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Risk : managing risk in the world's financial markets
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Neyman smooth goodness-of-fit tests for the marginal distribution of dependent data
Munk, Axel
;
Stockis, Jean-Pierre
;
Valeinis, Janis
; …
- In:
Annals of the Institute of Statistical Mathematics : AISM
63
(
2011
)
5
,
pp. 939-960
Persistent link: https://www.econbiz.de/10009187481
Saved in:
2
Credit portfolio modelling: Enhancing CreditRisk+ The CreditRisk+ model is suffering from the restriclive assumption of sector independence. Moreover, the recursion relation for calculating the oss distribution is unstable for very large portfolios. The author presents an improved version with a stable recursion scheme and sector correlations, which compares favourably with other approximation ...
Giese, Götz
- In:
Risk : managing risk in the world's financial markets
16
(
2003
)
4
,
pp. 73-78
Persistent link: https://www.econbiz.de/10007032782
Saved in:
3
Equity risk management: Changing history - How to adjust historical simulation to situations where the observed time series of market prices is either not representative or too short to allow a meaningful market risk calculation.
Giese, Götz
;
Heim, Udo
- In:
Risk : managing risk in the world's financial markets
14
(
2001
)
7
,
pp. 91-94
Persistent link: https://www.econbiz.de/10007042216
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4
Bootstrapping nonparametric estimators of the volatility function
Franke, Jürgen
;
Neumann, Michael H.
;
Stockis, Jean-Pierre
- In:
Journal of econometrics
118
(
2004
)
1-2
,
pp. 189-218
Persistent link: https://www.econbiz.de/10006758778
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5
Theory and Methods - 1 - a Equivariant Confidence Rules for Convex Alternatives are a-2-Level Tests-With Applications to the Multivariate Assessment of Bioequivalence
Munk, Axel
;
Pflüger, Rafael
- In:
Journal of the American Statistical Association : JASA
94
(
1999
)
448
,
pp. 1311-1319
Persistent link: https://www.econbiz.de/10006625895
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6
Box-Type Approximations in Nonparametric Eactorial Designs
Brunner, Edgar
;
Dette, Holger
;
Munk, Axel
- In:
Journal of the American Statistical Association : JASA
92
(
1997
)
440
,
pp. 1494-1502
Persistent link: https://www.econbiz.de/10006629780
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7
Equivalence and Interval Testing for Lehmann's Alternative
Munk, Axel
- In:
Journal of the American Statistical Association : JASA
91
(
1996
)
435
,
pp. 1187-1196
Persistent link: https://www.econbiz.de/10006633125
Saved in:
8
A Test for Additivity in Nonparametric Regression
Derbort, Stephan
;
Dette, Holger
;
Munk, Axel
- In:
Annals of the Institute of Statistical Mathematics : AISM
54
(
2002
)
1
,
pp. 60-82
Persistent link: https://www.econbiz.de/10006559754
Saved in:
9
Some Methodological Aspects of Validation of Models in Nonparametric Regression
Dette, Holger
;
Munk, Axel
- In:
Statistica Neerlandica : journal of the Netherlands …
57
(
2003
)
2
,
pp. 207-244
Persistent link: https://www.econbiz.de/10006435081
Saved in:
10
Professions
Huckemann, Stephan
;
Hotz, Thomas
;
Munk, Axel
- In:
Journal de la marine marchande et du transport multimodal
92
(
2010
)
4704
,
pp. 19-19
Persistent link: https://www.econbiz.de/10008382596
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