Multivariate models more general than the standard multivariate linear model have received considerable attention in both the statistical and econometric literature; see Srivastava (1966, 1967, 1968) ...

We develop an approach to approximate the multivariate distribution of time-aggregated stock returns in the generalized autoregressive conditional heteroscedasticity (GARCH) context. The approach ...

Recent advances in estimation techniques have underscored the growing importance of shrinkage estimation and balanced loss functions in the analysis of multivariate normal distributions. These ...

Appropriate modeling of time-varying dependencies is very important for quantifying financial risk, such as the risk associated with a portfolio of financial assets. Most of the papers analyzing ...

Extreme Value Theory (EVT) offers a rigorous framework for the statistical analysis of rare, high-impact events by focusing on the tail behaviour of distributions. This theory underpins methodologies ...