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Commodity value-at-risk modeling : comparing riskmetrics, historic simulation and quantile regression
Steen, Marie; Westgaard, Sjur; Gjølberg, Ole - In: The journal of risk model validation 9 (2015) 2, pp. 49-78
Persistent link: https://www.econbiz.de/10011326305
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On the correlation between commodity and equity returns : implications for portfolio allocation
Lombardi, Marco; Ravazzolo, Francesco - 2013
Persistent link: https://www.econbiz.de/10009782578
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Using agentization for exploring firm and labor dynamics : a methodological tool for theory exploration and validation
Guerrero, Omar A.; Axtell, Robert L. - In: Emergent results of artificial economics : [... in its …, (pp. 139-150). 2011
Persistent link: https://www.econbiz.de/10009235224
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Estimating the percentiles of some misspecified non-nested distributions
Bai, Jun; Jakeman, Anthony J.; McAleer, Michael - 1992
Persistent link: https://www.econbiz.de/10000840204
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Autoregressive conditional density estimation
Hansen, Bruce E. - 1992
Persistent link: https://www.econbiz.de/10000840704
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Consistent empirical estimators of multivariate extreme value distribution
Haan, Laurens de; Resnick, Sidney I. - 1991
Persistent link: https://www.econbiz.de/10000842077
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Bayes factors for nonlinear hypotheses and likelihood distributions
McCulloch, Robert E.; Rossi, Peter E. - 1991
Persistent link: https://www.econbiz.de/10000809505
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A new approach to maximum likelihood estimation of the three-parameter gamma and Weibull distributions
Bai, Jun; Jakeman, Anthony J.; McAleer, Michael - 1991
Persistent link: https://www.econbiz.de/10000817339
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Nonparametric conditional density : estimation: overview and applications
Castronova, Edward - 1990
Persistent link: https://www.econbiz.de/10000820440
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Martingale densities for general asset prices
Schweizer, Martin - 1991
Persistent link: https://www.econbiz.de/10000825147