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"Nearest-Neighbor Mixture Models for Non-Gaussian Spatial Processes" by Xiaotian Zheng, Athanasios Kottas et al.

We develop a class of nearest-neighbor mixture models that provide direct, computationally efficient, probabilistic modeling for non-Gaussian geospatial data. The class is defined over a directed acyclic graph, which implies conditional independence in representing a multivariate distribution through factorization into a product of univariate conditionals, and is extended to a full spatial process. We model each conditional as a mixture of spatially varying transition kernels, with locally adaptive weights, for each one of a given number of nearest neighbors. The modeling framework emphasizes direct spatial modeling of non-Gaussian data, in contrast with approaches that introduce a spatial process for transformed data, or for functionals of the data probability distribution. We study model construction and properties analytically through specification of bivariate distributions that define the local transition kernels. This provides a general strategy for modeling different types of no

Mediterranean-sea
Oceans-general
Oceans
Bayesian-hierarchical-models
Copulas
Markov-chain-monte-carlo
Spatial-statistics
Ail-dependence

How to build a risk factor model for non-life-insurance risk

In this paper the authors present a dependence model for non-life-insurance risk based on risk factors, analogous to those generally used for life insurance or

Risk-aggregation
Risk-factors
Ependence-structures
Copulas
Solvency-ii
Original-research

Time-varying tail dependence networks of financial institutions

In this paper time-varying tail dependence networks are constructed to investigate the complex interdependencies in the financial system.

China
Chinese
Systemic-risk
Financial-institutions
Ail-dependence
Copulas
Network-analysis
Original-research

Reinvestigating international crude oil market risk spillovers

This paper develops a copula-GARCH-MIDAS model to estimate the joint probability distribution of multivariate variables, and then derives CoVaR-type risk

China
Chinese
Oil-market
Financial-markets
Conditional-value-at-risk-cvar
Generalised-autoregressive-conditional-heteroscedasticity-garch-
Copulas
Original-research

Systemic risk of the Chinese stock market based on the mobility measures of the marginal expected shortfall

This paper applies the dynamic mixture copula model method and proposes a mobility measure of the marginal expected shortfall to depict the changing systemic

China
Hong-kong
Systemic-risk
Copulas
Expected-shortfall-es-
Financial-crisis
Original-research

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