1 citations · 2 across the 3 of their papers we have counts for
4 papers
Efficient estimation of parameters in marginals in semiparametric multivariate models
Ivan Medovikov, Valentyn Panchenko, Artem Prokhorov
We consider a general multivariate model where univariate marginal distributions are known up to a parameter vector and we are interested in estimating that parameter vector withou…
When does the stock market listen to economic news? New evidence from copulas and news wires
Ivan Medovikov
We study association between macroeconomic news and stock market returns using the statistical theory of copulas, and a new comprehensive measure of news based on the indexing of n…
Can Analysts Predict Rallies Better Than Crashes?
Ivan Medovikov
We use the copula approach to study the structure of dependence between sell-side analysts' consensus recommendations and subsequent security returns, with a focus on asymmetric ta…
Non-Parametric Weighted Tests for Independence Based on Empirical Copula Process
Ivan Medovikov
We propose a class of flexible non-parametric tests for the presence of dependence between components of a random vector based on weighted Cramér-von Mises functionals of the empir…