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Search: subject:"maxitive kernel"
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Value-at-Risk
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choquet integral
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financial time series
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kernel estimation
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maxitive kernel
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parametric models
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possibility theory
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quantile estimation
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risk measures
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Khraibani, Hussein
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Nehme, Bilal
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Interval estimation of value-at-risk based on nonparametric models
Khraibani, Hussein
;
Nehme, Bilal
;
Strauss, Olivier
- In:
Econometrics : open access journal
6
(
2018
)
4
,
pp. 1-30
nonparametric approach called
maxitive
kernel
estimation of the VaR. This estimation is based on a coherent extension of the kernel …
Persistent link: https://www.econbiz.de/10011945779
Saved in:
2
Interval estimation of value-at-risk based on nonparametric models
Khraibani, Hussein
;
Nehme, Bilal
;
Strauss, Olivier
- In:
Econometrics
6
(
2018
)
4
,
pp. 1-30
nonparametric approach called
maxitive
kernel
estimation of the VaR. This estimation is based on a coherent extension of the kernel …
Persistent link: https://www.econbiz.de/10011995231
Saved in:
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