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CORRELATION AND DEPENDENCE IN RISK MANAGEMENT : PROPERTIES AND PITFALLS

• Paul Embrechts, Alexander J. McNeil, Daniel Straumann
• 1999

Modern risk management calls for an understanding of stochastic dependence going beyond simple linear correlation. This paper deals with the static (non-time-dependent) case and emphasizes the copula… (More)

Quasi-maximum-likelihood Estimation in Conditionally Heteroscedastic Time Series: a Stochastic Recurrence Equations Approach 1

• Daniel Straumann, Thomas Mikosch
• 2005

This paper studies the quasi-maximum-likelihood estimator (QMLE) in a general conditionally heteroscedastic time series model of multiplicative form Xt = σtZt, where the unobservable volatility σt is… (More)

Daniel Straumann : Stable Limits of Martingale Transforms with Application to the Estimation of Garch Parameters

• Thomas Mikosch, Daniel Straumann
• 2004

In this paper we study the asymptotic behavior of the Gaussian quasi maximum likelihood estimator of a stationary GARCH process with heavy-tailed innovations. This means that the innovations are… (More)

Correlation : Pitfalls and Alternatives

• Paul Embrechts, Alexander J. McNeil, Daniel Straumann
• 1999

Correlation is a mine eld for the unwary. One does not have to search far in the literature of nancial risk management to nd misunderstanding and confusion. This is worrying since correlation is a… (More)

QUASI – MAXIMUM – LIKELIHOOD ESTIMATION IN HETEROSCEDASTIC TIME SERIES : A STOCHASTIC RECURRENCE EQUATIONS APPROACH

• Daniel Straumann, Thomas Mikosch

This paper studies the quasi–maximum–likelihood estimator (QMLE) in a general heteroscedastic time series model of multiplicative form Xt = σtZt, where the unobservable volatility σt is a parametric… (More)

QMLE IN CONDITIONALLY HETEROSCEDASTIC TIME SERIES

• Daniel Straumann, Thomas Mikosch
• 2005

This paper studies the quasi-maximum-likelihood estimator (QMLE) in a general conditionally heteroscedastic time series model of multiplicative form Xt = σtZt , where the unobservable volatility σt… (More)

Cost-benefit analysis of MIS THA: Model-based analysis of the consequences for Switzerland.

• Daniel Straumann, Victor Valderrabano, Marc K Eckstein, W. Carson Dick, Claudio Dora
• Hip international : the journal of clinical and…
• 2006

The objective of this study was to show model-based economic consequences of minimal invasive surgery total hip arthroplasty (MIS THA). The model is based on hospital and rehabilitation costs and… (More)

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