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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 ...
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 ...
Goodness-of-fit Tests Focus on Value-at-Risk EstimationGoodness-of-fit Tests Focus on Value-at-Risk Estimation
(Sociedade Brasileira de Econometria, 2006)
A new goodness-of-fit test for censored data with an application in monitoring processes
(TAYLOR & FRANCIS INC, 2009)
Goodness-of-fit tests for the birnbaum-saunders distribution with censored reliability data
(INSTITUTE OF ELECTRICAL AND ELECTRONICS ENGINEERS, 2014)
On a goodness-of-fit test for normality with unknown parameters and type-ii censored data
(ROUTLEDGE JOURNALS, TAYLOR & FRANCIS LTD, 2010)
Goftester: aprimoramento e implementação da biblioteca libfit em uma ferramenta para testes de aderência
(Florianópolis, SC., 2016)
A Goodness-of-Fit Test with Focus on Conditional Value at RiskUm teste de ajuste com foco no valor em risco condicionado
(Lociedade Brasileira de Finanças, 2008)