2 papers
stat.ME2025
Model selection tests for truncated vine copulas under nested hypotheses
Ichiro Nishi, Yoshinori Kawasaki
Vine copulas, constructed using bivariate copulas as building blocks, provide a flexible framework for modeling multi-dimensional dependencies. However, this flexibility is accompa…
stat.AP2021
GARCH-UGH: A bias-reduced approach for dynamic extreme Value-at-Risk estimation in financial time series
Hibiki Kaibuchi, Yoshinori Kawasaki, Gilles Stupfler
The Value-at-Risk (VaR) is a widely used instrument in financial risk management. The question of estimating the VaR of loss return distributions at extreme levels is an important…