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5 - Evaluation of Value-at-Risk Models: An Empirical Likelihood Approach
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- Book:
- Validation of Risk Management Models for Financial Institutions
- Published online:
- 02 March 2023
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- 09 March 2023, pp 84-103
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Robust Wasserstein profile inference and applications to machine learning
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- Journal of Applied Probability / Volume 56 / Issue 3 / September 2019
- Published online by Cambridge University Press:
- 01 October 2019, pp. 830-857
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- September 2019
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Plug-in estimators for higher-ordertransition densities in autoregression
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- ESAIM: Probability and Statistics / Volume 13 / July 2009
- Published online by Cambridge University Press:
- 26 March 2009, pp. 135-151
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- July 2009
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