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Search: subject:"skewed distributions"
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Skewed distributions
11
skewed distributions
11
Statistical distribution
6
Statistische Verteilung
6
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6
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6
Markov chain Monte Carlo
3
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3
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3
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Dillenberger, David
4
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4
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2
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1
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1
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1
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1
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1
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1
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Kan, Betül
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1
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Sørensen, Ole
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1
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RePEc
20
ECONIS (ZBW)
7
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1
A comparison of market risk measures from a twofold perspective : accurate and loss function
Muela, Sonia Benito
;
López-Martin, Carmen
; …
- In:
ACRN journal of finance and risk perspectives
11
(
2022
),
pp. 79-104
Under the new regulation based on Basel solvency framework, known as Basel III and Basel IV, financial institutions must calculate the market risk capital requirements based on the Expected Shortfall (ES) measure, replacing the Value at Risk (VaR) measure. In the financial literature, there are...
Persistent link: https://www.econbiz.de/10014235034
Saved in:
2
LGD and RR modeling : comparison of models
Tuysuz, Sukriye
- In:
Risk and decision analysis
8
(
2021
)
3/4
,
pp. 77-101
Persistent link: https://www.econbiz.de/10013173224
Saved in:
3
Lining up : survey and administrative data estimates of wealth concentration
Kennickell, Arthur B.
-
2017
The Survey of Consumer Finances (SCF) has a dual-frame sample design that supplements a standard area-probability frame with a sample of observations drawn from statistical records derived from tax returns. The tax-based frame is stratified on the basis of a "wealth index" constructed largely...
Persistent link: https://www.econbiz.de/10011708254
Saved in:
4
Backtesting extreme value theory models of expected shortfall
Novales, Alfonso
;
Garcia-Jorcano, Laura
- In:
Quantitative finance
19
(
2019
)
5
,
pp. 799-825
Persistent link: https://www.econbiz.de/10012194717
Saved in:
5
Skewed Noise
Segal, Uzi
;
Dillenberger, David
-
Department of Economics, Boston College
-
2013
skewed
distributions
. We then use this result to provide conditions under which a decision maker who always rejects symmetric …
Persistent link: https://www.econbiz.de/10010897942
Saved in:
6
Skewed noise
Dillenberger, David
;
Segal, Uzi
- In:
Journal of economic theory
169
(
2017
),
pp. 344-364
Persistent link: https://www.econbiz.de/10011747758
Saved in:
7
Bayesian Estimation of Generalized Hyperbolic Skewed Student GARCH Models
Deschamps, Philippe J.
-
Departement für Quantitative Wirtschaftsforschung, …
-
2011
Efficient posterior simulators for two GARCH models with generalized hyperbolic disturbances are presented. The first model, GHt-GARCH, is a threshold GARCH with a skewed and heavy-tailed error distribution; in this model, the latent variables that account for skewness and heavy tails are...
Persistent link: https://www.econbiz.de/10009367387
Saved in:
8
Skewed Noise
Dillenberger, David
;
Segal, Uzi
-
Department of Economics, University of Pennsylvania
-
2015
probability and has an average value p. We propose and characterize a new notion of
skewed
distributions
, and use a recursive non …
Persistent link: https://www.econbiz.de/10011204502
Saved in:
9
Forecasting VaR models under different volatility processes and distributions of return innovations
Dendramis, Yiannis
;
Spungin, Giles E.
;
Tzavalis, Elias
- In:
Journal of forecasting
33
(
2014
)
7
,
pp. 515-531
Persistent link: https://www.econbiz.de/10011282095
Saved in:
10
Do regulators overestimate the costs of regulation?
Simpson, R. David
- In:
Journal of benefit-cost analysis : JBCA
5
(
2014
)
2
,
pp. 315-332
Persistent link: https://www.econbiz.de/10010475682
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