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Test on association of random variables in the domain of attraction of multivariate stable law

Račev, Svetlozar T.; Huang, Xin - 1991

Persistent link: https://www.econbiz.de/10000842026

Rate of convergence of intermediate order statistics

Cheng, Shihong - 1995

Persistent link: https://www.econbiz.de/10000910500

Best attainable rates of convergence for estimates of the stable tail dependence function

Drees, Holger; Huang, Xin - 1996

Persistent link: https://www.econbiz.de/10000939218

Uniform distance between the distribution function of Hill's estimator and the normal distribution function

Cheng, Shihong; Haan, Laurens de; Huang, Xin - 1993

Persistent link: https://www.econbiz.de/10000893853

A reduced form framework for modeling volatility of speculative prices based on realized variation measures

Andersen, Torben; Bollerslev, Tim; Huang, Xin - In: Journal of econometrics 160 (2011) 1, pp. 176-189

Persistent link: https://www.econbiz.de/10009242526

Persistence of bank credit default swap spreads

Huang, Xin - In: Risks : open access journal 7 (2019) 3/90, pp. 1-13

Credit default swap (CDS) spreads measure the default risk of the reference entity and have been frequently used in recent empirical papers. To provide a rigorous econometrics foundation for empirical CDS analysis, this paper applies the augmented Dickey-Fuller, Phillips-Perron,...

Persistent link: https://www.econbiz.de/10012126480