Printed from https://ideas.repec.org/s/bpj/strimo.html
Content
January 2024, Volume 41, Issue 1-2
- 1-26 Product of bi-dimensional VAR(1) model components. An application to the cost of electricity load prediction errors
by Janczura Joanna & Puć Andrzej & Wyłomańska Agnieszka & Bielak Łukasz - 27-48 Portfolio selection based on Extended Gini Shortfall risk measures
by Ben Hssain Lhoucine & Berkhouch Mohammed & Lakhnati Ghizlane - 49-72 Bounds on Choquet risk measures in finite product spaces with ambiguous marginals
by Ghossoub Mario & Saunders David & Zhang Kelvin Shuangjian
July 2023, Volume 40, Issue 3-4
- 53-65 A robust estimator of the proportional hazard transform for massive data
by Omar Tami & Hamid Ould Rouis & Abdelaziz Rassoul - 67-89 Delay Ait-Sahalia-type interest rate model with jumps and its strong approximation
by Coffie Emmanuel
January 2023, Volume 40, Issue 1-2
- 1-19 Minkowski deviation measures
by Moresco Marlon & Brutti Righi Marcelo & Horta Eduardo - 21-51 Systemic risk models for disjoint and overlapping groups with equilibrium strategies
by Feng Yichen & Ichiba Tomoyuki & Fouque Jean-Pierre & Hu Ruimeng
July 2022, Volume 39, Issue 3-4
- 49-73 Asymptotic properties of duration-based VaR backtests
by Malecka Marta - 75-92 Penalised likelihood methods for phase-type dimension selection
by Albrecher Hansjörg & Bladt Martin & Müller Alaric J. A.
January 2022, Volume 39, Issue 1-2
- 1-21 Multi-component stress-strength model for Weibull distribution in progressively censored samples
by Kohansal Akram & Shoaee Shirin & Nadarajah Saralees - 23-47 Bayesian optimal investment and reinsurance with dependent financial and insurance risks
by Bäuerle Nicole & Leimcke Gregor
July 2021, Volume 38, Issue 3-4
- 47-63 The functional kNN estimator of the conditional expectile: Uniform consistency in number of neighbors
by Almanjahie Ibrahim M. & Chikr Elmezouar Zouaoui & Laksaci Ali & Bouzebda Salim - 65-70 Bipolar behavior of submodular, law-invariant capacities
by Amarante Massimiliano - 71-90 Time consistency for scalar multivariate risk measures
by Feinstein Zachary & Rudloff Birgit
January 2021, Volume 38, Issue 1-2
- 1-24 Kernel estimation for Lévy driven stochastic convolutions
by Comte Fabienne & Genon-Catalot Valentine - 25-46 On the elicitability of range value at risk
by Fissler Tobias & Ziegel Johanna F.
July 2020, Volume 37, Issue 3-4
- 79-106 Continuous-time limits of multi-period cost-of-capital margins
by Engsner Hampus & Lindskog Filip - 107-119 On the extension property of dilatation monotone risk measures
by Rahsepar Massoomeh & Xanthos Foivos
January 2020, Volume 37, Issue 1-2
- 1-24 Fair estimation of capital risk allocation
by Bielecki Tomasz R. & Cialenco Igor & Pitera Marcin & Schmidt Thorsten - 25-53 XVA metrics for CCP optimization
by Albanese Claudio & Armenti Yannick & Crépey Stéphane - 55-78 Arbitrage-free interpolation of call option prices
by Bender Christian & Thiel Matthias
December 2019, Volume 36, Issue 1-4
- 1-23 Conditional excess risk measures and multivariate regular variation
by Das Bikramjit & Fasen-Hartmann Vicky - 25-35 Multivariate risk measures in the non-convex setting
by Haier Andreas & Molchanov Ilya - 37-55 Optimal retirement planning under partial information
by Bäuerle Nicole & Chen An - 57-75 On corrected phase-type approximations of the time value of ruin with heavy tails
by Geiger Daniel J. & Adekpedjou Akim
July 2018, Volume 35, Issue 3-4
- 89-110 Risk related brain regions detection and individual risk classification with 3D image FPCA
by Chen Ying & Härdle Wolfgang K. & He Qiang & Majer Piotr - 111-140 Extremes for multivariate expectiles
by Maume-Deschamps Véronique & Rullière Didier & Said Khalil - 141-160 Semiparametric efficient adaptive estimation of the GJR-GARCH model
by Ciccarelli Nicola
January 2018, Volume 35, Issue 1-2
- 1-21 Portfolio optimization under dynamic risk constraints: Continuous vs. discrete time trading
by Redeker Imke & Wunderlich Ralf - 23-33 On risk measuring in the variance-gamma model
by Ivanov Roman V. - 35-50 Distortion risk measures, ROC curves, and distortion divergence
by Schumacher Johannes M. - 51-72 EM algorithm for Markov chains observed via Gaussian noise and point process information: Theory and case studies
by Damian Camilla & Eksi Zehra & Frey Rüdiger - 73-87 Optimal expected utility risk measures
by Geissel Sebastian & Sass Jörn & Seifried Frank Thomas
September 2017, Volume 34, Issue 3-4
- 89-89 Special Issue: Monitoring Systemic Risk: Data, Models and Metrics
by Cont Rama & Gordy Michael - 91-112 Network analysis and systemic FX settlement risk
by León-Janampa José Henry - 113-139 The effects of leverage requirements and fire sales on financial contagion via asset liquidation strategies in financial networks
by Feinstein Zachary & El-Masri Fatena - 141-155 On the effect of heterogeneity on flocking behavior and systemic risk
by Fang Fei & Sun Yiwei & Spiliopoulos Konstantinos
June 2017, Volume 34, Issue 1-2
- 1-12 A double clustering algorithm for financial time series based on extreme events
by De Luca Giovanni & Zuccolotto Paola - 13-31 Improved algorithms for computing worst Value-at-Risk
by Hofert Marius & Memartoluie Amir & Saunders David & Wirjanto Tony - 33-53 Testing for asymmetry in betas of cumulative returns: Impact of the financial crisis and crude oil price
by Kokoszka Piotr & Miao Hong & Zheng Ben - 55-67 Company rating with support vector machines
by Moro Russ A. & Härdle Wolfgang K. & Schäfer Dorothea - 69-87 Loan pricing under estimation risk
by Neuberg Richard & Hannah Lauren
December 2016, Volume 33, Issue 3-4
- 67-93 Verification of internal risk measure estimates
by Davis Mark H. A. - 95-116 How to measure interconnectedness between banks, insurers and financial conglomerates
by Hauton Gaël & Héam Jean-Cyprien - 117-138 Leveraging the network: A stress-test framework based on DebtRank
by Battiston Stefano & Caldarelli Guido & D’Errico Marco & Gurciullo Stefano - 139-155 The topology of overlapping portfolio networks
by Guo Weilong & Minca Andreea & Wang Li
September 2016, Volume 33, Issue 1-2
- 1-20 Implied basket correlation dynamics
by Härdle Wolfgang Karl & Silyakova Elena - 21-40 Change detection in the Cox–Ingersoll–Ross model
by Pap Gyula & Szabó Tamás T. - 41-50 Asymptotically stable dynamic risk assessments
by Eisele Karl-Theodor & Kupper Michael - 51-65 Scenario aggregation method for portfolio expectile optimization
by Jakobsons Edgars
March 2016, Volume 32, Issue 2
- 89-102 Nonparametric estimation of risk measures of collective risks
by Lauer Alexandra & Zähle Henryk - 103-124 Time-consistency of risk measures with GARCH volatilities and their estimation
by Klüppelberg Claudia & Zhang Jianing - 125-141 On the shortfall risk control: A refinement of the quantile hedging method
by Barski Michał
December 2015, Volume 32, Issue 3-4
- 143-158 Dividend maximization in a hidden Markov switching model
by Szölgyenyi Michaela - 159-176 Exact and approximate hidden Markov chain filters based on discrete observations
by Bäuerle Nicole & Gilitschenski Igor & Hanebeck Uwe - 177-195 Analyzing model robustness via a distortion of the stochastic root: A Dirichlet prior approach
by Mai Jan-Frederik & Schenk Steffen & Scherer Matthias
April 2015, Volume 32, Issue 1
- 1-24 Moment based estimation of supOU processes and a related stochastic volatility model
by Stelzer Robert & Wittlinger Marc & Tosstorff Thomas - 25-47 Quasi-Hadamard differentiability of general risk functionals and its application
by Krätschmer Volker & Schied Alexander & Zähle Henryk - 49-72 Series expansions for convolutions of Pareto distributions
by Nguyen Quang Huy & Robert Christian Y. - 73-87 A copula-based hierarchical hybrid loss distribution
by Bernardi Enrico & Romagnoli Silvia
December 2014, Volume 31, Issue 3-4
- 1-21 Constrained inference in multiple regression with structural changes
by Chen Fuqi & Nkurunziza Sévérien - 1-22 Law-invariant risk measures: Extension properties and qualitative robustness
by Koch-Medina Pablo & Munari Cosimo - 1-31 Optimal risk allocation for convex risk functionals in general risk domains
by Kiesel Swen & Rüschendorf Ludger - 1-37 Change point test for tail index of scale-shifted processes
by Kim Moosup & Lee Sangyeol - 1-37 Stochastic dominance with respect to a capacity and risk measures
by Grigorova Miryana
June 2014, Volume 31, Issue 2
- 1-12 A note on nonparametric estimation of bivariate tail dependence
by Bücher Axel - 1-19 Prediction of regionalized car insurance risks based on control variates
by Christiansen Marcus C. & Hirsch Christian & Schmidt Volker - 1-22 Asymptotic results for the regression function estimate on continuous time stationary and ergodic data
by Didi Sultana & Louani Djamal - 1-31 Stochastic orderings with respect to a capacity and an application to a financial optimization problem
by Grigorova Miryana
March 2014, Volume 31, Issue 1
- 1-20 Central clearing of OTC derivatives: Bilateral vs multilateral netting
by Cont Rama & Kokholm Thomas - 1-23 Spatial risk measures and their local specification: The locally law-invariant case
by Föllmer Hans - 1-26 Complete duality for quasiconvex dynamic risk measures on modules of the Lp-type
by Frittelli Marco & Maggis Marco - 1-26 Optimal control of interbank contagion under complete information
by Minca Andreea & Sulem Agnès - 1-29 On dependence consistency of CoVaRand some other systemic risk measures
by Mainik Georg & Schaanning Eric
December 2013, Volume 30, Issue 4
- 281-286 Editorial to the special issue on Copulae of Statistics & Risk Modeling
by Okhrin Ostap - 287-306 What makes dependence modeling challenging? Pitfalls and ways to circumvent them
by Mai Jan-Frederik & Scherer Matthias - 307-342 Risk management with high-dimensional vine copulas: An analysis of the Euro Stoxx 50
by Brechmann Eike Christain & Czado Claudia - 343-360 Bernstein estimator for unbounded copula densities
by Bouezmarni Taoufik & Ghouch El & Taamouti Abderrahim - 361-388 Dynamic structured copula models
by Härdle Wolfgang Karl & Okhrin Ostap & Okhrin Yarema
August 2013, Volume 30, Issue 3
- 189-204 The bootstrap does not alwayswork for heteroscedasticmodels
by Shimizu Kenichi - 205-219 Estimating scale parameters under an order statistics prior
by Burkschat Marco & Kamps Udo & Kateri Maria - 221-235 Conditional L1 estimation for random coefficient integer-valued autoregressive processes
by Chen Xi & Wang Lihong - 237-254 American Options with guarantee – A class of two-sided stopping problems
by Christensen Sören & Irle Albrecht - 255-280 Membership conditions for consistent families of monetary valuations
by Roorda Berend & Schumacher Hans
June 2013, Volume 30, Issue 2
- 105-120 Inherent difficulties of non-Bayesian likelihood-based inference, as revealed by an examination of a recent book by Aitkin
by Gelman Andrew & Robert Christian P. & Rousseau Judith - 121-132 Comments on the review of Statistical Inference
by Aitkin Murray - 133-167 Loss-based risk measures
by Cont Rama & Deguest Romain & He Xue Dong - 169-180 A harmonic function approach to Nash-equilibria of Kifer-type stopping games
by Lerche Hans Rudolf & Stich Dominik - 181-188 A note on the biasedness and unbiasedness of two-sample Kolmogorov–Smirnov test
by Bubeliny Peter
March 2013, Volume 30, Issue 1
- 1-21 Perpetual American options in a diffusion model with piecewise-linear coefficients
by Gapeev Pavel V. & Rodosthenous Neofytos - 21-54 Properties of hierarchical Archimedean copulas
by Okhrin Ostap & Okhrin Yarema & Schmid Wolfgang - 55-74 Rate of convergence of the density estimation of regression residual
by Györfi László & Walk Harro - 75-104 A functional conditional symmetry test for a GARCH-SM model: Power asymptotic properties
by Laïb Naâmane & Lemdani Mohamed & Ould Saïd Elias
November 2012, Volume 29, Issue 4
- 281-314 Minimum VaR and minimum CVaR optimal portfolios: Estimators, confidence regions, and tests
by Bodnar Taras & Schmid Wolfgang & Zabolotskyy Tara - 315-342 The covariance structure of cml-estimates in the Rasch model
by Strasser Helmut - 327-343 Asymptotic expansions for conditional moments of Bernoulli trials
by Strasser Helmut - 345-346 Erratum to: Dependence properties of dynamic credit risk models
by Bäuerle Nicole & Schmock Uwe
August 2012, Volume 29, Issue 3
- 189-214 On the functional local linear estimate for spatial regression
by Chouaf Abdelhak & Laksaci Ali - 215-242 Adaptive estimation for an inverse regression model with unknown operator
by Marteau Clement & Loubes Jean-Michel - 243-268 Dependence properties of dynamic credit risk models
by Bäuerle Nicole & Schmock Uwe - 269-280 A note on optimal consumption and investment in a geometric Ornstein–Uhlenbeck market
by Ziehaus Christina
June 2012, Volume 29, Issue 2
- 107-132 Bounds for joint portfolios of dependent risks
by Puccetti Giovanni & Rüschendorf Ludger - 133-153 Time consistency of multi-period distortion measures
by Fasen Vicky & Svejda Adela - 155-174 Stable stopping
by Treviño Aguilar Erick - 175-187 Moderate deviations and intermediate efficiency for lack-of-fit tests
by Mason David M. & Eubank Randy
March 2012, Volume 29, Issue 1
- 1-18 Conditional risk and acceptability mappings as Banach-lattice valued mappings
by Kovacevic Raimund M. - 19-46 PCA-kernel estimation
by Biau Gérard & Mas André - 47-72 Some multivariate risk indicators: Minimization by using a Kiefer–Wolfowitz approach to the mirror stochastic algorithm
by Cénac P. & Maume-Deschamps V. & Prieur C. - 73-106 Ordering of multivariate risk models with respect to extreme portfolio losses
by Mainik Georg & Rüschendorf Ludger
December 2011, Volume 28, Issue 4
- 297-298 Letter from the Editors
by Pflug Georg Ch. - 299-317 Risk margin for a non-life insurance run-off
by Wüthrich Mario V. & Embrechts Paul & Tsanakas Andreas - 319-342 On the exact distribution of the estimated expected utility portfolio weights: Theory and applications
by Bodnar Taras & Schmid Wolfgang - 343-357 Well-balanced Lévy driven Ornstein–Uhlenbeck processes
by Schnurr Alexander & Woerner Jeannette H. C. - 359-387 Central limit theorem for the integrated squared error of the empirical second-order product density and goodness-of-fit tests for stationary point processes
by Heinrich Lothar & Klein Stella - 389-410 Test on components of mixture densities
by Autin Florent & Pouet Christophe
September 2011, Volume 28, Issue 3
- 195-225 Law invariant risk measures on L∞ (ℝd)
by Ekeland Ivar & Schachermayer Walter - 227-249 A Bayesian sequential testing problem of three hypotheses for Brownian motion
by Zhitlukhin Mikhail V. & Shiryaev Albert - 251-276 Optimal dividend-payout in random discrete time
by Albrecher Hansjörg & Bäuerle Nicole & Thonhauser Stefan - 277-295 Multivariate log-concave distributions as a nearly parametric model
by Schuhmacher Dominic & Hüsler André & Dümbgen Lutz
May 2011, Volume 28, Issue 2
- 81-95 Expansions for the risk of Stein type estimates for non-normal data
by Withers Christopher S. & Nadarajah Saralees - 97-118 Mean-risk tests of stochastic dominance
by Dentcheva Darinka & Stock Gregory J. & Rekeda Ludmyla - 119-150 Non-parametric drift estimation for diffusions from noisy data
by Schmisser Emeline - 151-168 Comparison of Markov processes via infinitesimal generators
by Rüschendorf Ludger & Wolf Viktor - 169-194 Method of moment estimation in time-changed Lévy models
by Kallsen Jan & Muhle-Karbe Johannes
March 2011, Volume 28, Issue 1
- 1-16 Abstentions in the German Bundesrat and ternary decision rules in weighted voting systems
by Birkmeier Olga & Käufl Andreas & Pukelsheim Friedrich - 17-36 Asymptotic utility-based pricing and hedging for exponential utility
by Kallsen Jan & Rheinländer Thorsten - 37-50 Robust replication in H-self-similar Gaussian market models under uncertainty
by Gapeev Pavel V. & Sottinen Tommi & Valkeila Esko - 51-61 A note on moment convergence of bootstrap M-estimators
by Kato Kengo - 63-80 On the maximization of financial performance measures within mixture models
by Hentati Rania & Prigent Jean-Luc
December 2009, Volume 27, Issue 4
- 227-234 A note on incomplete and boundedly complete families of discrete distributions
by Purkayastha Sumitra - 281-307 Option pricing in bilateral Gamma stock models
by Küchler Uwe & Tappe Stefan - 309-326 On LAN for parametrized continuous periodic signals in a time inhomogeneous diffusion
by Höpfner Reinhard & Kutoyants Yury A. - 335-356 On Brownian motion as a prior for nonparametric regression
by van Zanten Harry - 357-369 The face-lifting theorem for proportional transaction costs in multiasset models
by Blum Benedikt
December 2009, Volume 27, Issue 3
- 201-209 A note on pivotal Value-at-Risk estimates
by Pflug Georg Ch. & Schaller Peter - 211-233 A renewal theoretic result in portfolio theory under transaction costs with multiple risky assets
by Irle Albrecht & Prelle Claas - 235-248 Cusp estimation in random design regression models
by Fujii Takayuki - 249-260 On the mean residual waiting time of records
by Bdair Omar M. & Raqab Mohammad Z. - 261-280 A maximal inequality for skew Brownian motion
by Zhitlukhin Mikhail V.
December 2009, Volume 27, Issue 2
- 93-128 Estimation of split-points in binary regression
by Ferger Dietmar & Klotsche Jens - 129-144 On hedging European options in geometric fractional Brownian motion market model
by Azmoodeh Ehsan & Mishura Yuliya & Valkeila Esko - 145-168 On the Bayesianity of maximum likelihood estimators of restricted location parameters under absolute value error loss
by Kucerovsky Dan & Marchand Eric & Najafabadi Amir T. Payandeh & Strawderman William E. - 169-199 Subgradients of law-invariant convex risk measures on L
by Svindland Gregor
November 2009, Volume 27, Issue 1
- 1-23 Robust efficient hedging for American options: The existence of worst case probability measures
by Trevino Aguilar Erick - 25-35 Shrinkage estimation in elliptically contoured distribution with restricted parameter space
by Tsukuma Hisayuki - 37-54 Minimum risk equivariant estimator in linear regression model
by Jurecková Jana & Picek Jan - 55-73 Non-standard behavior of density estimators for sums of squared observations
by Schick Anton & Wefelmeyer Wolfgang - 75-92 The likelihood ratio test for non-standard hypotheses near the boundary of the null – with application to the assessment of non-inferiority
by Balabdaoui Fadoua & Mielke Matthias & Munk Axel
July 2009, Volume 26, Issue 4
- 243-261 Minimaxity of the Stein risk-minimization estimator for a normal mean matrix
by Kubokawa Tatsuya & Tsukuma Hisayuki - 263-274 Estimation of search tree size and approximate counting: A likelihood approach
by Dennert Florian & Grübel Rudolf - 275-288 Upper bounds for Bermudan options on Markovian data using nonparametric regression and a reduced number of nested Monte Carlo steps
by Kohler Michael & Krzyzak Adam & Walk Harro - 289-302 On a stochastic version of the trading rule “Buy and Hold”
by Shiryaev Albert & Novikov Alexander A. - 303-319 Characterization of optimal risk allocations for convex risk functionals
by Kiesel Swen & Rüschendorf Ludger
April 2009, Volume 26, Issue 3
- 159-177 On nonparametric estimation of the regression function under random censorship model
by Guessoum Zohra & Ould-Said Elias - 179-201 Estimation of optimal portfolio compositions for Gaussian returns
by Bodnar Taras & Schmid Wolfgang - 203-217 Improved estimation for elliptically symmetric distributions with unknown block diagonal covariance matrix
by Fourdrinier Dominique & Strawderman William E. & Wells Martin T. - 219-242 A Bayesian approach to incorporate model ambiguity in a dynamic risk measure
by Bäuerle Nicole & Mundt André
March 2008, Volume 26, Issue 2
- 73-73 Editorial
by Kaniovski Yuri & Pflug Georg Ch. - 75-88 A lattice model with incomplete information: A credit risk application
by Cherubini Umberto & Mulinacci Sabrina & Romagnoli Silvia - 89-108 Optimal portfolios with Haezendonck risk measures
by Bellini Fabio & Rosazza Gianin Emanuela - 109-143 Mean and covariance matrix adaptive estimation for a weakly stationary process. Application in stochastic optimization
by Guigues Vincent - 145-157 Nonparametric nearest neighbor based empirical portfolio selection strategies
by Györfi László & Udina Frederic & Walk Harro
March 2008, Volume 26, Issue 1
- 1-1 Editorial
by Pflug Georg Ch. - 3-23 Goodness of fit testing using a specific density estimate
by Albers Casper J. & Schaafsma Willem - 25-34 Uniform and individual convergence rates for convex density classes
by Meister Alexander - 35-51 A kernel-based classifier on a Riemannian manifold
by Loubes Jean-Michel & Pelletier Bruno - 53-72 Comparison results for path-dependent options
by Bergenthum Jan & Rüschendorf Ludger
October 2007, Volume 25, Issue 4/2007
- 1-1 Letter from the editor
by Strasser Helmut - 1-15 Bootstrapping L2-type statistics in copula density testing
by Rehbock Volker - 1-20 Importance sampling for simulations of moderate deviation probabilities of statistics
by Ermakov Mikhail - 1-22 Pricing and hedging with globally and instantaneously vanishing risk
by Leitner Johannes - 1-25 Dynamic utility-based good deal bounds
by Klöppel Susanne & Schweizer Martin
July 2007, Volume 25, Issue 3/2007
- 1-19 A limit theorem for recursively defined processes in L
by Eickmeyer Kord & Rüschendorf Ludger - 1-25 Resampling in the frequency domain of time series to determine critical values for change-point tests
by Kirch Claudia - 1-43 Minimax estimators of the coverage probability of the impermissible error for a location family
by Arcones Miguel A.
April 2007, Volume 25, Issue 2/2007
- 1-20 Optimal kernels
by Mammitzsch Volker - 1-26 On universal Bayesian adaptation
by Lember Jüri & van der Vaart Aad - 1-37 Large deviations for L-statistics
by Boistard Hélène
January 2007, Volume 25, Issue 1/2007
- 1-18 Estimating the error distribution function in semiparametric regression
by Müller Ursula U. & Schick Anton & Wefelmeyer Wolfgang - 1-21 Decision theoretic Bayesian hypothesis testing with the selection goal
by Bansal Naveen K. - 1-22 Most powerful conditional tests
by Janssen Arnold & Völker Dominik - 1-24 An asymptotic analysis of the mean-variance portfolio selection
by Ottucsák György & Vajda István
October 2006, Volume 24, Issue 4/2006
- 1-9 Pure self-financing trading strategies under transaction costs
by Beutner Eric - 1-17 On the stochastic behaviour of the run length of EWMA control schemes for the mean of correlated output in the presence of shifts in σ
by Cabral Morais Manuel & Okhrin Yarema & Pacheco António & Schmidt Wolfgang - 1-20 On utility-based derivative pricing with and without intermediate trades
by Kallsen Jan & Kühn Christoph - 1-26 Quickest detection of drift change for Brownian motion in generalized Bayesian and minimax settings
by Feinberg Eugene A. & Shiryaev Albert N.
December 2006, Volume 24, Issue 3
- 1-21 Bootstrap autoregressive order selection
by Franke Jürgen & Kreiss Jens-Peter & Moser Martin - 1-21 Oracle inequalities for multi-fold cross validation
by Vaart Aad W. van der & Dudoit Sandrine & Laan Mark J. van der - 1-23 The cross-validated adaptive epsilon-net estimator
by Laan Mark J. van der & Dudoit Sandrine & Vaart Aad W. van der - 1-24 Parametric and semiparametric inference for shape: the role of the scale functional
by Hallin Marc & Paindaveine Davy
December 2006, Volume 24, Issue 2
- 1-1 Correction note: On the optimal risk allocation problem
by Burgert Christian & Rüschendorf Ludger - 1-11 On local bootstrap bandwidth choice in kernel density estimation
by Ziegler Klaus - 1-17 On Markovian short rates in term structure models driven by jump-diffusion processes
by Gapeev Pavel V. & Küchler Uwe - 1-18 Robust multivariate location estimation, admissibility, and shrinkage phenomenon
by Jurečková Jana & Sen P. K. - 1-21 Estimating market risk with neural networks
by Franke Jürgen & Diagne Mabouba - 1-24 Statistical inference on graphs
by Biau Gérard & Bleakley Kevin
July 2006, Volume 24, Issue 1
- 1-1 Editorial preface
by Rüschendorf L. - 1-25 Risk measurement with equivalent utility principles
by Denuit Michel & Dhaene Jan & Goovaerts Marc & Kaas Rob & Laeven Roger - 27-44 Dilatation monotone and comonotonic additive risk measures represented as Choquet integrals
by Grigoriev Pavel G. & Leitner Johannes