Robust Risk Management. Accounting for Nonstationarity and Heavy Tails
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- Cizek, P. & Haerdle, W. & Spokoiny, V., 2007.
"Adaptive Pointwise Estimation in Time-Inhomogeneous Time-Series Models,"
2007-35, Tilburg University, Center for Economic Research.
- Pavel Cizek & Wolfgang Härdle & Vladimir Spokoiny, 2008. "Adaptive pointwise estimation in time-inhomogeneous time-series models," SFB 649 Discussion Papers SFB649DP2008-002, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
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KeywordsExponential Smoothing; Spatial Aggregation.;
- C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Semiparametric and Nonparametric Methods: General
- C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2007-01-23 (All new papers)
- NEP-BEC-2007-01-23 (Business Economics)
- NEP-ECM-2007-01-23 (Econometrics)
- NEP-RMG-2007-01-23 (Risk Management)
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