, Kazuhiko; Zhang, Zhengjun |
|
2012
|
Intrinsically weighted means and non-ergodic marked point processes. Zbl 1440.60040
Malinowski, Alexander; Schlather, Martin; Zhang, Zhengjun |
|
2016
|
Penalized Bregman divergence estimation via coordinate descent. Zbl 1244.94017
Zhang, Chunming; Zhang, Zhengjun; Chai, Yi |
|
2011
|
Valuation of guaranteed unitized participating life insurance under GEV distribution. Zbl 06944670
Zheng, Haitao; Hao, Junzhang; Bai, Manying; Zhang, Zhengjun |
|
2018
|
Max-linear regression models with regularization. Zbl 1471.62460
Cui, Qiurong; Xu, Yuqing; Zhang, Zhengjun; Chan, Vincent |
|
2021
|
Valuation of guaranteed unitized participating life insurance under MEGB2 distribution. Zbl 1453.91088
Zheng, Haitao; Hao, Junzhang; Bai, Manying; Zhang, Zhengjun |
|
2019
|
Test for bandedness of high-dimensional precision matrices. Zbl 1384.62179
Cheng, Guanghui; Zhang, Zhengjun; Zhang, Baoxue |
|
2017
|
Maximum independent component analysis with application to EEG data. Zbl 07292501
Guo, Ruosi; Zhang, Chunming; Zhang, Zhengjun |
|
2020
|
On studying extreme values and systematic risks with nonlinear time series models and tail dependence measures. Zbl 1527.62068
Zhang, Zhengjun |
|
2021
|
New extreme value theory for maxima of maxima. Zbl 07660274
Cao, Wenzhi; Zhang, Zhengjun |
|
2021
|
Max-linear regression models with regularization. Zbl 1471.62460
Cui, Qiurong; Xu, Yuqing; Zhang, Zhengjun; Chan, Vincent |
|
2021
|
Nonparametric estimation of copula regression models with discrete outcomes. Zbl 1445.62062
Yang, Lu; Frees, Edward W.; Zhang, Zhengjun |
|
2020
|
Maximum independent component analysis with application to EEG data. Zbl 07292501
Guo, Ruosi; Zhang, Chunming; Zhang, Zhengjun |
|
2020
|
Mark to market value at risk. Zbl 1452.62751
Chen, Yu; Wang, Zhicheng; Zhang, Zhengjun |
|
2019
|
On the analysis of nonlinear dynamic behavior of an isolation system with irrational restoring force and fractional damping. Zbl 1428.74091
Dong, Y. Y.; Han, Y. W.; Zhang, Z. J. |
|
2019
|
Valuation of guaranteed unitized participating life insurance under MEGB2 distribution. Zbl 1453.91088
Zheng, Haitao; Hao, Junzhang; Bai, Manying; Zhang, Zhengjun |
|
2019
|
Stochastic tail index model for high frequency financial data with Bayesian analysis. Zbl 1452.62781
Mao, Guangyu; Zhang, Zhengjun |
|
2018
|
Semiparametric dynamic max-copula model for multivariate time series. Zbl 06849261
Zhao, Zifeng; Zhang, Zhengjun |
|
2018
|
Modeling maxima with autoregressive conditional Fréchet model. Zbl 1452.62339
Zhao, Zifeng; Zhang, Zhengjun; Chen, Rong |
|
2018
|
A peak-over-threshold search method for global optimization. Zbl 1387.93141
Gao, Siyang; Shi, Leyuan; Zhang, Zhengjun |
|
2018
|
Valuation of guaranteed unitized participating life insurance under GEV distribution. Zbl 06944670
Zheng, Haitao; Hao, Junzhang; Bai, Manying; Zhang, Zhengjun |
|
2018
|
Random threshold driven tail dependence measures with application to precipitation data analysis. Zbl 1362.62199
Zhang, Zhengjun; Zhang, Chunming; Cui, Qiurong |
|
2017
|
Sure explained variability and independence screening. Zbl 1459.62040
Chen, Min; Lian, Yimin; Chen, Zhao; Zhang, Zhengjun |
|
2017
|
An extended sparse max-linear moving model with application to high-frequency financial data. Zbl 07660532
Idowu, Timothy; Zhang, Zhengjun |
|
2017
|
Test for bandedness of high-dimensional precision matrices. Zbl 1384.62179
Cheng, Guanghui; Zhang, Zhengjun; Zhang, Baoxue |
|
2017
|
Copula structured M4 processes with application to high-frequency financial data. Zbl 1443.62295
Zhang, Zhengjun; Zhu, Bin |
|
2016
|
Universal role of quantum uncertainty in Anderson metal-insulator transition. Zbl 1380.81069
Cheng, W. W.; Zhang, Z. J.; Gong, L. Y.; Zhao, S. M. |
|
2016
|
Intrinsically weighted means and non-ergodic marked point processes. Zbl 1440.60040
Malinowski, Alexander; Schlather, Martin; Zhang, Zhengjun |
|
2016
|
Marked point process adjusted tail dependence analysis for high-frequency financial data. Zbl 1407.62388
Malinowski, Alexander; Schlather, Martin; Zhang, Zhengjun |
|
2015
|
Robust-BD estimation and inference for varying-dimensional general linear models. Zbl 1533.62052
Zhang, Chunming; Guo, Xiao; Cheng, Chen; Zhang, Zhengjun |
|
2014
|
Sparse moving maxima models for tail dependence in multivariate financial time series. Zbl 1259.62083
Tang, Rui; Shao, Jun; Zhang, Zhengjun |
|
2013
|
Generalized measures of correlation for asymmetry, nonlinearity, and beyond. Zbl 1443.62169
Zheng, Shurong; Shi, Ning-Zhong; Zhang, Zhengjun |
|
2012
|
Efficient estimation and particle filter for max-stable processes. Zbl 1300.62094
Kunihama, Tsuyoshi; Omori, Yasuhiro; Zhang, Zhengjun |
|
2012
|
Asymptotic theory for fractionally integrated asymmetric power ARCH models. Zbl 1335.62146
Shinki, Kazuhiko; Zhang, Zhengjun |
|
2012
|
A generalized beta copula with applications in modeling multivariate long-tailed data. Zbl 1218.62049
Yang, Xipei; Frees, Edward W.; Zhang, Zhengjun |
|
2011
|
Asymptotic independence of correlation coefficients with application to testing hypothesis of independence. Zbl 1274.62401
Zhang, Zhengjun; Qi, Yongcheng; Ma, Xiwen |
|
2011
|
An extension of max autoregressive models. Zbl 1513.62178
Naveau, Philippe; Zhang, Zhengjun; Zhu, Bin |
|
2011
|
Penalized Bregman divergence estimation via coordinate descent. Zbl 1244.94017
Zhang, Chunming; Zhang, Zhengjun; Chai, Yi |
|
2011
|
On the estimation and application of max-stable processes. Zbl 1181.62150
Zhang, Zhengjun; Smith, Richard L. |
|
2010
|
On approximating max-stable processes and constructing extremal copula functions. Zbl 1205.60102
Zhang, Zhengjun |
|
2009
|
Quotient correlation: a sample based alternative to Pearson’s correlation. Zbl 1133.62041
Zhang, Zhengjun |
|
2008
|
The estimation of M4 processes with geometric moving patterns. Zbl 1184.62147
Zhang, Zhengjun |
|
2008
|
Asymptotically (in)dependent multivariate maxima of moving maxima process. Zbl 1150.60030
Heffernan, Janet E.; Tawn, Jonathan A.; Zhang, Zhengjun |
|
2007
|
Extremal financial risk models and portfolio evaluation. Zbl 1157.62528
Zhang, Zhengjun; Huang, James |
|
2006
|
A new class of tail-dependent time-series models and its applications in financial time series. Zbl 1190.91166
Zhang, Zhengjun |
|
2006
|
The behavior of multivariate maxima of moving maxima processes. Zbl 1122.60052
Zhang, Zhengjun; Smith, Richard L. |
|
2004
|
Monotone piecewise curve fitting algorithms. Zbl 0811.65007
Zhang, Zhengjun; Yang, Ziqiang; Zhang, Chunming |
|
1994
|
