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Contributions to robustness theory

La Vecchia, Davide ; Ronchetti, Elvezio (Dir.) ; Trojani, Fabio (Codir.)

Thèse de doctorat : Università della Svizzera italiana, 2011 ; 2011ECO004.

The goal of this PhD Thesis is the definition of new robust estimators, thereby extending the available theory and exploring new directions for applications in finance. The Thesis contains three papers, which analyze three different types of estimators: M-, Minimum Distance- and R- estimators. The focus is manly of their infinitesimal robustness, but global robustness properties are also...