The authors propose a nonparametric method for estimating extreme quantiles of operational risk reserves by utilizing a lower ...

Michael Stutzer, A Simple Nonparametric Approach to Derivative Security Valuation, The Journal of Finance, Vol. 51, No. 5 (Dec., 1996), pp. 1633-1652 ...

Four new nonparametric estimators of static CoVaR are proposed. They are shown to be consistent and asymptotically normal under random sampling. Their performance is compared in simulation studies.

Theoretical properties of the Spearman-Kärber estimator of the mean tolerance in a quantal response bioassay are discussed, and its limiting distribution is studied under three different limiting ...

Even if the data are distributed normally, nonparametric methods are often almost as powerful as parametric methods. Most nonparametric methods are based on taking the ranks of a variable and ...

The conventional growth-accounting approach to estimating the sources of economic growth requires unrealistically strong assumptions about the competitiveness of factor markets and the form of the ...