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Multivariate forecasting of a commodity portfolio : application to cattle feeding margins and risk
Tonsor, Glynn T.; Schroeder, Ted C. - In: Applied economics 43 (2011) 10/12, pp. 1329-1339
Persistent link: https://www.econbiz.de/10009239426
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Predicting instability
Razzak, Weshah A. - In: Applied economics 45 (2013) 22/24, pp. 3305-3315
Persistent link: https://www.econbiz.de/10010345431
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The role of credit in the Great Moderation : a multivariate GARCH approach
Grydaki, Maria; Bezemer, Dirk Johan - In: Journal of banking & finance 37 (2013) 11, pp. 4615-4626
Persistent link: https://www.econbiz.de/10010248518
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Rationality of inflation-output forecasts of MMS survey : international evidence
Ulu, Yasemin - In: Applied economics 47 (2015) 10/12, pp. 1187-1198
Persistent link: https://www.econbiz.de/10010486260
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A non-elliptical orthogonal GARCH model for portfolio selection under transaction costs
Paolella, Marc S.; Polak, Pawel; Walker, Patrick S. - In: Journal of banking & finance 125 (2021), pp. 1-20
Persistent link: https://www.econbiz.de/10012819586
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Spillover effects in the global copper futures markets: asymmetric multivariate GARCH approaches
Lee, Hyun-Bock; Park, Cheol-Ho - In: Applied economics 52 (2020) 54, pp. 5909-5920
Persistent link: https://www.econbiz.de/10012308379
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Evaluating the joint efficiency of German trade forecasts : a nonparametric multivariate approach
Behrens, Christoph - In: Applied economics 52 (2020) 34, pp. 3732-3747
Persistent link: https://www.econbiz.de/10012258978
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Pricing and hedging of derivatives in contagious markets
Kokholm, Thomas - In: Journal of banking & finance 66 (2016), pp. 19-34
Persistent link: https://www.econbiz.de/10011634490
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Volatility spillover and multivariate volatility impulse response analysis of GFC news events
Allen, David E.; McAleer, Michael; Powell, Robert; … - In: Applied economics 49 (2017) 31/33, pp. 3246-3262
Persistent link: https://www.econbiz.de/10011774739
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Evaluating Value-at-Risk forecasts : a new set of multivariate backtests
Wied, Dominik; Weiß, Gregor; Ziggel, Daniel - In: Journal of banking & finance 72 (2016), pp. 121-132
Persistent link: https://www.econbiz.de/10011635501