34 citations · 159 across the 12 of their papers we have counts for
12 papers
Dynamic Bivariate Normal Copula
Xin Liao, Liang Peng, Zuoxiang Peng +1
Normal copula with a correlation coefficient between and is tail independent and so it severely underestimates extreme probabilities. By letting the correlation coefficien…
Test for a Mean Vector with Fixed or Divergent Dimension
Liang Peng, Yongcheng Qi, Fang Wang
It has been a long history in testing whether a mean vector with a fixed dimension has a specified value. Some well-known tests include the Hotelling -test and the empirical l…
Inference for a Special Bilinear Time Series Model
Shiqing Ling, Liang Peng, Fukang Zhu
It is well known that estimating bilinear models is quite challenging. Many different ideas have been proposed to solve this problem. However, there is not a simple way to do infer…
Predictive regressions for macroeconomic data
Fukang Zhu, Zongwu Cai, Liang Peng
Researchers have constantly asked whether stock returns can be predicted by some macroeconomic data. However, it is known that macroeconomic data may exhibit nonstationarity and/or…
Maxima of a triangular array of multivariate Gaussian sequence
Enkelejd Hashorva, Liang Peng, Zhichao Weng
It is known that the normalized maxima of a sequence of independent and identically distributed bivariate normal random vectors with correlation coefficient is asympt…
Estimation of Extreme Quantiles for Functions of Dependent Random Variables
Jinguo Gong, Yadong Li, Liang Peng +1
We propose a new method for estimating the extreme quantiles for a function of several dependent random variables. In contrast to the conventional approach based on extreme value t…