research
∙
11/15/2021
Joint FCLT for the Sample Quantile and Measures of Dispersion for Functionals of Mixing Processes
In this paper, we establish a joint (bivariate) functional central limit...
share
research
∙
01/02/2020
The Impact of the Choice of Risk and Dispersion Measure on Procyclicality
Procyclicality of historical risk measure estimation means that one tend...
research
∙
06/21/2019
Bivariate FCLT for the Sample Quantile and Measures of Dispersion for Augmented GARCH(p,q) processes
In this note, we build upon the asymptotic theory for GARCH processes, c...
research
∙
04/26/2019