Bahadur representation of linear kernel quantile estimator of VaR under \(\alpha \)-mixing assumptions (Q963848): Difference between revisions

@@ Property / DOI @@
-.1016/j.jspi.2010.01.002
@@ Property / DOI: 10.1016/j.jspi.2010.01.002 / rank @@
-Normal rank
@@ Property / full work available at URL @@
+https://doi.org/10.1016/j.jspi.2010.01.002
+Normal rank
@@ Property / OpenAlex ID @@
+W2050858914
@@ Property / OpenAlex ID: W2050858914 / rank @@
+Normal rank
@@ Property / cites work @@
+On deviations between empirical and quantile processes for mixing random variables
+Normal rank
@@ Property / cites work @@
+An almost sure invariance principle for the empirical distribution function of mixing random variables
+Normal rank
@@ Property / cites work @@
+MIXING AND MOMENT PROPERTIES OF VARIOUS GARCH AND STOCHASTIC  VOLATILITY MODELS
+Normal rank
@@ Property / cites work @@
+Strong mixing properties of linear stochastic processes
+Normal rank
@@ Property / cites work @@
+Relative deficiency of kernel type estimators of quantiles
+Normal rank
@@ Property / cites work @@
+MIXING PROPERTIES OF A GENERAL CLASS OF GARCH(1,1) MODELS WITHOUT MOMENT ASSUMPTIONS ON THE OBSERVED PROCESS
+Normal rank
@@ Property / cites work @@
+Stochastic volatility models as hidden Markov models and statistical applications
+Normal rank
@@ Property / cites work @@
+Power transformation and threshold modeling for ARCH innovations with applications to tests for ARCH structure.
+Normal rank
@@ Property / cites work @@
+VaR is subject to a significant positive bias
@@ Property / cites work: VaR is subject to a significant positive bias / rank @@
+Normal rank
@@ Property / cites work @@
+Strict stationarity and mixing properties of asymmetric power GARCH models allowing a signed volatility
+Normal rank
@@ Property / cites work @@
+A note on geometric ergodicity of autoregressive conditional heteroscedasticity (ARCH) model
+Normal rank
@@ Property / cites work @@
+On Estimation of a Probability Density Function and Mode
+Normal rank
@@ Property / cites work @@
+Nonparametric Statistical Data Modeling
@@ Property / cites work: Nonparametric Statistical Data Modeling / rank @@
+Normal rank
@@ Property / cites work @@
+Some mixing properties of time series models
@@ Property / cites work: Some mixing properties of time series models / rank @@
+Normal rank
@@ Property / cites work @@
+The functional law of the iterated logarithm for stationary strongly mixing sequences
+Normal rank
@@ Property / cites work @@
+Q5633359
@@ Property / cites work: Q5633359 / rank @@
+Normal rank
@@ Property / cites work @@
+Exponential inequalities for dependent random variables
+Normal rank
@@ Property / cites work @@
+Kernel Quantile Estimators
@@ Property / cites work: Kernel Quantile Estimators / rank @@
+Normal rank
@@ Property / cites work @@
+The Bahadur representation for sample quantiles under weak dependence
+Normal rank
@@ Property / cites work @@
+Conditions for linear processes to be strong-mixing
+Normal rank
@@ Property / cites work @@
+Bahadur representation of the kernel quantile estimator under random censorship
+Normal rank
@@ Property / cites work @@
+A Smooth Nonparametric Estimator of a Quantile Function
+Normal rank
@@ Property / cites work @@
+The Bahadur representation of sample quantiles for sequences of strongly mixing random variables
+Normal rank
@@ Property / cites work @@
+A note on strong approximation for quantile processes of strong mixing sequences
+Normal rank
@@ Property / cites work @@
+A kernel-type estimator of a quantile function under randomly truncated data
+Normal rank
@@ Property / DOI @@
+.1016/J.JSPI.2010.01.002
@@ Property / DOI: 10.1016/J.JSPI.2010.01.002 / rank @@
+Normal rank