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~isPartOf:"Applied economics letters"
~isPartOf:"Journal of forecasting"
~person:"Dempsey, Michael"
~person:"Li, Chenxing"
~person:"Stoja, Evarist"
~subject:"Statistical distribution"
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TWO-COMPONENT EXTREME VALUE DI...
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Dempsey, Michael
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Applied economics letters
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Incorporating higher moments into value-at-risk forecasting
Polanski, Arnold
;
Stoja, Evarist
- In:
Journal of forecasting
29
(
2010
)
6
,
pp. 523-535
Persistent link: https://www.econbiz.de/10008935468
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Risk management under time varying volatility and Pareto-stable distributions
Mozumder, Sharif
;
Kabir, M. Humayun
;
Dempsey, Michael
; …
- In:
Applied economics letters
27
(
2020
)
3
,
pp. 161-167
Persistent link: https://www.econbiz.de/10012205404
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3
A multivariate GARCH-jump mixture model
Li, Chenxing
;
Maheu, John M.
- In:
Journal of forecasting
43
(
2024
)
1
,
pp. 182-207
Persistent link: https://www.econbiz.de/10014443194
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