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Value-at-risk in the presence of structural breaks using unbiased extreme value volatility estimator
Kumar, Dilip - In: Journal of quantitative economics 18 (2020) 3, pp. 587-610
Persistent link: https://www.econbiz.de/10012418856
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Penalized quasi-likelihood estimation of generalized Pareto regression : consistent identification of risk factors for extreme losses
Meng, Jin; Chan, Kung-sik - In: Insurance / Mathematics & economics 104 (2022), pp. 60-75
Persistent link: https://www.econbiz.de/10013264936
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Estimating and predicting value-at-risk in the presence of structural breaks : A study based on unbiased extreme value volatility estimator
Kumar, Dilip - In: The journal of prediction markets 14 (2020) 1, pp. 27-48
Persistent link: https://www.econbiz.de/10012667394
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Flexible markov-switching models with evolving regime-specific parameters : an application to Brazilian business cycles
Gomes, Fábio A.; Melo, Lívia C. M.; Soave, Gian Paulo - In: Applied economics 56 (2024) 14, pp. 1705-1722
Persistent link: https://www.econbiz.de/10014473203
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A comparison of methods for forecasting value at risk and expected shortfall of cryptocurrencies
Trucíos, Carlos; Taylor, James W. - In: Journal of forecasting 42 (2023) 4, pp. 989-1007
Persistent link: https://www.econbiz.de/10014292894
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External adjustment with a common currency : the case of the euro area
Fuertes, Alberto - In: Empirical economics : a quarterly journal of the … 62 (2022) 5, pp. 2205-2238
Persistent link: https://www.econbiz.de/10013197289
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Exchange rate linkages between the ASEAN currencies, the US dollar and the Chinese RMB
Caporale, Guglielmo Maria; Gil-Alaña, Luis A.; You, Kefei - In: Research in international business and finance 44 (2018), pp. 227-238
Persistent link: https://www.econbiz.de/10011983039
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The Feldstein-Horioka puzzle in the presence of structural breaks : evidence from China
Yildirim, Dilem; Orman, Ethem Erdem - In: Journal of the Asia Pacific economy 23 (2018) 3, pp. 374-392
Persistent link: https://www.econbiz.de/10012131099
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Estimation of Nonlinear Exchange Rate Dynamics in Evolving Regimes
Frankel, Jeffrey A.; Hou, Yao; Xie, Danxia - National Bureau of Economic Research - 2024
This paper develops a new econometric framework to estimate and classify exchange rate regimes. They are classified into four distinct categories: fixed exchange rates, BBC (band, basket and crawl), managed floating, and freely floating. The procedure captures the patterns of exchange rate...
Persistent link: https://www.econbiz.de/10014635607
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On Pareto efficiency in asset markets
Takino, Kazuhiro - In: Theoretical economics letters 9 (2019) 7, pp. 2508-2515
Persistent link: https://www.econbiz.de/10012213842