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Short-term determinants of the idiosyncratic sovereign risk premium : a regime-dependent analysis for European credit default swaps
Calice, Giovanni; Mio, RongHui; Štěrba, Filip; … - In: Journal of empirical finance 33 (2015), pp. 174-189
Persistent link: https://www.econbiz.de/10011556866
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Testing for parameter instability in competing modeling frameworks
Calvori, Francesco; Creal, Drew; Koopman, Siem Jan; … - 2014
We develop a new parameter stability test against the alternative of observation driven generalized autoregressive score dynamics. The new test generalizes the ARCH-LM test of Engle (1982) to settings beyond time-varying volatility and exploits any autocorrelation in the likelihood scores under...
Persistent link: https://www.econbiz.de/10010229896
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Dynamic conditional correlation multiplicative error processes
Bodnar, Taras; Hautsch, Nikolaus - In: Journal of empirical finance 36 (2016), pp. 41-67
Persistent link: https://www.econbiz.de/10011662746
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An adaptive long memory conditional correlation model
Dark, Jonathan - In: Journal of empirical finance 75 (2024), pp. 1-16
Persistent link: https://www.econbiz.de/10014491877
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The euro introduction and non-euro currencies
Dijk, Dick van; Munandar, Haris; Hafner, Christian M. - 2006
the framework of dynamic conditional correlation (DCC) models, we find that such breaks occurred both at the time the …
Persistent link: https://www.econbiz.de/10011343243
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Testing for structural breaks in correlations : does it improve Value-at-Risk forecasting?
Berens, Tobias; Weiß, Gregor; Wied, Dominik - In: Journal of empirical finance 32 (2015), pp. 135-152
Persistent link: https://www.econbiz.de/10011556809
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Oil price volatility and macroeconomic fundamentals : a regime switching GARCH-MIDAS model
Pan, Zhiyuan; Wang, Yudong; Wu, Chongfeng; Yin, Libo - In: Journal of empirical finance 43 (2017), pp. 130-142
Persistent link: https://www.econbiz.de/10011817944
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An alternative Bayesian approach to structural breaks in time series models
Hauwe, Sjoerd van den; Paap, Richard; Dijk, Dick van - 2011
Persistent link: https://www.econbiz.de/10008857052
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Nonlinearity and smoothing in venture capital performance data
McKenzie, Michael D.; Satchell, Stephen; Wongwachara, … - In: Journal of empirical finance 19 (2012) 5, pp. 782-795
Persistent link: https://www.econbiz.de/10009700590
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Discrete versus continuous state switching models for portfolio credit risk
Lucas, André; Klaassen, Pieter - 2003
the implied asset correlations for discrete state switching models are implausibly low compared to correlation estimates …
Persistent link: https://www.econbiz.de/10011334358