Approximating the Probability Distribution of Functions of Random Variables: A New Approach
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- Eric Ghysels & Anders Eriksson Lars Forsberg, 2004. "Approximating the probability distribution of functions of random variables: A new approach," Econometric Society 2004 Far Eastern Meetings 503, Econometric Society.
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- Puzanova, Natalia & Siddiqui, Sikandar & Trede, Mark, 2009. "Approximate value-at-risk calculation for heterogeneous loan portfolios: Possible enhancements of the Basel II methodology," Journal of Financial Stability, Elsevier, vol. 5(4), pages 374-392, December.
- Hainaut, Donatien, 2016. "Impact of volatility clustering on equity indexed annuities," Insurance: Mathematics and Economics, Elsevier, vol. 71(C), pages 367-381.
- Lillestøl, Jostein, 2007. "Some new bivariate IG and NIG-distributions for modelling covariate nancial returns," Discussion Papers 2007/1, Norwegian School of Economics, Department of Business and Management Science.
- C0 - Mathematical and Quantitative Methods - - General
- C1 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General
- NEP-ALL-2004-05-26 (All new papers)
- NEP-ECM-2004-05-16 (Econometrics)
- NEP-ETS-2004-05-16 (Econometric Time Series)
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Keywordsnormal inverse Gaussian; Edgeworth expansions; Gram-Charlier; distribution normale inverse gaussienne; expansions d'Edgeworth; Gram-Charlier;
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