Department of Economics
Ottawa, Ontario K1S 5B6
Entropy, Relative entropy measure of joint dependence, Copula, Most entropic
Spurious Regression, Weak Dependence, Structural Breaks, Strictly Stationary, Autoregressive Processes
Linear exponential weighted mean square risk, Exponential weighted mean square risk, second order stochastic dominance, Large deviations, asymmetric risk, shortfall risk, utility function, optimal portfolio
L-moment, Stein Equation, GMM, Bahadur Effciency, Likelihood Ratio
Large Deviations, Jump Diffusion, Exponential Utility Function
Absolutely regular mixing, CLT (FCLT), Discount sums, Moving average
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Absolutely regular mixing, CLT (FCLT), discount sums, Abel sums, moving average, Beinstein's blocking technique, the Beveridge–Nelson (BN) decomposition, the OLS estimates
This is a Wiley-Blackwell Publishing paper. Wiley-Blackwell Publishing charges $42.00 .
File name: MECA.pdf
Optimal portfolio, The Edgeworth expansion, Asymmetric Risk, Large deviations, Asymmetric Gamma distribution, Nonlinear correlations, Value at Risk
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