Ivor Cribben

University of Alberta - Department of Finance and Statistical Analysis

2-32C Business Building

Edmonton, Alberta T6G 2R6

Canada

SCHOLARLY PAPERS

3

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Scholarly Papers (3)

1.

Towards Estimating Extremal Serial Dependence Via the Bootstrapped Extremogram

Journal of Econometrics, Vol. 170, No. 1, 2012, University of Alberta School of Business Research Paper No. 2013-203
Posted: 23 May 2013 Last Revised: 30 May 2013
Richard A. Davis, Thomas Mikosch and Ivor Cribben
Columbia University, University of Copenhagen - Laboratory of Actuarial Mathematics and University of Alberta - Department of Finance and Statistical Analysis

Abstract:

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Extremogram, Extremal dependence, Stationary bootstrap, Financial time series

2.

Estimating Extremal Dependence in Univariate and Multivariate Time Series via the Extremogram

University of Alberta School of Business Research Paper No. 2013-202
Posted: 23 May 2013 Last Revised: 30 May 2013
Richard A. Davis, Thomas Mikosch and Ivor Cribben
Columbia University, University of Copenhagen - Laboratory of Actuarial Mathematics and University of Alberta - Department of Finance and Statistical Analysis

Abstract:

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Extremogram, extremal dependence, stationary bootstrap

3.

Dynamic Connectivity Regression: Determining State-Related Changes in Brain Connectivity

NeuroImage, Volume 61, Issue 4, 2012, University of Alberta School of Business Research Paper No. 20132013-201
Posted: 23 May 2013 Last Revised: 13 Jun 2013
University of Alberta - Department of Finance and Statistical Analysis, Columbia University, New York University (NYU), University of Colorado at Boulder and Columbia University

Abstract:

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Functional connectivity, Graphical lasso, Regression trees, Change point analysis, fMRI