Large one-off events cause large changes in prices, but may not affect the volatility and correlation dynamics as much as smaller events. In such cases, standard volatility models may deliver biased covariance forecasts. We propose a multivariate volatility forecasting model that is accurate in...

In this paper we define the class of conditional strong N-demimartingales given a σ-field F. This class includes the partial sum of F-negatively associated random variables as a special case. For functions of conditional strong N-demimartingales we compare the conditional expectation with the...

Spatial characterization of non-Gaussian attributes in earth sciences and engineering commonly requires the estimation of their conditional distribution. The indicator and probability kriging approaches of current nonparametric geostatistics provide approximations for estimating conditional...