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bank portfolio data the proposed GHADA model provides more accurate value at risk calculation than the traditional model …
Persistent link: https://www.econbiz.de/10005677905
We propose marginal integration estimation and testing methods for the coefficients of varying coefficient multivariate regression model. Asymptotic distribution theory is developed for the estimation method which enjoys the same rate of convergence as univariate function estimation. For the...
Persistent link: https://www.econbiz.de/10005677957