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Estimation de densité conditionnelle lorsque l'hypothèse de normalité est insatisfaisante

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  • Julie Carreau
  • Yoshua Bengio

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  • Julie Carreau & Yoshua Bengio, 2004. "Estimation de densité conditionnelle lorsque l'hypothèse de normalité est insatisfaisante," CIRANO Working Papers 2004s-31, CIRANO.
    • Handle: RePEc:cir:cirwor:2004s-31
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    File URL: https://cirano.qc.ca/files/publications/2004s-31.pdf
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    References listed on IDEAS

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    1. Phillipe Lambert & J. K. Lindsey, 1999. "Analysing Financial Returns by Using Regression Models Based on Non‐Symmetric Stable Distributions," Journal of the Royal Statistical Society Series C, Royal Statistical Society, vol. 48(3), pages 409-424.
    2. Beirlant, Jan & Goegebeur, Yuri, 2003. "Regression with response distributions of Pareto-type," Computational Statistics & Data Analysis, Elsevier, vol. 42(4), pages 595-619, April.
    3. McNeil, Alexander J. & Frey, Rudiger, 2000. "Estimation of tail-related risk measures for heteroscedastic financial time series: an extreme value approach," Journal of Empirical Finance, Elsevier, vol. 7(3-4), pages 271-300, November.
    4. Benoit Mandelbrot, 2015. "The Variation of Certain Speculative Prices," World Scientific Book Chapters, in: Anastasios G Malliaris & William T Ziemba (ed.), THE WORLD SCIENTIFIC HANDBOOK OF FUTURES MARKETS, chapter 3, pages 39-78, World Scientific Publishing Co. Pte. Ltd..
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