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12 months |
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Last month |
3 months |
12 months |
Total |

A Cross-Entropy approach to the estimation of Generalised Linear Multilevel Models |
0 |
0 |
0 |
35 |
0 |
0 |
0 |
51 |

A Monte Carlo EM Algorithm for the Estimation of a Logistic Auto-logistic Model with Missing Data |
0 |
0 |
0 |
164 |
0 |
0 |
0 |
550 |

A Trick of the (Pareto) Tail |
0 |
0 |
0 |
54 |
0 |
0 |
0 |
188 |

A framework for cut-off sampling in business survey design |
0 |
0 |
2 |
159 |
0 |
0 |
2 |
527 |

A note on maximum likelihood estimation of a Pareto mixture |
0 |
0 |
0 |
140 |
0 |
0 |
0 |
464 |

Aggregation of regional economic time series with different spatial correlation structures |
0 |
0 |
1 |
132 |
0 |
0 |
1 |
303 |

An extreme value analysis of the last century crises across industries in the U.S. economy |
0 |
0 |
0 |
13 |
0 |
0 |
1 |
57 |

An improved approach for estimating large losses in insurance analytics and operational risk using the g-and-h distribution |
0 |
1 |
4 |
67 |
0 |
1 |
4 |
72 |

An improved pairs trading strategy based on switching regime volatility |
0 |
1 |
3 |
81 |
1 |
2 |
6 |
177 |

Approximate Maximum Likelihood Estimation of the Autologistic Model |
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0 |
0 |
30 |
0 |
3 |
4 |
97 |

Approximate likelihood inference for the Bingham distribution |
0 |
0 |
0 |
21 |
0 |
0 |
0 |
49 |

Characteristic function estimation of Ornstein-Uhlenbeck-based stochastic volatility models |
0 |
0 |
0 |
166 |
0 |
1 |
3 |
431 |

Dynamic VaR models and the Peaks over Threshold method for market risk measurement: an empirical investigation during a financial crisis |
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1 |
2 |
150 |
0 |
2 |
4 |
444 |

Estimating Value-at-Risk for the g-and-h distribution: an indirect inference approach |
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1 |
1 |
49 |
0 |
3 |
4 |
90 |

Estimating the wrapped stable distribution via indirect inference |
0 |
0 |
1 |
16 |
0 |
1 |
3 |
31 |

Firmsï¿½ bankruptcy and turnover in a macroeconomy |
0 |
0 |
0 |
27 |
0 |
0 |
0 |
114 |

Fitting Spatial Econometric Models through the Unilateral Approximation |
0 |
0 |
1 |
40 |
0 |
0 |
1 |
69 |

Importance Sampling for Sums of Lognormal Distributions, with Applications to Operational Risk |
0 |
0 |
1 |
158 |
0 |
1 |
3 |
496 |

Likelihood-based Risk Estimation for Variance-Gamma Models |
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0 |
2 |
25 |
2 |
3 |
9 |
84 |

Mixture models for VaR and stress testing |
0 |
0 |
0 |
147 |
0 |
1 |
1 |
382 |

On discriminating between lognormal and Pareto tail: A mixture-based approach |
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0 |
3 |
22 |
0 |
0 |
10 |
41 |

On maximum likelihood estimation of operational loss distributions |
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0 |
0 |
73 |
0 |
0 |
0 |
164 |

Pareto versus lognormal: a maximum entropy test |
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0 |
1 |
95 |
0 |
1 |
4 |
199 |

Powerless: gains from trade when firm productivity is not Pareto distributed |
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0 |
0 |
27 |
0 |
0 |
0 |
100 |

Powerless: gains from trade when firm productivity is not Pareto distributed |
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0 |
0 |
0 |
0 |
0 |
0 |
4 |

Powerless: gains from trade when firm productivity is not Pareto distributed |
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0 |
0 |
0 |
0 |
0 |
1 |
1 |

Simulating copula-based distributions and estimating tail probabilities by means of Adaptive Importance Sampling |
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1 |
2 |
119 |
0 |
1 |
2 |
268 |

Spatial models for flood risk assessment |
0 |
0 |
0 |
149 |
0 |
0 |
0 |
636 |

Statistical analysis of the Lognormal-Pareto distribution using Probability Weighted Moments and Maximum Likelihood |
0 |
0 |
4 |
129 |
0 |
0 |
9 |
387 |

Testing the Profitability of Simple Technical Trading Rules: A Bootstrap Analysis of the Italian Stock Market |
0 |
0 |
1 |
149 |
1 |
2 |
5 |
440 |

The asymptotic loss distribution in a fat-tailed factor model of portfolio credit risk |
0 |
0 |
0 |
151 |
0 |
0 |
0 |
560 |

Un modello per l'incorporazione del rischio specifico nel VaR |
0 |
0 |
0 |
42 |
0 |
0 |
1 |
216 |

Where Gibrat meets Zipf: Scale and Scope of French Firms |
0 |
0 |
0 |
50 |
0 |
1 |
2 |
114 |

Total Working Papers |
0 |
5 |
29 |
2,680 |
4 |
23 |
80 |
7,806 |