affiliation not provided to SSRN
Characteristic function, Conditional independence, Dependence measure, Asymmetric
Matrix-variate time series, Multilevel factor model, Eigenanalysis, Dimension reduction
Count time series, INARCH model, Negative binomial distribution, Time-varying coefficient, Bond default
Mean-variance optimization, Optimal return, Optimal portfolio allocation, Factor model, Large random matrix
Leverage effect, Generalized measures of correlation, SSE indexes, Returns and the changes of volatility, "V" curve pattern
Grain futures market, Tail risk contagion, CAViaR, QVAR
