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Estimation of value-at-risk an...
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Theory
Nichtparametrisches Verfahren
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Martins-Filho, Carlos
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ECONIS (ZBW)
18
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Nonparametric estimation of conditional value-at-risk and expected shortfall based on extreme value theory
Martins-Filho, Carlos
;
Yao, Feng
;
Torero, Máximo
-
2013
Persistent link: https://www.econbiz.de/10010363124
Saved in:
2
A note on some properties of a skew-normal density
Martins-Filho, Carlos
;
Yao, Feng
-
2010
Persistent link: https://www.econbiz.de/10008823828
Saved in:
3
Nonparametric estimation of conditional value-at-risk and expected shortfall based on extreme value theory
Martins-Filho, Carlos
;
Yao, Feng
;
Torero, Máximo
- In:
Econometric theory
34
(
2018
)
1
,
pp. 23-67
Persistent link: https://www.econbiz.de/10011950922
Saved in:
4
The effect of advertising on collusion in the U.S. brewing industry : a trigger strategy approach
Yao, Feng
- In:
Atlantic economic journal : AEJ
40
(
2012
)
1
,
pp. 21-37
Persistent link: https://www.econbiz.de/10009629794
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5
Inference on one-way effect and evidence in Japanese macroeconomic data
Yao, Feng
;
Hosoya, Yuzo
- In:
Journal of econometrics
98
(
2000
)
2
,
pp. 225-255
Persistent link: https://www.econbiz.de/10001497780
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6
Three essays on nonparametric and semiparametric regression models
Yao, Feng
-
2004
Persistent link: https://www.econbiz.de/10003387658
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7
Relative efficiency with equivalence classes of asymptotic covariances
Mandy, David M.
- In:
Journal of econometrics
88
(
1999
)
1
,
pp. 79-98
Persistent link: https://www.econbiz.de/10001250279
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8
Seemingly unrelated regressions under additive heteroscedasticity : theory and share equation applications
Mandy, David M.
- In:
Journal of econometrics
58
(
1993
)
3
,
pp. 315-346
Persistent link: https://www.econbiz.de/10001149102
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9
Optimal IV estimation of systems with stochastic regressors and VAR distribances with applications to dynamic systems
Mandy, David M.
;
Martins-Filho, Carlos
- In:
Econometric reviews
20
(
2001
)
4
,
pp. 485-505
Persistent link: https://www.econbiz.de/10001620910
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10
A unified approach to asymptotic equivalence of Aitken and feasible Aitken instrumental variables estimators
Mandy, David M.
- In:
International economic review
35
(
1994
)
4
,
pp. 957-979
Persistent link: https://www.econbiz.de/10001172624
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