1 citations · 1 across the 2 of their papers we have counts for
3 papers
Vector Vine Copula Models for Multivariate Longitudinal Data
Michael Stanley Smith, Lin Deng
Multivariate longitudinal data may exhibit non-Gaussian margins, nonlinear dynamics, and response vectors with composition that varies across waves. To account for these features,…
A Tractable Unified Skew-t Distribution and Its Copula for Heterogeneous Asymmetries
Lin Deng, Michael Stanley Smith, Worapree Maneesoonthorn
Multivariate distributions that allow for asymmetry and heavy tails are important building blocks in many econometric and statistical models. The Unified Skew-t (UST) is a promisin…
Large Skew-t Copula Models and Asymmetric Dependence in Intraday Equity Returns
Lin Deng, Michael Stanley Smith, Worapree Maneesoonthorn
Skew-t copula models are attractive for the modeling of financial data because they allow for asymmetric and extreme tail dependence. We show that the copula implicit in the skew-t…