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Evaluating density forecasts via the copula approach
Chen, Xiaohong; Fan, Yanqin - In: Finance research letters 1 (2004) 1, pp. 74-84
Persistent link: https://www.econbiz.de/10003307253
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The mean squared error of the instrumental variables estimator when the disturbance has an elliptical distribution
Peixe, Fernanda P. M.; Hall, Alastair R.; Kyriakoulis, … - In: Econometric reviews 25 (2006) 1, pp. 117-138
Persistent link: https://www.econbiz.de/10003309365
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Estimating tail dependence of elliptical distributions
Klüppelberg, Claudia (contributor);  … - 2006
, which are based on extreme value theory and the structure of an elliptical distribution, respectively. After deriving second … the structure of an elliptical distribution is better than that based on extreme value theory in terms of both asymptotic …
Persistent link: https://www.econbiz.de/10003310085
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Using the manufacturing productivity distribution to evaluate growth theories
Krüger, Jens J. - In: Structural change and economic dynamics : SC+ED 17 (2006) 2, pp. 248-258
Persistent link: https://www.econbiz.de/10003315555
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Kapitalallokation bei elliptischverteilten Risiken
Marquardt, Benjamin - In: Risikomanagement, (pp. 37-65). 2005
Persistent link: https://www.econbiz.de/10003339284
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Survival on the Titantic : illustrating Wald and LM tests for proportions and logits
Dixon, Robert J. (contributor);  … - 2006
Persistent link: https://www.econbiz.de/10003340723
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Optimal portfolio management in highly volatile markets
Stoyanov, Stoyan Veselinov - 2005
Persistent link: https://www.econbiz.de/10003346695
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Method to find the VARs easily
Birk, Angela (contributor) - 2006
Persistent link: https://www.econbiz.de/10003346922
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Worst-case VaR and CVaR
Čerbáková, Jana - In: Operations research proceedings 2005 : selected papers …, (pp. 817-822). 2006
Persistent link: https://www.econbiz.de/10003347829
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A multivariate heavy-tailed distribution for arch/garch residuals
Politis, Dimitris N. - 2006
Persistent link: https://www.econbiz.de/10003331370