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Local regression distribution estimators

Cattaneo, Matias D.; Jansson, Michael; Ma, Xinwei - University of California, San Diego / Department of … - 2021

Persistent link: https://www.econbiz.de/10012887574

Local regression distribution estimators

Cattaneo, Matias D.; Jansson, Michael; Ma, Xinwei - In: Journal of econometrics 240 (2024) 2, pp. 1-18

Persistent link: https://www.econbiz.de/10015075101

Efficient density estimation and value at risk using Fejér-type kernel functions

Kosta, Olga; Stepanova, Natalia - In: Journal of mathematical finance 5 (2015) 5, pp. 480-504

Persistent link: https://www.econbiz.de/10011440699

Asymptotic results for conditional measures of association of a random sum

Asimit, Alexandru V.; Chen, Yiqing - In: Insurance / Mathematics & economics 60 (2015), pp. 11-18

Persistent link: https://www.econbiz.de/10010484845

Top incomes, heavy tails, and rank-size regressions

Schluter, Christian - In: Econometrics : open access journal 6 (2018) 1, pp. 1-16

In economics, rank-size regressions provide popular estimators of tail exponents of heavy-tailed distributions. We discuss the properties of this approach when the tail of the distribution is regularly varying rather than strictly Pareto. The estimator then over-estimates the true value in the...

Persistent link: https://www.econbiz.de/10011823274

Limit theory of model order change-point estimator for GARCH models

Irungu, Irene W.; Mwita, Peter N.; Waititu, Antony G. - In: Journal of mathematical finance 8 (2018) 2, pp. 426-445

Persistent link: https://www.econbiz.de/10011875287

Systemic risk : an asymptotic evaluation

Asimit, Alexandru V.; Li, Jinzhu - In: Astin bulletin : the journal of the International … 48 (2018) 2, pp. 673-698

Persistent link: https://www.econbiz.de/10011875678

Measuring tail operational risk in univariate and multivariate models with extreme losses

Yang, Yang; Gong, Yishan; Liu, Jiajun - In: The journal of operational risk 18 (2023) 1, pp. 31-57

Persistent link: https://www.econbiz.de/10014490082

Distributionally robust inference for extreme Value-at-Risk

Yuen, Robert; Stoev, Stilian; Cooley, Daniel - In: Insurance / Mathematics & economics 92 (2020), pp. 70-89

Persistent link: https://www.econbiz.de/10012242040

Combined tail estimation using censored data and expert information

Bladt, Martin; Albrecher, Hansjörg; Beirlant, Jan - In: Scandinavian actuarial journal 2020 (2020) 6, pp. 503-525

Persistent link: https://www.econbiz.de/10012262751