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Kernel-type estimator of the conditional tail expectation for a heavy-tailed distribution
Rassoul, Abdelaziz - In: Insurance / Mathematics & economics 53 (2013) 3, pp. 698-703
Persistent link: https://www.econbiz.de/10010227902
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Square density weighted average derivatives estimation of single index models
Sung, Myung Jae - In: The Korean economic review 30 (2014) 2, pp. 301-331
Persistent link: https://www.econbiz.de/10011285531
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Value-at-risk time scaling : a Monte Carlo approach
Malataliana, Moepa; Rigotard, Michael - In: The journal of risk model validation 10 (2016) 1, pp. 47-57
Persistent link: https://www.econbiz.de/10011485151
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Dynamic analysis of implied risk neutral density
Aloulou, Abderrahmen; Boujelbene, Younes - In: International journal of monetary economics and finance 12 (2019) 1, pp. 39-58
Persistent link: https://www.econbiz.de/10012021790
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Kernel-based testing with skewed and heavy-tailed data : evidence from a nonparametric test for heteroskedasticity
Henderson, Daniel J.; Sheehan, Alice - In: Economics letters 172 (2018), pp. 8-11
Persistent link: https://www.econbiz.de/10012022060