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  • Search: subject:"Tail parameter"
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Subject
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Asymmetry 2 Electricity price 2 Exact test 2 Goodness-of-fit 2 Monte Carlo test 2 Skewness 2 Specification test 2 Stable distribution 2 Statistical distribution 2 Statistische Verteilung 2 Tail parameter 2 Bank risk 1 Bankrisiko 1 Basel Accord 1 Basler Akkord 1 Estimation theory 1 Measurement 1 Messung 1 Monte Carlo simulation 1 Monte-Carlo-Simulation 1 Operational risk 1 Operationelles Risiko 1 Risikomanagement 1 Risikomaß 1 Risk management 1 Risk measure 1 Schätztheorie 1 Simulation 1 Statistical test 1 Statistischer Test 1 Strompreis 1 Theorie 1 Theory 1 advanced measurement approach 1 dimensional analysis 1 operational risk capital 1 scale invariant 1 standardized measurement approach 1 tail parameter 1
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Undetermined 2
Type of publication
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Article 3
Type of publication (narrower categories)
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Article in journal 2 Aufsatz in Zeitschrift 2
Language
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English 2 Undetermined 1
Author
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Beaulieu, Marie-Claude 2 Dufour, Jean-Marie 2 Khalaf, Lynda 2 Cohen, Ruben D. 1
Published in...
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Journal of Econometrics 1 Journal of econometrics 1 The journal of operational risk 1
Source
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ECONIS (ZBW) 2 RePEc 1
Showing 1 - 3 of 3
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An assessment of operational loss data and its implications for risk capital modeling
Cohen, Ruben D. - In: The journal of operational risk 11 (2016) 3, pp. 71-95
Persistent link: https://www.econbiz.de/10013177162
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Exact confidence sets and goodness-of-fit methods for stable distributions
Beaulieu, Marie-Claude; Dufour, Jean-Marie; Khalaf, Lynda - In: Journal of Econometrics 181 (2014) 1, pp. 3-14
Usual inference methods for stable distributions are typically based on limit distributions. But asymptotic approximations can easily be unreliable in such cases, for standard regularity conditions may not apply or may hold only weakly. This paper proposes finite-sample tests and confidence sets...
Persistent link: https://www.econbiz.de/10011052249
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Exact confidence sets and goodness-of-fit methods for stable distributions
Beaulieu, Marie-Claude; Dufour, Jean-Marie; Khalaf, Lynda - In: Journal of econometrics 181 (2014) 1, pp. 3-14
Persistent link: https://www.econbiz.de/10010473451
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