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Comparison of Value at Risk (VaR) multivariate forecast models
Müller, Fernanda Maria
;
Righi, Marcelo Brutti
- In:
Computational economics
63
(
2024
)
1
,
pp. 75-110
Persistent link: https://www.econbiz.de/10014471980
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2
Forecasting Value at Risk and expected shortfall of foreign exchange rate volatility of major African currencies via GARCH and dynamic conditional correlation analysis
Afuecheta, Emmanuel
;
Okorie, Idika E.
;
Nadarajah, Saralees
- In:
Computational economics
63
(
2024
)
1
,
pp. 271-304
Persistent link: https://www.econbiz.de/10014472109
Saved in:
3
A new dynamic mixture copula mechanism to examine the nonlinear and asymmetric tail dependence between stock and exchange rate returns
Chang, Kuang-Liang
- In:
Computational economics
58
(
2021
)
4
,
pp. 965-999
Persistent link: https://www.econbiz.de/10012697775
Saved in:
4
Calibrating the Italian smile with time-varying volatility and heavy-tailed models
Bianchi, Michele Leonardo
;
Račev, Svetlozar T.
; …
- In:
Computational economics
51
(
2018
)
3
,
pp. 339-378
Persistent link: https://www.econbiz.de/10011963681
Saved in:
5
Measuring and testing tail dependence and contagion risk between Major stock markets
Su, Ender
- In:
Computational economics
50
(
2017
)
2
,
pp. 325-351
Persistent link: https://www.econbiz.de/10011762384
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