Nonparametric Tests Dependence For Positive Quadrant
Year of publication: |
2002-03
|
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Authors: | DENUIT, Michel ; SCAILLET, Olivier |
Institutions: | Swiss Finance Institute |
Subject: | Nonparametric | Stochastic Ordering | Positive Quadrant Dependence | Positive Orthant Dependence | Copula | Inequality constraint | Inequality constraint test | Risk management | Loss severity distribution |
Extent: | application/pdf |
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Series: | |
Type of publication: | Book / Working Paper |
Language: | English |
Classification: | C12 - Hypothesis Testing ; D81 - Criteria for Decision-Making under Risk and Uncertainty ; G10 - General Financial Markets. General ; G21 - Banks; Other Depository Institutions; Mortgages ; G22 - Insurance; Insurance Companies |
Source: |
-
Nonparametric Tests for Positive Quadrant Dependence
DENUIT, Michel, (2001)
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A Kolmogorov-Smirnov Type Test for Positive Quadrant Dependence
Scaillet, Olivier, (2005)
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Testing for Concordance Ordering
CEBRIÁN, Ana C., (2002)
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A Kolmogorov-Smirnov type test for shortfall dominance against parametric alternatives
Denuit, Michel, (2005)
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Testing for Concordance Ordering
CEBRIÁN, Ana C., (2002)
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Nonparametric Estimation of Conditional Expected Shortfall
SCAILLET, Olivier, (2004)
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