Journal of the Royal Statistical Society. Series B (Statistical Methodology), Vol. 80, No. 5 (2018), pp. 975-993 (19 pages) Estimating conditional quantiles of financial time series is essential for ...
Aggregate-level conditional status metrics (ACSMs) describe the status of a group by referencing current performance to expectations given past scores. This article provides a framework for these ...
One of the more difficult challenges for modeling is deciding how (or if) to deal with extreme data points. It’s a common problem in economic and financial numbers. Fat tailed distributions are ...
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