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Julien Hambuckers

HEC-ULg University of Liège

Rue Louvrex

Liège, 4000

Belgium

  • HEC-ULg University of Liège

SCHOLARLY PAPERS

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Scholarly Papers (2)

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1.

Estimating the Out-of-Sample Predictive Ability of Technical Trading Rules: A Robust Bootstrap Approach

J. Hambuckers and C. Heuchenne. Estimating the Out-of-Sample Predictive Ability of Technical Trading Rules: A Robust Bootstrap approach. Journal of Forecasting, 34 (4): 347-372, 2016.
Posted: 02 Jul 2016
Julien Hambuckers and Cedric Heuchenne
HEC-ULg University of Liège and University of Liege - HEC Management School

Abstract:

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trading rules, bootstrap, bootstrap .632, out-of-sample, predictive ability, parameter uncertainty

2.

Modeling the Dependence between Extreme Operational Losses and Economic Factors: A Conditional Semi-Parametric Generalized Pareto Approach

Posted: 06 Oct 2015
Julien Hambuckers, Cedric Heuchenne and Olivier Lopez
HEC-ULg University of Liège, University of Liege - HEC Management School and Independent

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Generalized Pareto distribution, Operational risk, Extreme events, Loss distribution approach, Semiparametric regression