This paper considers a bivariate operational risk cell model, in which the loss severities are modeled by some heavy-tailed and weakly (or strongly) dependent non-negative random variables, and the frequency processes are described by two arbitrarily dependent general counting processes. In such...

This paper considers some univariate and multivariate operational risk models, in which the loss severities are modelled by some weakly tail dependent and heavy-tailed positive random variables, and the loss frequency processes are some general counting processes. In such models, we derive some...

In this paper, we consider a class of time-varying panel data models with individual-specific regression coefficients and common factors where both the serial correlation and cross-sectional dependence among error terms can be present. Based on an initial estimator of factors, we propose a...

This paper establishes asymptotic properties for spiked empirical eigenvalues of sample co- variance matrices for high-dimensional data with both cross-sectional dependence and a dependent sample structure. A new finding from the established theoretical results is that spiked empirical...