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VARMA models for Malaysian monetary policy analysis

Raghavan, Mala; Athanasopoulos, George; Silvapulle, … - 2009

Persistent link: https://www.econbiz.de/10003868966

Estimating the error distribution in multivariate heteroscedastic time series models

Kim, Gunky; Silvapulle, Mervyn J.; Silvapulle, Paramsothy - 2007

Persistent link: https://www.econbiz.de/10003486438

Semiparametric estimation of the dependence parameter of the error terms in multivariate regression

Kim, Gunky; Silvapulle, Mervyn J.; Silvapulle, Paramsothy - 2007

Persistent link: https://www.econbiz.de/10003486458

A semiparametric approach to value-at-risk, expect shortfall and optimum asset allocation in stock-bond portfolios

Chen, Xiangjin B.; Silvapulle, Paramsothy; Silvapulle, … - 2013

Persistent link: https://www.econbiz.de/10009775495

Canadian monetary policy analysis using a structural VARMA model

Raghavan, Mala; Athanasopoulos, George; Silvapulle, … - 2013

Persistent link: https://www.econbiz.de/10009713016

Canadian monetary policy analysis using a structural VARMA model

Raghavan, Mala; Athanasopoulos, George; Silvapulle, … - 2014

Persistent link: https://www.econbiz.de/10010409867

Bayesian approaches to non-parametric estimation of densities on the unit interval

Li, Song; Silvapulle, Mervyn J.; Silvapulle, Paramsothy; … - 2012

Persistent link: https://www.econbiz.de/10009565478

Half-life estimation based on the bias-corrected bootstrap : a highest density region approach

Kim, Jae H.; Silvapulle, Paramsothy; Hyndman, Rob J. - 2006

Persistent link: https://www.econbiz.de/10003361020

Assessing dependence changes in the Asian financial market returns using plots based on nonparametric measures

Silvapulle, Paramsothy; Zhang, Xibin - 2006

Persistent link: https://www.econbiz.de/10003361025

A Semiparametric Approach to Value-at-Risk, Expected Shortfall and Optimum Asset Allocation in Stock-Bond Portfolios Before and After the Global Financial Crisis

Silvapulle, Param - 2012

This paper investigates a stock-bond portfolio s tail risks such as value-at-risk (VaR) and expected shortfall (ES) and the optimum asset allocation, and the way in which these measures have been a¤ected by the recent global financial crisis (GFC). The semiparametric method is used to estimate...

Persistent link: https://www.econbiz.de/10013115773