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A stochastic dominance approach to financial risk management strategies
Chang, Chia-Lin; Jiménez-Martín, Juan-Ángel; … - In: Journal of econometrics 187 (2015) 2, pp. 472-485
Persistent link: https://www.econbiz.de/10011499744
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Realized return volatility, asset pricing, and risk management
Andersen, Torben; Bollerslev, Tim - In: NBER reporter online (2006/2007) 3, pp. 7-10
Persistent link: https://www.econbiz.de/10011366975
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A solution to aggregation and an application to multidimensional "well-being" frontiers
Maasoumi, Esfandiar; Racine, Jeffrey - In: Journal of econometrics 191 (2016) 2, pp. 374-383
Persistent link: https://www.econbiz.de/10011610586
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Innovations in multiple time series analysis
Breitung, Jörg; Herwartz, Helmut - In: Journal of econometrics 192 (2016) 2, pp. 329-331
Persistent link: https://www.econbiz.de/10011704644
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Spillover dynamics for systemic risk measurement using spatial financial time series models
Blasques, Francisco; Koopman, Siem Jan; Lucas, André; … - In: Journal of econometrics 195 (2016) 2, pp. 211-223
Persistent link: https://www.econbiz.de/10011705251
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Local/import - and foreign currency prices : inflation, uncertainty and pass through endogeneity
Herwartz, Helmut; Roestel, Jan - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 22 (2018) 3, pp. 1-17
Persistent link: https://www.econbiz.de/10011897540
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Monetary independence under floating exchange rates : evidence based on international breakeven inflation rates
Herwartz, Helmut; Roestel, Jan - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 13 (2009) 4, pp. 1-23
Persistent link: https://www.econbiz.de/10009514157
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Beta autoregressive transition Markov-switching models for business cycle analysis
Billio, Monica; Casarin, Roberto - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 15 (2011) 4, pp. 1-30
Persistent link: https://www.econbiz.de/10009521858
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Intraday cross-sectional distributions of systematic risk
Andersen, Torben; Riva, Raul; Thyrsgaard, Martin; … - In: Journal of econometrics 235 (2023) 2, pp. 1394-1418
Persistent link: https://www.econbiz.de/10014471397
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Stochastic properties of nonlinear locally-nonstationary filters
Blasques, Francisco; Nientker, Marc - In: Journal of econometrics 235 (2023) 2, pp. 2082-2095
Persistent link: https://www.econbiz.de/10014471445