On optimal smoothing of density estimators obtained from orthogonal polynomial expansion methods
Kohei Marumo and Rodney C. Wolff
| Year of publication: |
February 2016
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|---|---|
| Authors: | Marumo, Kohei ; Wolff, Rodney C. |
| Published in: |
Journal of risk. - London : Infopro Digital Risk, ISSN 1465-1211, ZDB-ID 1476260-2. - Vol. 18.2015/2016, 3, p. 47-76
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| Subject: | delta-gamma-vega-normal model | expected shortfall | Hermite polynomials | historical limulation (HS) method | vali-at-risk (VaR) | Schätztheorie | Estimation theory | Risikomaß | Risk measure | Statistische Verteilung | Statistical distribution | Zeitreihenanalyse | Time series analysis |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011439101