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stat.ME2022
Margin-closed vector autoregressive time series models
Lin Zhang, Harry Joe, Natalia Nolde
Conditions are obtained for a Gaussian vector autoregressive time series of order , VAR(), to have univariate margins that are autoregressive of order or lower-dimensiona…
math.ST2022★ 3 cited
An extreme value approach to CoVaR estimation
Natalia Nolde, Chen Zhou, Menglin Zhou
The global financial crisis of 2007-2009 highlighted the crucial role systemic risk plays in ensuring stability of financial markets. Accurate assessment of systemic risk would ena…