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12/27/2022
Estimation of stability index for symmetric α-stable distribution using quantile conditional variance ratios
The class of α-stable distributions is widely used in various applicatio...
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10/29/2022
A note on the equivalence between the conditional uncorrelation and the independence of random variables
It is well known that while the independence of random variables implies...
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07/21/2022
Estimating value at risk: LSTM vs. GARCH
Estimating value-at-risk on time series data with possibly heteroscedast...
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10/20/2020