Výsledky vyhledávání - "Capitanio, J. R."

In this paper we derive important properties of the well-known skew-elliptical (SE) distributions which was introduced in Azzalini and Capitanio (J R Stat Soc Ser B (Stat Methodol) 65:367–389, 2003), and includes the more familiar skew-normal, skew

Externí odkaz: https://explore.openaire.eu/search/publication?articleId=doi_________::5f8ecb486205ea07f9ef9da10d7747ca
https://doi.org/10.1007/s13385-016-0144-9

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Two-step methods in VaR prediction and the importance of fat tails

Autor: Ibrahim Ergen

Publikováno v: Quantitative Finance. 15:1013-1030

This paper proposes a two-step methodology for Value-at-Risk prediction. The first step involves estimation of a GARCH model using quasi-maximum likelihood estimation and the second step uses model filtered returns with the skewed t distribution of A

Externí odkaz: https://explore.openaire.eu/search/publication?articleId=doi_________::e467a10c5c3753be088da4f9f1381143
https://doi.org/10.1080/14697688.2014.942230

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Elektronická kniha

Conceptions of Development : Lessons From the Laboratory

Autor: D.J. Lewkowicz, R. Lickliter

This is a volume about the process of scientific discovery. Thirteen leading senior scientists, each interested in some aspect of behaviorial development, recount their intellectual journeys over the course of their careers and document their individ

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Elektronická kniha

Working With African American Males : A Guide to Practice

Autor: Larry E. Davis

This volume examines special issues associated with providing services and guidance to African American men. Although this group of men is like any other in its struggle with its social and economic problems, African American men experience a higher

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