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A censored copula model for micro-level claim reserving
Lopez, Olivier - In: Insurance / Mathematics & economics 87 (2019), pp. 1-14
Persistent link: https://www.econbiz.de/10012058903
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How do volatility regimes affect the pricing of quality and liquidity in the stock market?
Bazgour, Tarik; Heuchenne, Cedric; Hübner, Georges; … - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 25 (2021) 1, pp. 1-17
Persistent link: https://www.econbiz.de/10012437837
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Conditional portfolio allocation : does aggregate market liquidity matter?
Bazgour, Tarik; Heuchenne, Cedric; Sougné, Danielle - In: Journal of empirical finance 35 (2016), pp. 110-135
Persistent link: https://www.econbiz.de/10011662728
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Scale Checks in Censored Regression
DETTE, HOLGER; HEUCHENNE, CEDRIC - In: Scandinavian Journal of Statistics 39 (2012) 2, pp. 323-339
Persistent link: https://www.econbiz.de/10010567591
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Understanding the economic determinants of the severity of operational losses : A regularized generalized Pareto regression approach
Hambuckers, Julien; Groll, Andreas; Kneib, Thomas - In: Journal of Applied Econometrics 33 (2018) 6, pp. 898-935
Persistent link: https://www.econbiz.de/10012082786
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Do interest rate differentials drive the volatility of exchange rates? : evidence from an extended stochastic volatility model
Ulm, Maren; Hambuckers, Julien - In: Journal of empirical finance 65 (2022), pp. 125-148
Persistent link: https://www.econbiz.de/10013286403
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Estimating the out-of-sample predictive ability of trading rules : a robust bootstrap approach
Hambuckers, Julien; Heuchenne, Cédric - In: Journal of forecasting 35 (2016) 4, pp. 347-372
Persistent link: https://www.econbiz.de/10011580770
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Estimating Value-at-Risk for the g-and-h distribution : an indirect inference approach
Bee, Marco; Hambuckers, Julien; Trapin, Luca - In: Quantitative finance 19 (2019) 8, pp. 1255-1266
Persistent link: https://www.econbiz.de/10012194764
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Modeling multivariate operational losses via copula-based distributions with g-and-h marginals
Bee, Marco; Hambuckers, Julien - In: The journal of operational risk 17 (2022) 1, pp. 81-111
Persistent link: https://www.econbiz.de/10014546257
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Smooth-transition regression models for non-stationary extremes
Hambuckers, Julien; Kneib, Thomas - In: Journal of financial econometrics 21 (2023) 2, pp. 445-484
Persistent link: https://www.econbiz.de/10014314754