- Kunihama, T., Omori, Y., and Zhang, Z. (2011), Bayesian
estimation and particle filter for max-stable processes.
- Naveau, P., Zhang, Z., and Zhu, B. (2011), An Extension of Max
Autoregressive Models.
- Yang, X., Frees, J., and Zhang, Z. (2011), A generalized beta
copula with applications in modeling multivariate long-tailed data.
Insurance: Mathemtaics and Economics. 49, 265-284.
- Zhang, Z. and Smith, R. L. (2010), On the estimation and
application of max-stable processes,
- Zhang, Z. (2009), On approximating max-stable processes and
constructing extremal copula functions,
Statistical
Inference for
Stochastic Processes,
12,
89-114.
An earlier version PDF file
click here.
- Zhang, Z. (2008), Quotient correlation: a sample
based
alternative to Pearson's correlation,
Annals of Statistics,
36,
1007-1030.
An earlier version PDF
file click here.
- Zhang, Z. (2008), The estimation of M4 processes with
geometric moving
patterns,
Ann. Instit. Stat. Math.,
60, 121-150.
- Heffernan, J. E., Tawn, J. A., and Zhang, Z. (2007),
Asymptotically (in)dependent multivariate maxima of moving maxima
processes,
Extremes,
10,
57-82.
An earlier version PDF click here.
- Zhang, Z. and Shinki, K. (2006), Extreme co-movements and extreme
impacts in high frequency data in finance,
Journal of Banking and Finance,
31, 1399-1415.
Note:
A top ranked journal in the field of
finance.
An
earlier version PDF
click here.
- Zhang, Z. and Huang, J. (2006), Extremal fiancial risk model and
portfolio evaluation,
Computational
Statistics and Data Analysis,
51, 2313-2338.
An earlier version PDF click here.
- Zhang, Z. (2005), A new class of tail-dependent time series
models and
its applications in financial time series,
Advances in
Econometrics,
20(B), 323-358.
An earlier version PDF click here.
- Zhang, Z. and Smith, R.L. (2004), The behavior of multivariate
maxima
of moving maxima processes,
Journal of Applied Probability
,
41, 1113-1123.
An earlier version PDF click here.