<--- Back to Details
| First Page | Document Content | |
|---|---|---|
 Date: 2005-11-03 22:19:59Copula Statistical dependence Generalised hyperbolic distribution Normal distribution Volatility Autoregressive conditional heteroskedasticity Skewness Probability distribution Expectation–maximization algorithm Statistics Mathematical finance Actuarial science |
| Ann Inst Stat Math:621–637 DOIs10463x Parameter change test for autoregressive conditional duration models Sangyeol Lee1 · Haejune Oh1DocID: 1rjRw - View Document |
| Multiple-Period Market Risk Prediction under Long Memory: When VaR is Higher than Expected∗ Harald Kinateder† Niklas Wagner‡ Version: January 2014DocID: 1rjdO - View Document |
| The Cross-Quantilogram: Measuring Quantile Dependence and Testing Directional Predictability between Time Series∗ Heejoon Han† Oliver Linton‡DocID: 1rgRd - View Document |
| Microsoft Word - EBVM13docxDocID: 1raO6 - View Document |
| A Distributional Framework for Matched Employer Employee Data ∗ St´ephane BonhommeDocID: 1r913 - View Document |