In this paper, a local 𝑀-estimation for the conditional variance function in heteroscedastic regression models under stationary α-mixing dependent samples is developed. The local 𝑀-estimator is ...

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This issue of the Journal of Risk contains four long papers dealing with market risk management. The first paper, “Risk estimation using the normal inverse Gaussian distribution”, by P. J. de Jongh ...

Many techniques in survey sampling depend on the possession of information about an auxiliary variable x, or a vector of auxiliary variables, available for the entire population. Regression estimates ...