Similar Search Results

Uniform distance between the distribution function of Hill's estimator and the normal distribution function

Cheng, Shihong; Haan, Laurens de; Huang, Xin - 1993

Persistent link: https://www.econbiz.de/10000893853

Test on association of random variables in the domain of attraction of multivariate stable law

Račev, Svetlozar T.; Huang, Xin - 1991

Persistent link: https://www.econbiz.de/10000842026

A reduced form framework for modeling volatility of speculative prices based on realized variation measures

Andersen, Torben; Bollerslev, Tim; Huang, Xin - In: Journal of econometrics 160 (2011) 1, pp. 176-189

Persistent link: https://www.econbiz.de/10009242526

Best attainable rates of convergence for estimates of the stable tail dependence function

Drees, Holger; Huang, Xin - 1996

Persistent link: https://www.econbiz.de/10000939218

Rate of convergence of intermediate order statistics

Cheng, Shihong - 1995

Persistent link: https://www.econbiz.de/10000910500

A model sufficiency test using permutation entropy

Huang, Xin; Shang, Han Lin; Pitt, David C. - In: Journal of forecasting 41 (2022) 5, pp. 1017-1036

Persistent link: https://www.econbiz.de/10013287897

Bank runs, welfare and policy implications

Zhu, Haibin - In: Journal of financial stability 1 (2004/05) 3, pp. 279-307

Persistent link: https://www.econbiz.de/10003772900

Credit constraints, financial liberalisation and twin crises

Zhu, Haibin - 2003

Persistent link: https://www.econbiz.de/10013431904

Comment on "Bank runs, welfare and policy implications" by Haibin Zhu

Samartín Sáenz, Margarita - In: Journal of financial stability 1 (2004/05) 3, pp. 426-432

Persistent link: https://www.econbiz.de/10003773211

Modelling and calibration errors in measures of portfolio credit risk

Tarashev, Nikola A.; Zhu, Haibin - 2007

This paper develops an empirical procedure for analyzing the impact of model misspecification and calibration errors on measures of portfolio credit risk. When applied to large simulated portfolios with realistic characteristics, this procedure reveals that violations of key assumptions of the...

Persistent link: https://www.econbiz.de/10003512271