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the non-Gaussian case. The improvement occurs in terms of resistance and efficiency, and an outside rate that is less …
Persistent link: https://www.econbiz.de/10005423996
the non-Gaussian case. The improvement occurs in terms of resistance and efficiency, and an outside rate that is less …
Persistent link: https://www.econbiz.de/10011573280
distribution, we explain how skewness and leptokurtosis of credit loss distributions relate to the underlying factor model and the …
Persistent link: https://www.econbiz.de/10010782488
for future inflation. The paper focuses on the technical derivation of inflation forecast skewness from uncertainty in …
Persistent link: https://www.econbiz.de/10010321910
distribution, we explain how skewness and leptokurtosis of credit loss distributions relate to the underlying factor model and the …
Persistent link: https://www.econbiz.de/10005150678
for future inflation. The paper focuses on the technical derivation of inflation forecast skewness from uncertainty in …
Persistent link: https://www.econbiz.de/10010128025
with nondegenerate local martingale part. The theory relies on inequalities for the kurtosis and skewness of a general …
Persistent link: https://www.econbiz.de/10010847058
Persistent link: https://www.econbiz.de/10010235454
This paper introduces the fundamentals of extreme value theory as well as practical aspects for estimating and assessing statistical models for tail-related risk measures.
Persistent link: https://www.econbiz.de/10005843224
In this paper we want to discuss macroscopic and microscopicproperties of financial markets. By analyzing quantitatively a database consisting of 13 minute per minute recorded financial time series, we identify some macroscopic statistical properties of the corresponding markets, with a special...
Persistent link: https://www.econbiz.de/10005843734