Paul Kabaila

La Trobe University

Dr. Paul Kabaila holds a Reader in Statistics position in the Department of Mathematics and Statistics at La Trobe University in Melbourne, Australia. He has 90 publications in international refereed journals indexed by the Web of Science and is an elected member of the International Statistical Institute. His research interests include: (a) the effect of parameter estimation errors on measures of financial risk based on time series that display volatility clustering, (b) frequentist confidence intervals and prediction intervals that utilize uncertain prior information, (c) the effect of preliminary model selection on confidence intervals and prediction intervals and (d) frequentist model averaged confidence intervals. 

Follow Paul

Articles by Paul Kabaila

Estimation risk for value-at-risk and expected shortfall

This paper provides a detailed analysis of the relationship between approximate VaR (ES) and exact VaR (ES) by finding a linear regression model in which the response variable is the approximate VaR (ES) and the explanatory variable is the exact VaR (ES)…

You need to sign in to use this feature. If you don’t have a account, please register for a trial.

Sign in
You are currently on corporate access.

To use this feature you will need an individual account. If you have one already please sign in.

Sign in.

Alternatively you can request an individual account here