Narrow search
Showing 1 - 10 of 2,611
Cover Image
Comparison of tail index estimators
Haan, Laurens de; Lian, Peng - 1995
Persistent link: https://www.econbiz.de/10000910491
Cover Image
Multivariate stochastic volatility
Daníelsson, Jón - 1995
Persistent link: https://www.econbiz.de/10000913125
Cover Image
Using a bootstrap method to choose the sample fraction in tail index estimation
Daníelsson, Jón (contributor) - 1997
Persistent link: https://www.econbiz.de/10000953451
Cover Image
Estimating the index of a stable distribution
Haan, Laurens de; Pereira, T. Themido - 1997
Persistent link: https://www.econbiz.de/10000959255
Cover Image
Two properties of predicted probabilities in discrete regression models
Cramer, Jan S. - 1997
Persistent link: https://www.econbiz.de/10000960568
Cover Image
Stratified partial likelihood estimation
Ridder, Geert; Tunali, İnsan - 1997
Persistent link: https://www.econbiz.de/10000976078
Cover Image
Cointegration testing using pseudo likelihood ratio tests
Lucas, André - 1995
Persistent link: https://www.econbiz.de/10000918273
Cover Image
How to make a Hill plot
Drees, Holger; Haan, Laurens de; Resnick, Sidney I. - 1998
Persistent link: https://www.econbiz.de/10000991204
Cover Image
Tail behavior of credit loss distributions for general latent factor models
Lucas, André; Klaassen, Pieter; Spreij, Peter; … - 2001
Using a limiting approach to portfolio credit risk, we obtain analyticexpressions for the tail behavior of the distribution of credit losses. We showthat in many cases of practical interest the distribution of these losses haspolynomial ('fat') rather than exponential ('thin') tails. Our...
Persistent link: https://www.econbiz.de/10011316891
Cover Image
Value-at-risk and extreme returns
Daníelsson, Jón; Vries, Casper G. de - 1998
Persistent link: https://www.econbiz.de/10000980737