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subject:"ARCH model"
~person:"Degiannakis, Stavros"
~person:"Su, Jung-bin"
~subject:"Multivariate distribution"
~subject:"Statistical distribution"
~type:"article"
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Degiannakis, Stavros
Su, Jung-bin
Tiwari, Aviral Kumar
12
Hammoudeh, Shawkat
11
Račev, Svetlozar T.
11
Fabozzi, Frank J.
9
Karmakar, Madhusudan
9
Mensi, Walid
9
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8
Kim, Young Shin
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7
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7
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7
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7
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7
Ji, Qiang
7
Kang, Sang Hoon
7
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7
Liu, Hung-Chun
7
Paolella, Marc S.
7
Shahzad, Syed Jawad Hussain
7
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6
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6
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Furman, Edward
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Mao, Tiantian
6
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6
Peng, Liang
6
Petrella, Lea
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Su, Jianxi
6
Taylor, James W.
6
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ECONIS (ZBW)
15
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1
The impact of liquidity on portfolio value-at-risk forecasts
Hung, Jui-Cheng
;
Su, Jung-bin
;
Chang, Matthew C.
;
Wang, …
- In:
Applied economics
52
(
2020
)
3
,
pp. 242-259
Persistent link: https://www.econbiz.de/10012197387
Saved in:
2
Multiple-days-ahead value-at-risk and expected shortfall forecasting for stock indices, commodities and exchange rate : inter-day versus intra-day data
Degiannakis, Stavros
;
Potamia, Artemis
- In:
International review of financial analysis
49
(
2017
),
pp. 176-190
Persistent link: https://www.econbiz.de/10011741290
Saved in:
3
Why does skewness and the fat-tail effect influence value-at-risk estimates? : evidence from alternative capital markets
Su, Jung-bin
;
Lee, Ming-chih
;
Chiu, Chien-Liang
- In:
International review of economics & finance : IREF
31
(
2014
),
pp. 59-85
Persistent link: https://www.econbiz.de/10010490442
Saved in:
4
Modeling CAC40 volatility using ultra-high frequency data
Degiannakis, Stavros
;
Floros, Christos
- In:
Research in international business and finance
28
(
2013
),
pp. 68-81
Persistent link: https://www.econbiz.de/10009725156
Saved in:
5
Value-at-risk estimates of the stock indices in developed and emerging markets including the spillover effects of currency market
Su, Jung-bin
- In:
Economic modelling
46
(
2015
),
pp. 204-224
Persistent link: https://www.econbiz.de/10011436595
Saved in:
6
Multivariate modelling of 10-day-ahead VaR and dynamic correlation for worldwide real estate and stock indices
Degiannakis, Stavros
;
Kiohos, Apostolos
- In:
Journal of economic studies
41
(
2014
)
2
,
pp. 216-232
Persistent link: https://www.econbiz.de/10010259271
Saved in:
7
A Monte Carlo simulation approach to forecasting multi-period value-at-risk and expected shortfall using the FIGARCH-SKT specification
Degiannakis, Stavros
;
Dent, Pamela
;
Floros, Christos
- In:
The Manchester School
82
(
2014
)
1
,
pp. 71-102
Persistent link: https://www.econbiz.de/10010419583
Saved in:
8
Empirical analysis of long memory, leverage, and distribution effects for stock market risk estimates
Su, Jung-bin
- In:
The North American journal of economics and finance : a …
30
(
2014
),
pp. 1-39
Persistent link: https://www.econbiz.de/10010463599
Saved in:
9
Forecasting value-at-risk and expected shortfall using fractionally integrated models of conditional volatility : international evidence
Degiannakis, Stavros
;
Floros, Christos
;
Dent, Pamela
- In:
International review of financial analysis
27
(
2013
),
pp. 21-33
Persistent link: https://www.econbiz.de/10009736952
Saved in:
10
Evaluating value-at-risk models before and after the financial crisis of 2008 : international evidence
Degiannakis, Stavros
;
Floros, Christos
;
Livada, Alexandra
- In:
Managerial finance
38
(
2012
)
4
,
pp. 436-452
Persistent link: https://www.econbiz.de/10009530921
Saved in:
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