The Canadian Journal of Statistics / La Revue Canadienne de Statistique Necessary and sufficient conditions are given for the covariance structure of all the observations in a multivariate factorial ...

Motivated by the need for a positive-semidefinite estimator of multivariate realized covariance matrices, we model noisy and asynchronous ultra-high-frequency asset prices in a state-space framework ...

Data clustering is the process of grouping data items so that similar items are placed in the same cluster. There are several different clustering techniques, and each technique has many variations.

Appropriate modeling of time-varying dependencies is very important for quantifying financial risk, such as the risk associated with a portfolio of financial assets. Most of the papers analyzing ...

This paper presents a discrete random-field model for forward prices driven by the multivariate normal inverse Gaussian distribution. The model captures the idiosyncratic risk and adequately addresses ...