The Value-at-Risk (VaR) forecasting ability of Filtered Historical Simulation (FHS) is assessed usin

The Hodrick-Prescott (HP) method was originally developed for the smoothing of time series, i.e. to

As séries temporais e espaço-temporais multidimensionais são observadas nos mais variados campos

In this lecture, we will present a brief introduction to Extreme Values. We will start by the classi

The NPMLE of a distribution function under random one-sided (left or right) truncation is the well-k

We are interested in reduced-bias versions of a simple generalisation of the classical Hill estimato

  In a recent paper, Trefethen and al. [1] have proposed a method for computing a robust Padé a

The screening procedure consists in building a specification region CX in the d-dimensional space su