Central Bank Research Hub - JEL classification C46: Specific Distributions; Specific Statistics

Title Author(s)

Modelling euro banknote quality in circulation

European Central Bank Occasional papers [View] (Paper: 204, 01.12.2017)

JEL: C46, C63, E42, E58

Accurate Evaluation of Expected Shortfall for Linear Portfolios with Elliptically Distributed Risk Factors

Board of Governors of the Federal Reserve System FEDS series [View] (Paper: 2016-065, 05.07.2016)

JEL: C46, G11

Co-movement of revisions in short- and long-term inflation expectations

Bank of Portugal Working papers [View] (Paper: 866, 05.10.2015)

JEL: C14, C46, G12

A Quadratic Kalman Filter

Bank of France Working Papers [View] (Paper: 486, 08.07.2014)

JEL: C32, C46, C53

Are the log-returns of Italian open-end mutual funds normally distributed? A risk assessment perspective

Bank of Italy Working Papers [View] (Paper: 957, 08.07.2014)

JEL: C02, C46, G23

A hierarchical model of tail dependent asset returns for assessing portfolio credit risk

Deutsche Bundesbank Discussion Papers [View] (Paper: 16/2011, 30.12.2011)

JEL: C46, C63, G12, G21

A hierarchical Archimedean copula for portfolio credit risk modelling

Deutsche Bundesbank Discussion Papers [View] (Paper: 14/2011, 07.11.2011)

JEL: C46, C63, G21

Marginal Distributions of Random Vectors Generated by Affine Transformations of Independent Two-Piece Normal Variables

Bank of Portugal Working papers [View] (Paper: 201013, 23.06.2010)

JEL: C46

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