The following pages link to Fabrizio Laurini (Q907365):
Displayed 13 items.
- The extremal index for GARCH(1,1) processes (Q907366) (← links)
- A robust forward weighted Lagrange multiplier test for conditional heteroscedasticity (Q961418) (← links)
- Smoothing sample extremes: the mixed model approach (Q961868) (← links)
- New estimators for the extremal index and other cluster characteristics (Q1880890) (← links)
- Limit theory and robust evaluation methods for the extremal properties of GARCH\((p,q)\) processes (Q2103984) (← links)
- Robust estimation of efficient mean-variance frontiers (Q2442794) (← links)
- Clusters of Extreme Observations and Extremal Index Estimate in GARCH Processes (Q3368334) (← links)
- Covariance matrices of S robust regression estimators (Q3390582) (← links)
- Regular Variation and Extremal Dependence of GARCH Residuals with Application to Market Risk Measures (Q3615082) (← links)
- Analysis of economic time series: effects of extremal observations on testing heteroscedastic components (Q4676858) (← links)
- (Q5856805) (← links)
- Reliable Robust Regression Diagnostics (Q6064626) (← links)
- Robust portfolio optimization for banking foundations: a CVaR approach for asset allocation with mandatory constraints (Q6161249) (← links)