5 citations · 5 across the 2 of their papers we have counts for
3 papers
q-fin.CP2020
Asymptotic expansion for the transition densities of stochastic differential equations driven by the gamma processes
Fan Jiang, Xin Zang, Jingping Yang
In this paper, enlightened by the asymptotic expansion methodology developed by Li(2013b) and Li and Chen (2016), we propose a Taylor-type approximation for the transition densitie…
math.ST2017
A family of transformed copulas with singular component
Jiehua Xie, Jingping Yang, Wenhao Zhu
In this paper, we present a family of bivariate copulas by transforming a given copula function with two increasing functions, named as transformed copula. One distinctive characte…
math.ST2013★ 5 cited
Weighted estimation of the dependence function for an extreme-value distribution
Liang Peng, Linyi Qian, Jingping Yang
Bivariate extreme-value distributions have been used in modeling extremes in environmental sciences and risk management. An important issue is estimating the dependence function, s…