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1
Value at risk estimation by threshold stochastic volatility model
Huang, Alex
- In:
Applied economics
47
(
2015
)
43/45
,
pp. 4884-4900
Persistent link: https://www.econbiz.de/10011380922
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2
Do market prices aggregate information about macroeconomic uncertainty (or risk)?
Cover, James Peery
;
Lee, Hye-Jin
- In:
Applied economics
47
(
2015
)
40/42
,
pp. 4511-4534
Persistent link: https://www.econbiz.de/10011295329
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3
Measuring systemic risk with a dynamic copula-based approach
Jang, Hyun Jin
;
Pan, Xiao
;
Park, Sumin
- In:
Applied economics
53
(
2021
)
50
,
pp. 5843-5863
Persistent link: https://www.econbiz.de/10012627102
Saved in:
4
Estimating multi-period value at risk of oil futures prices
Zhou, Chunyang
;
Qin, Xiao
;
Diao, Xundi
;
He, Yingchen
- In:
Applied economics
48
(
2016
)
31/33
,
pp. 2994-3004
Persistent link: https://www.econbiz.de/10011615344
Saved in:
5
Score-driven Markov-switching EGARCH models : an application to systematic risk analysis
Blazsek, Szabolcs
;
Ho, Han-Chiang
;
Liu, Su-Ping
- In:
Applied economics
50
(
2018
)
56
,
pp. 6047-6060
Persistent link: https://www.econbiz.de/10012063386
Saved in:
6
Dynamic conditional score models of degrees of freedom : filtering with score-driven heavy tails
Blazsek, Szabolcs
;
Monteros, Luis Antonio
- In:
Applied economics
49
(
2017
)
53
,
pp. 5426-5440
Persistent link: https://www.econbiz.de/10011845187
Saved in:
7
Long range dependence in an emerging stock market's sectors : volatility modelling and VaR forecasting
Abuzayed, Bana
;
Al-Fayoumi, Nedal
;
Charfeddine, Lanouar
- In:
Applied economics
50
(
2018
)
23
,
pp. 2569-2599
Persistent link: https://www.econbiz.de/10011850296
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8
The impact of liquidity on portfolio value-at-risk forecasts
Hung, Jui-Cheng
;
Su, Jung-bin
;
Chang, Matthew C.
;
Wang, …
- In:
Applied economics
52
(
2020
)
3
,
pp. 242-259
Persistent link: https://www.econbiz.de/10012197387
Saved in:
9
Event-study analysis by using dynamic conditional score models
Blazsek, Szabolcs
;
Monteros, Luis Antonio
- In:
Applied economics
49
(
2017
)
45
,
pp. 4530-4541
Persistent link: https://www.econbiz.de/10011844230
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10
Hedging for multi-period downside risk in the presence of jump dynamics and conditional heteroskedasticity
Lee, Ming-chih
;
Hung, Jui-cheng
- In:
Applied economics
39
(
2007
)
16/18
,
pp. 2403-2412
Persistent link: https://www.econbiz.de/10003590359
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