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Best subset selection for double-threshold-variable autoregressive moving-average models : the Bayesian approach
Zheng, Xiaobing; Liang, Kun; Xia, Qiang; Zhang, Dabin - In: Computational economics 59 (2022) 3, pp. 1175-1201
Persistent link: https://www.econbiz.de/10013169238
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Implied severity density estimation : an extended semiparametric method to compute credit value at risk
Baixauli, J. Samuel; Alvarez, Susana - In: Computational economics 40 (2012) 2, pp. 115-129
Persistent link: https://www.econbiz.de/10009627482
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Robust portfolio optimization based on semi-parametric ARMA-TGARCH-EVT model with mixed copula using WCVaR
Deng, Xue; Liang, Ying - In: Computational economics 61 (2023) 1, pp. 267-294
Persistent link: https://www.econbiz.de/10014228426
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Partially adaptive econometric methods for regression and classification
Hansen, James V.; McDonald, James B.; Theodossiou, … - In: Computational economics 36 (2010) 2, pp. 153-169
Persistent link: https://www.econbiz.de/10008796488
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Estimation of expected shortfall using quantile regression : a comparison study
Christou, Eliana; Grabchak, Michael - In: Computational economics 60 (2022) 2, pp. 725-753
Persistent link: https://www.econbiz.de/10013380827
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Option pricing model biases : Bayesian and Markov Chain Monte Carlo regression analysis
Mozumder, Sharif; Choudhry, Taufiq; Dempsey, Michael - In: Computational economics 57 (2021) 4, pp. 1287-1305
Persistent link: https://www.econbiz.de/10012543312
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Indicator selection of index construction by adaptive lasso with a generic [epsilon]-insensitive loss
Ye, Yafen; Chi, Renyong; Shao, Yuan-Hai; Li, Chun-Na; … - In: Computational economics 60 (2022) 3, pp. 971-990
Persistent link: https://www.econbiz.de/10013380861
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Importance sampling for calculating the Value-at-Risk and expected shortfall of the quadratic portfolio with t-distributed risk factors
Teng, Huei-Wen - In: Computational economics 62 (2023) 3, pp. 1125-1154
Persistent link: https://www.econbiz.de/10014382887
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Portfolio optimization when risk factors are conditionally varying and heavy tailed
Doganoglu, Toker; Hartz, Christoph; Mittnik, Stefan - In: Computational economics 29 (2007) 3/4, pp. 333-354
Persistent link: https://www.econbiz.de/10003493814
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Portfolio risk measures : the time's arrow matters
Ruttiens, Alain - In: Computational economics 41 (2013) 3, pp. 407-424
Persistent link: https://www.econbiz.de/10009711309