3 citations · 11 across the 15 of their papers we have counts for
4 papers · 1 filter
A nonparametric copula approach to conditional Value-at-Risk
Gery Geenens, Richard Dunn
Value-at-Risk and its conditional allegory, which takes into account the available information about the economic environment, form the centrepiece of the Basel framework for the e…
Shape-preserving wavelet-based multivariate density estimation
Carlos Aya Moreno, Gery Geenens, Spiridon Penev
Wavelet estimators for a probability density f enjoy many good properties, however they are not "shape-preserving" in the sense that the final estimate may not be non-negative or i…
Mellin-Meijer-kernel density estimation on
Gery Geenens
Nonparametric kernel density estimation is a very natural procedure which simply makes use of the smoothing power of the convolution operation. Yet, it performs poorly when the den…
Robust analysis of second-leg home advantage in UEFA football through better nonparametric confidence intervals for binary regression functions
Gery Geenens, Thomas Cuddihy
In international football (soccer), two-legged knockout ties, with each team playing at home in one leg and the final outcome decided on aggregate, are common. Many players, manage…