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POTENCIA DE LA PRUEBA ESTADISTICA DE NORMALIDAD JARQUE-BERA FRENTE A LAS PRUEBAS DE ANDERSON-DARLING, JARQUE-BERA ROBUSTA, CHI-CUADRADA, CHEN-SHAPIRO Y SHAPIRO-WILK
(UNIVERSIDAD AUTONOMA DEL ESTADO DE MEXICO, 2018)
Parametric VaR with goodness-of-fit tests based on EDF statistics for extreme returns
(2013-11-01)
Parametric VaR (Value-at-Risk) is widely used due to its simplicity and easy calculation. However, the normality assumption, often used in the estimation of the parametric VaR, does not provide satisfactory estimates for ...