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Causal inference for statistics, social and biomedical sciences : an introduction
Imbens, Guido; Rubin, Donald B. - 2015
Persistent link: https://www.econbiz.de/10013500124
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False discovery in A/B testing
Berman, Ron; Van Den Bulte, Christophe - In: Management science : journal of the Institute for … 68 (2022) 9, pp. 6762-6782
Persistent link: https://www.econbiz.de/10013373107
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Models for exceedances over high thresholds
Davison, Anthony C. - In: Journal of the Royal Statistical Society 52 (1990) 3, pp. 393-442
Persistent link: https://www.econbiz.de/10001095388
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Extremes in statistics and econometrics
Ooorschot, Jochem - 2022
Persistent link: https://www.econbiz.de/10013279731
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A statistical methodology for assessing the maximal strength of tail dependence
Sun, Ning; Yang, Chen; Zitikis, Ričardas - In: ASTIN bulletin : the journal of the International … 50 (2020) 3, pp. 799-825
Persistent link: https://www.econbiz.de/10012307385
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Stochastic tail index model for high frequency financial data with Bayesian analysis
Mao, Guangyu; Zhang, Zhengjun - In: Journal of econometrics 205 (2018) 2, pp. 470-487
Persistent link: https://www.econbiz.de/10012110325
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Advances in mathematical and statistical modeling
Arnold, Barry C. (ed.) - 2008
Persistent link: https://www.econbiz.de/10013536853
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Forecasting VaR models under different volatility processes and distributions of return innovations
Dendramis, Yiannis; Spungin, Giles E.; Tzavalis, Elias - In: Journal of forecasting 33 (2014) 7, pp. 515-531
Persistent link: https://www.econbiz.de/10011282095
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Dual sourcing under heavy-tailed demand : an extreme value theory approach
Biçer, Işık - In: International journal of production research 53 (2015) 16, pp. 4979-4992
Persistent link: https://www.econbiz.de/10011344448
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Tail behavior of credit loss distributions for general latent factor models
Lucas, André; Klaassen, Pieter; Spreij, Peter; … - 2001
Using a limiting approach to portfolio credit risk, we obtain analyticexpressions for the tail behavior of the distribution of credit losses. We showthat in many cases of practical interest the distribution of these losses haspolynomial ('fat') rather than exponential ('thin') tails. Our...
Persistent link: https://www.econbiz.de/10011316891