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2. Risk Aggregation with Copula for Banking Industry. (2015). , Toshinaoyoshiba.
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1. Importance Sampling for Credit Portfolio Risk with Risk Factors Having t-Copula. (2017). Yu, Lean ; Wang, ZE ; Chen, Rongda.
   In: International Journal of Information Technology & Decision Making (IJITDM).
   RePEc:wsi:ijitdm:v:16:y:2017:i:04:n:s0219622017500201.

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2. A Flexible Generalised Hyperbolic Option Pricing Model and its Special Cases. (2016). Boris, S T ; Kwok, Simon S ; Yeap, Claudia.
   In: Working Papers.
   RePEc:syd:wpaper:2016-14.

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3. Highly flexible distributions to fit multiple frequency financial returns. (2016). BenSaïda, Ahmed ; Slim, Skander ; Bensaida, Ahmed.
   In: Physica A: Statistical Mechanics and its Applications.
   RePEc:eee:phsmap:v:442:y:2016:i:c:p:203-213.

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4. Volatility and quantile forecasts by realized stochastic volatility models with generalized hyperbolic distribution. (2016). Takahashi, Makoto ; Omori, Yasuhiro ; Watanabe, Toshiaki.
   In: International Journal of Forecasting.
   RePEc:eee:intfor:v:32:y:2016:i:2:p:437-457.

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5. Modelling credit grade migration in large portfolios using cumulative t-link transition models. (2016). Nagao, Risa ; Buzzacchi, Matteo ; Forster, Jonathan J ; Sudjianto, Agus.
   In: European Journal of Operational Research.
   RePEc:eee:ejores:v:254:y:2016:i:3:p:977-984.

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6. Linking Tukey’s legacy to financial risk measurement. (2016). Vijverberg, Wim ; Taspinar, Suleyman ; Tapinar, Suleyman.
   In: Computational Statistics & Data Analysis.
   RePEc:eee:csdana:v:100:y:2016:i:c:p:595-615.

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7. Asymmetry in tail dependence in equity portfolios. (2016). Jondeau, Eric.
   In: Computational Statistics & Data Analysis.
   RePEc:eee:csdana:v:100:y:2016:i:c:p:351-368.

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8. Volatility and Quantile Forecasts by Realized Stochastic Volatility Models with Generalized Hyperbolic Distribution. (2015). Takahashi, Makoto ; Omori, Yasuhiro ; Watanabe, Toshiaki.
   In: CIRJE F-Series.
   RePEc:tky:fseres:2015cf975.

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9. A robust factor analysis model using the restricted skew- $$t$$ t distribution. (2015). Lee, Sharon ; Wu, Pal ; McLachlan, Geoffrey.
   In: TEST: An Official Journal of the Spanish Society of Statistics and Operations Research.
   RePEc:spr:testjl:v:24:y:2015:i:3:p:510-531.

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10. Variance-mean mixture of the multivariate skew normal distribution. (2015). Arslan, Olcay.
    In: Statistical Papers.
    RePEc:spr:stpapr:v:56:y:2015:i:2:p:353-378.

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11. Generalized Hyperbolic Distributions: Empirical Evidence on Bucharest Stock Exchange. (2015). Baciu, Olivia Andreea .
    In: The Review of Finance and Banking.
    RePEc:rfb:journl:v:07:y:2015:i:1:p:007-018.

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12. A Stochastic Volatility Model with GH Skew Student’s t-Distribution: Application to Latin-American Stock Returns. (2015). Rodríguez, Gabriel ; Lengua, Patricia ; Rodriguez, Gabriel ; Bayes, Cristian .
    In: Documentos de Trabajo / Working Papers.
    RePEc:pcp:pucwps:wp00405.

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13. Modeling financial sector joint tail risk in the euro area. (2015). Zhang, Xin ; Schwaab, Bernd ; Lucas, Andre.
    In: Working Paper Series.
    RePEc:hhs:rbnkwp:0308.

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14. Modeling multi-country mortality dependence and its application in pricing survivor index swaps—A dynamic copula approach. (2015). Yang, Sharon S ; Huang, Hong-Chih ; Wang, Chou-Wen.
    In: Insurance: Mathematics and Economics.
    RePEc:eee:insuma:v:63:y:2015:i:c:p:30-39.

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15. Location and scale mixtures of Gaussians with flexible tail behaviour: Properties, inference and application to multivariate clustering. (2015). Forbes, Florence ; Wraith, Darren.
    In: Computational Statistics & Data Analysis.
    RePEc:eee:csdana:v:90:y:2015:i:c:p:61-73.

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16. Alternative Formulation of the Leverage Effect in a Stochastic Volatility Model with Asymmetric Heavy-Tailed Errors. (2015). Deschamps, Philippe.
    In: LIDAM Discussion Papers CORE.
    RePEc:cor:louvco:2015020.

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17. Impact of non-stationarity on estimating and modeling empirical copulas of daily stock returns. (2015). Schafer, Rudi ; Wollschlager, Marcel .
    In: Papers.
    RePEc:arx:papers:1506.08054.

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18. Regime Switching Stochastic Volatility with Skew, Fat Tails and Leverage using Returns and Realized Volatility Contemporaneously. (2014). Trojan, Sebastian .
    In: Economics Working Paper Series.
    RePEc:usg:econwp:2013:41.

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19. Volatility and Quantile Forecasts by Realized Stochastic Volatility Models with Generalized Hyperbolic Distribution. (2014). Takahashi, Makoto ; Omori, Yasuhiro ; Watanabe, Toshiaki.
    In: CIRJE F-Series.
    RePEc:tky:fseres:2014cf949.

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20. Volatility and Quantile Forecasts by Realized Stochastic Volatility Models with Generalized Hyperbolic Distribution. (2014). Takahashi, Makoto ; Omori, Yasuhiro ; Watanabe, Toshiaki ; Shoji, Masahiro.
    In: CIRJE F-Series.
    RePEc:tky:fseres:2014cf921.

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21. Measuring Credit Risk in a Large Banking System: Econometric Modeling and Empirics. (2014). Zhang, Xin ; Schwaab, Bernd ; Lucas, Andre.
    In: Tinbergen Institute Discussion Papers.
    RePEc:tin:wpaper:20130063.

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22. Non-Stationary Stochastic Volatility Model for Dynamic Feedback and Skewness. (2014). Mukhoti, Sujay.
    In: MPRA Paper.
    RePEc:pra:mprapa:62532.

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23. Bayesian modelling of skewness and kurtosis with two-piece scale and shape transformations. (2014). Steel, Mark ; Steel, Mark F. J., ; Rubio, Francisco Javier.
    In: MPRA Paper.
    RePEc:pra:mprapa:57102.

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24. Optimal Portfolio Selection Based on Expected Shortfall Under Generalized Hyperbolic Distribution. (2014). Kurniawan, Ryan ; Surya, Budhi.
    In: Asia-Pacific Financial Markets.
    RePEc:kap:apfinm:v:21:y:2014:i:3:p:193-236.

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25. A transdimensional approximate Bayesian computation using the pseudo-marginal approach for model choice. (2014). Kobayashi, Genya.
    In: Computational Statistics & Data Analysis.
    RePEc:eee:csdana:v:80:y:2014:i:c:p:167-183.

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26. Exponentially Smoothing the Skewed Laplace Distribution for Value‐at‐Risk Forecasting. (2013). Lu, Zudi ; Gerlach, Richard ; Huang, Hai.
    In: Journal of Forecasting.
    RePEc:wly:jforec:v:32:y:2013:i:6:p:534-550.

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27. Bayesian Markov Switching Stochastic Correlation Models. (2013). Sartore, Domenico ; Casarin, Roberto ; Tronzano, Marco.
    In: Working Papers.
    RePEc:ven:wpaper:2013:11.

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28. Conditional euro area sovereign default risk. (2013). Zhang, Xin ; Schwaab, Bernd ; Lucas, Andre.
    In: Working Paper Series.
    RePEc:hhs:rbnkwp:0269.

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29. Scaling, stability and distribution of the high-frequency returns of the Ibex35 index. (2013). Suarez-Garcia, Pablo ; Gomez-Ullate, David .
    In: Physica A: Statistical Mechanics and its Applications.
    RePEc:eee:phsmap:v:392:y:2013:i:6:p:1409-1417.

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30. On the characteristic function for asymmetric Student t distributions. (2013). Chan, Stephen ; Nadarajah, Saralees ; Afuecheta, Emmanuel.
    In: Economics Letters.
    RePEc:eee:ecolet:v:121:y:2013:i:2:p:271-274.

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31. Conditional and joint credit risk. (2013). Zhang, Xin ; Schwaab, Bernd ; Lucas, Andre.
    In: Working Paper Series.
    RePEc:ecb:ecbwps:20131621.

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32. Risk Aggregation by a Copula with a Stressed Condition. (2013). , Toshinaoyoshiba.
    In: Bank of Japan Working Paper Series.
    RePEc:boj:bojwps:13-e-12.

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33. Financial Density Selection. (2012). Sucarrat, Genaro ; Marin, Miguel J.
    In: MPRA Paper.
    RePEc:pra:mprapa:66839.

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34. Generalized beta-generated distributions. (2012). Sarabia, José María ; Alexander, Carol ; Ortega, Edwin M. M., ; Cordeiro, Gauss M..
    In: Computational Statistics & Data Analysis.
    RePEc:eee:csdana:v:56:y:2012:i:6:p:1880-1897.

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35. Stochastic volatility model with leverage and asymmetrically heavy-tailed error using GH skew Student’s t-distribution. (2012). Omori, Yasuhiro ; Nakajima, Jouchi.
    In: Computational Statistics & Data Analysis.
    RePEc:eee:csdana:v:56:y:2012:i:11:p:3690-3704.

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36. Bayesian estimation of generalized hyperbolic skewed student GARCH models. (2012). Deschamps, Philippe.
    In: Computational Statistics & Data Analysis.
    RePEc:eee:csdana:v:56:y:2012:i:11:p:3035-3054.

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37. Generalized Beta-Generated Distributions. (2011). Sarabia, José María ; Alexander, Carol ; Cordeiro, Gauss M. ; Edwin M. M. Ortega, .
    In: ICMA Centre Discussion Papers in Finance.
    RePEc:rdg:icmadp:icma-dp2011-05.

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38. Modeling and forecasting expected shortfall with the generalized asymmetric Student-t and asymmetric exponential power distributions. (2011). Galbraith, John ; Zhu, Dongming.
    In: Journal of Empirical Finance.
    RePEc:eee:empfin:v:18:y:2011:i:4:p:765-778.

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39. Stochastic Volatility Model with Leverage and Asymmetrically Heavy-Tailed Error Using GH Skew Students t-Distribution Models. (2010). Omori, Yasuhiro ; Nakajima, Jouchi.
    In: CIRJE F-Series.
    RePEc:tky:fseres:2010cf738.

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40. Forecasting financial volatility of the Athens stock exchange daily returns: an application of the asymmetric normal mixture GARCH model. (2010). Kouretas, Georgios ; Zarangas, Leonidas P. ; Drakos, Anastassios A..
    In: International Journal of Finance & Economics.
    RePEc:ijf:ijfiec:v:15:y:2010:i:4:p:331-350.

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41. Efficient risk simulations for linear asset portfolios in the t-copula model. (2010). Hormann, Wolfgang ; Leydold, Josef ; Sak, Halis.
    In: European Journal of Operational Research.
    RePEc:eee:ejores:v:202:y:2010:i:3:p:802-809.

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42. Stochastic Volatility Model with Leverage and Asymmetrically Heavy-Tailed Error Using GH Skew Student?s t-Distribution. (2010). Omori, Yasuhiro ; Nakajima, Jouchi.
    In: CARF F-Series.
    RePEc:cfi:fseres:cf215.

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43. A GENERALIZED ASYMMETRIC STUDENT-T DISTRIBUTION WITH APPLICATION TO FINANCIAL ECONOMETRICS. (2009). Galbraith, John ; Zhu, Dongming.
    In: Departmental Working Papers.
    RePEc:mcl:mclwop:2009-02.

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44. FORECASTING EXPECTED SHORTFALL WITH A GENERALIZED ASYMMETRIC STUDENT-T DISTRIBUTION. (2009). Galbraith, John ; Zhu, Dongming.
    In: Departmental Working Papers.
    RePEc:mcl:mclwop:2009-01.

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45. Forecasting Expected Shortfall with a Generalized Asymmetric Student-t Distribution. (2009). Galbraith, John ; Zhu, Dongming.
    In: CIRANO Working Papers.
    RePEc:cir:cirwor:2009s-24.

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46. A Generalized Asymmetric Student-t Distribution with Application to Financial Econometrics. (2009). Galbraith, John ; Zhu, Dongming.
    In: CIRANO Working Papers.
    RePEc:cir:cirwor:2009s-13.

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47. Multivariate stochastic volatility. (2007). Omori, Yasuhiro ; Asai, Manabu ; Chib, Siddhartha.
    In: CIRJE F-Series.
    RePEc:tky:fseres:2007cf488.

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48. Asymmetric power distribution: Theory and applications to risk measurement. (2007). Komunjer, Ivana.
    In: Journal of Applied Econometrics.
    RePEc:jae:japmet:v:22:y:2007:i:5:p:891-921.

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49. Are Correlations Constant Over Time? Application of the CC-TRIGt-test to Return Series from Different Asset Classes.. (2007). Fischer, Matthias.
    In: SFB 649 Discussion Papers.
    RePEc:hum:wpaper:sfb649dp2007-012.

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50. Multivariate stochastic volatility (Revised in May 2007, Handbook of Financial Time Series (Published in Handbook of Financial Time Series (eds T.G. Andersen, R.A. Davis, Jens-Peter Kreiss and T. Mikosch), 365-400. Springer-Verlag: New York. April 2009. ). (2007). Omori, Yasuhiro ; Asai, Manabu ; Chib, Siddhartha.
    In: CARF F-Series.
    RePEc:cfi:fseres:cf094.

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