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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
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A subsampling approach to estimating the distribution of diversing statistics with application to assessing financial market risks
Bertail, Patrice (contributor);  … - 2002 - [Elektronische Ressource]
Persistent link: https://www.econbiz.de/10001641513
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Subsampling the distribution of diverging statistics with applications to finance
Bertail, Patrice; Häfke, Christian; Politis, Dimitris N.; … - In: Journal of econometrics 120 (2004) 2, pp. 295-326
Persistent link: https://www.econbiz.de/10002028637
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A Subsampling Approach to Estimating the Distribution of Diversing Statistics with Application to Assessing Financial Market Risks
Bertail, Patrice - 2002
In this paper we propose a subsampling estimator for the distribution of statistics diverging at either known rates when the underlying time series in strictly stationary and strong mixing. Based on our results we provide a detailed discussion how to estimate extreme order statistics with...
Persistent link: https://www.econbiz.de/10012741133
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A Subsampling Approach to Estimating the Distribution of Diverging Statistics with Applications to Assessing Financial Markets Risks
Bertail, Patrice; Haefke, Christian; Politis, Dimitris N,; … - Centre de Recherche en Économie et Statistique … - 2002
Persistent link: https://www.econbiz.de/10005350610
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A Subsampling Approach to Estimating The Distribution of Diverging Statistics with Applications to Assessing Financial Market Risk
Bertail, Patrice; Haefke, Christian; Politis, D N; … - Department of Economics, University of California-San … - 2000
In this paper we propose a subsampling estimator for the distribution of statistics diverging at either known or unknown rates when the underlying time series is strictly stationary and strong mixing. Based on our results we provide a detailed discussion how to estimate extreme order statistics...
Persistent link: https://www.econbiz.de/10010536435
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Subsampling the distribution of diverging statistics with applications to finance
Bertail, Patrice; Haefke, Christian; Politis, Dimitris N.; … - In: Journal of econometrics 120 (2004) 2, pp. 295-326
Persistent link: https://www.econbiz.de/10006757388
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A subsampling approach to estimating the distribution of diversing statistics with application to assessing financial market risks
Bertail, Patrice; Haefke, Christian; Politis, Dimitris N.; … - Department of Economics and Business, Universitat … - 2001
In this paper we propose a subsampling estimator for the distribution of statistics diverging at either known rates when the underlying time series in strictly stationary abd strong mixing. Based on our results we provide a detailed discussion how to estimate extreme order statistics with...
Persistent link: https://www.econbiz.de/10005827491
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Subsampling the distribution of diverging statistics with applications to finance
Bertail, Patrice; Haefke, Christian; Politis, D.N. … - In: Journal of Econometrics 120 (2004) 2, pp. 295-326
Persistent link: https://www.econbiz.de/10005228664