A New Bootstrap Test for the Validity of a Set of Marginal Models for Multiple Dependent Time Series: an Application to Risk Analysis
Year of publication: |
2014
|
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Authors: | Ardia, David ; Gatarek, Lukasz ; hoogerheide, Lennart F. |
Institutions: | Centre Interuniversitaire sur le Risque, les Politiques Économiques et l'Emploi (CIRPÉE) |
Subject: | Bootstrap test | GARCH | Marginal models | Multiple time series | Value-at-Risk |
Extent: | application/pdf |
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Series: | |
Type of publication: | Book / Working Paper |
Classification: | C1 - Econometric and Statistical Methods: General ; C12 - Hypothesis Testing ; C22 - Time-Series Models ; C44 - Statistical Decision Theory; Operations Research |
Source: |
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Ardia, David, (2014)
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Ardia, David, (2014)
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Ardia, David, (2014)
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