Narrow search
Showing 1 - 10 of 248
Cover Image
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
Cover Image
Sensitivity analysis of distortion risk measures
Gouriéroux, Christian; Liu, Wei - 2006
Persistent link: https://www.econbiz.de/10003468643
Cover Image
Merits and drawbacks of variance targeting in GARCH models
Francq, Christian; Horváth, Lajos; Zakoïan, Jean-Michel - 2009
Persistent link: https://www.econbiz.de/10003935355
Cover Image
Multi-level conditional VaR estimation in dynamic models
Francq, Christian; Zakoïan, Jean-Michel - 2014
Persistent link: https://www.econbiz.de/10010390368
Cover Image
Tails and extremal behaviour of stochastic unit root models
Gouriéroux, Christian; Robert, Christian Yann - 2001
Persistent link: https://www.econbiz.de/10001626924
Cover Image
Local likelihood density estimation and value at risk
Gouriéroux, Christian; Jasiak, Joann - 2001 - Rev. version
Persistent link: https://www.econbiz.de/10001626927
Cover Image
On the estimation of the joint distribution in regression models with censored responses
Lopez, Olivier - 2007
Persistent link: https://www.econbiz.de/10003592151
Cover Image
Nonparametric density and regression estimation for nonmixing stochastic processes
Lardjane, Salim - 2002
Persistent link: https://www.econbiz.de/10001720893
Cover Image
A subsampling approach to estimating the distribution of diverging statistics with applications to assessing financial market risks
Bertail, Patrice; Häfke, Christian; Politis, Dimitris N.; … - 2002
Persistent link: https://www.econbiz.de/10001720937
Cover Image
Densitiy estimation in a separable metric space
Dabo-Niang, Sophie - 2001
Persistent link: https://www.econbiz.de/10001640928