Bayesian nonparametric mixture models represent a powerful statistical framework that extends traditional mixture modelling by allowing the number of mixture components to be inferred from the data ...

Numerous advances in the modeling techniques of value-at-risk (VaR) have provided financial institutions with a wide range of market risk approaches. However, which model to use depends on the state ...

Nonparametric tests are popular and efficient methods of detecting jumps in high- frequency financial data. Each method has its own advantages and disadvantages, and their performances may be affected ...