Items where authors include "McNeil, Alexander John"

Article

Balter, Janine and McNeil, Alexander John orcid.org/0000-0002-6137-2890 (2024) Multivariate Spectral Backtests of Forecast Distributions under Unknown Dependencies. Risks. 13. ISSN 2227-9091

Bladt, Martin and McNeil, Alexander John orcid.org/0000-0002-6137-2890 (2022) Time series copula models using d-vines and v-transforms. Econometrics and Statistics. 27-48. ISSN 2452-3062

McNeil, Alexander John orcid.org/0000-0002-6137-2890, Nešlehová, Johanna and smith, Andrew (2022) On attainability of Kendall's tau matrices and concordance signatures. Journal of Multivariate Analysis. 105033. ISSN 0047-259X

McNeil, Alexander John orcid.org/0000-0002-6137-2890 and Bladt, Martin (2022) Time series with infinite-order partial copula dependence. Dependence Modeling. 87–107. ISSN 2300-2298

McNeil, Alexander John orcid.org/0000-0002-6137-2890 (2021) Modelling volatile time series with v-transforms and copulas. Risks. 14. ISSN 2227-9091

McNeil, Alexander John orcid.org/0000-0002-6137-2890 and Gordy, Michael (2020) Spectral backtests of forecast distributions with application to risk management. Journal of Banking and Finance. 105817. ISSN 1872-6372

McNeil, Alexander John orcid.org/0000-0002-6137-2890 and Balter, Janine Christine (2018) On the Basel Liquidity Formula for Elliptical Distributions. Risks. pp. 1-14. ISSN 2227-9091

Kratz, Marie, Lok, Yen Hsiao and McNeil, Alexander John orcid.org/0000-0002-6137-2890 (2018) Multinomial VaR Backtests:A simple implicit approach to backtesting expected shortfall. Journal of Banking and Finance. JBF-D-16-01251R1. pp. 393-407. ISSN 1872-6372