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A directional test of exponentiality based on maximum correlations

Grané, Aurea; Fortiana, Josep - In: Metrika 73 (2011) 2, pp. 255-274

Persistent link: https://www.econbiz.de/10008925336

Exact inference for progressively Type-I censored exponential failure data

Balakrishnan, N.; Han, Donghoon; Iliopoulos, G. - In: Metrika 73 (2011) 3, pp. 335-358

Persistent link: https://www.econbiz.de/10008925331

Analysis of Divergence in Loglinear Models When Expected Frequencies are Subject to Linear Constraints

Pardo, L.; Menéndez, M. - In: Metrika 64 (2006) 1, pp. 63-76

Persistent link: https://www.econbiz.de/10005375725

Asymptotic behavior of the estimated weights and of the estimated performance measures of the minimum VaR and the minimum CVaR optimal portfolios for dependent data

Bodnar, Taras; Schmid, Wolfgang; Zabolotskyy, Taras - In: Metrika 76 (2013) 8, pp. 1105-1134

In this paper we derive the asymptotic distributions of the estimated weights and of estimated performance measures of the minimum value-at-risk portfolio and of the minimum conditional value-at-risk portfolio assuming that the asset returns follow a strictly stationary process. It is proved...

Persistent link: https://www.econbiz.de/10010896496