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Minimal returns and the breakdown of the price-volume relation
Balduzzi, Pierluigi - In: Economics letters 50 (1996) 2, pp. 265-269
Persistent link: https://www.econbiz.de/10001197571
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GARCH models for daily stock returns : impact of estimation frequency on Value-at-Risk and Expected Shortfall forecasts
Ardia, David; Hoogerheide, Lennart F. - In: Economics letters 123 (2014) 2, pp. 187-190
Persistent link: https://www.econbiz.de/10010400299
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The asymptotic distribution of extreme stock market returns
Longin, François M. - In: The journal of business : B 69 (1996) 3, pp. 383-408
Persistent link: https://www.econbiz.de/10001203930
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Stock Index Returns' Density Prediction Using GARCH Models : Frequentist or Bayesian Estimation?
Hoogerheide, Lennart F. - 2017
provided between frequentist and Bayesian estimation. No significant difference is found between the qualities of the forecasts …
Persistent link: https://www.econbiz.de/10012976219
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GARCH models for daily stock returns : impact of estimation frequency on value-at-risk and expected shortfall forecasts
Ardia, David; Hoogerheide, Lennart - 2013
Persistent link: https://www.econbiz.de/10010191413
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Tail relation between return and volume in the US stock market : an analysis based on extreme value theory
Longin, François M.; Pagliardi, Giovanni - In: Economics letters 145 (2016), pp. 252-254
Persistent link: https://www.econbiz.de/10011618837