Sparse simulation-based estimator built on quantiles

Author:

Stolfi PaolaORCID,Bernardi Mauro,Petrella Lea

Publisher

Elsevier BV

Subject

Statistics, Probability and Uncertainty,Economics and Econometrics,Statistics and Probability

Reference42 articles.

1. A dominance test for measuring financial connectedness;Bernardi;The European Journal of Finance,2020

2. Tempered stable distributions and processes in finance: numerical analysis;Bianchi,2010

3. Sparse estimation of a covariance matrix;Bien;Biometrika,2011

4. A general class of multivariate skew-elliptical distributions;Branco;J. Multivariate Anal.,2001

5. Copula methods in finance;Cherubini,2004

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