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Efficient portfolio analysis using distortion risk measures
Gouriéroux, Christian; Liu, Wei - 2006
Persistent link: https://www.econbiz.de/10003422288
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Sensitivity analysis of var and expected shortfall for portfolios under netting agreements
Fermanian, Jean-David; Scaillet, Olivier - 2003
Persistent link: https://www.econbiz.de/10001812434
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Sensitivity analysis of distortion risk measures
Gouriéroux, Christian; Liu, Wei - 2006
Persistent link: https://www.econbiz.de/10003468643
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Merits and drawbacks of variance targeting in GARCH models
Francq, Christian; Horváth, Lajos; Zakoïan, Jean-Michel - 2009
Persistent link: https://www.econbiz.de/10003935355
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Multi-level conditional VaR estimation in dynamic models
Francq, Christian; Zakoïan, Jean-Michel - 2014
Persistent link: https://www.econbiz.de/10010390368
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Tails and extremal behaviour of stochastic unit root models
Gouriéroux, Christian; Robert, Christian Yann - 2001
Persistent link: https://www.econbiz.de/10001626924
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Local likelihood density estimation and value at risk
Gouriéroux, Christian; Jasiak, Joann - 2001 - Rev. version
Persistent link: https://www.econbiz.de/10001626927
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Nonparametric estimation in random coefficients binary choice models
Gautier, Eric; Kitamura, Yuichi - 2008
Persistent link: https://www.econbiz.de/10003776129
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Breaking the Curse of Dimensionality in Nonparametric Testing
Lavergne, Pascal; Patilea, Valentin - 2006
Persistent link: https://www.econbiz.de/10003422318