Parameter estimation of a Levy copula of a discretely observed bivariate compound Poisson process with an application to operational risk modelling
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References listed on IDEAS
- Jarque, Carlos M. & Bera, Anil K., 1980. "Efficient tests for normality, homoscedasticity and serial independence of regression residuals," Economics Letters, Elsevier, vol. 6(3), pages 255-259.
- Esmaeili, Habib & Klüppelberg, Claudia, 2010. "Parameter estimation of a bivariate compound Poisson process," Insurance: Mathematics and Economics, Elsevier, vol. 47(2), pages 224-233, October.
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NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2012-12-10 (All new papers)
- NEP-ECM-2012-12-10 (Econometrics)
- NEP-RMG-2012-12-10 (Risk Management)
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