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source:"econis"
subject:"Estimation"
~isPartOf:"Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet"
~person:"Fabozzi, Frank J."
~type_genre:"Article in journal"
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Fabozzi, Frank J.
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Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
The journal of fixed income
2
Annals of operations research
1
Applied economics
1
International review of financial analysis
1
Journal of financial and quantitative analysis : JFQA
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ECONIS (ZBW)
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Empirical analysis of ARMA-GARCH models in market risk estimation on high-frequency US data
Beck, Alexander
;
Kim, Young Shin
;
Račev, Svetlozar T.
; …
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
17
(
2013
)
2
,
pp. 167-177
Persistent link: https://www.econbiz.de/10009739605
Saved in:
2
Computational aspects of portfolio risk estimation in volatile markets : a survey
Fabozzi, Frank J.
;
Stoyanov, Stoyan V.
;
Račev, Svetlozar T.
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
17
(
2013
)
1
,
pp. 103-120
Persistent link: https://www.econbiz.de/10009728412
Saved in:
3
Index-exciting CAViaR : a new empirical time-varying risk model
Huang, Dashan
;
Yu, Baimin
;
Lu, Zu-di
;
Fabozzi, Frank J.
; …
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
14
(
2010
)
2
,
pp. 1-24
Persistent link: https://www.econbiz.de/10009514126
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