Similar Search Results

Modeling autoregressive conditional skewness and kurtosis with multi-quantile CAViaR

White, Halbert; Kim, Tae-Hwan; Manganelli, Simone - 2008

new methods to estimate measures of conditional skewness and kurtosis defined in terms of conditional quantiles, analogous … to the unconditional quantile-based measures of skewness and kurtosis studied by Kim and White (2004). We investigate the … performance of our methods by simulation, and we apply MQ-CAViaR to study conditional skewness and kurtosis of S&P 500 daily …

Persistent link: https://www.econbiz.de/10011605003

Using BS-PSD-LDA approach to measure operational risk of Chinese commercial banks

Wang, Zongrun; Wang, Wuchao; Chen, Xiaohong; Jin, Yanbo; … - In: Economic modelling 29 (2012) 6, pp. 2095-2103

Persistent link: https://www.econbiz.de/10009673862

Asymptotic distribution theory for nonparametric entropy measures of serial dependence

Hong, Yongmiao; White, Halbert - In: Econometrica : journal of the Econometric Society, an … 73 (2005) 3, pp. 837-901

Persistent link: https://www.econbiz.de/10002876743

Can mutual fund "stars" really pick stocks? : new evidence from a bootstrap analysis

Kosowski, Robert L.; Timmermann, Allan; Wermers, Russ; … - In: The journal of finance : the journal of the American … 61 (2006) 6, pp. 2551-2596

Persistent link: https://www.econbiz.de/10003398481

Maximum likelihood and the bootstrap for nonlinear dynamic models

Gonçalves, Sílvia; White, Halbert - 2002

Persistent link: https://www.econbiz.de/10001659303

Dangers of data mining : the case of calendar effects in stock returns

Sullivan, Ryan; Timmermann, Allan; White, Halbert - In: Journal of econometrics 105 (2001) 1, pp. 249-286

Persistent link: https://www.econbiz.de/10001617167

Data-snooping, technical trading rule performance, and the bootstrap

Sullivan, Ryan; Timmermann, Allan; White, Halbert - In: The journal of finance : the journal of the American … 54 (1999) 5, pp. 1647-1691

Persistent link: https://www.econbiz.de/10001430863

Maximum likelihood and the bootstrap for nonlinear dynamic models

Gonçalves, Sílvia; White, Halbert - In: Journal of econometrics 119 (2004) 1, pp. 199-219

Persistent link: https://www.econbiz.de/10001944127

Maximum likelihood and the bootstrap for nonlinear dynamic models

Gonçalves, Sílvia; White, Halbert - 2000

Persistent link: https://www.econbiz.de/10001539325

Likelihood inference in some finite mixture models

Chen, Xiaohong; Northwestern University / Department of … - In: Journal of econometrics 182 (2014) 1, pp. 87-99

Persistent link: https://www.econbiz.de/10010497117