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Value-at-risk and extreme returns

Daníelsson, Jón; Vries, Casper G. de - 1998

Persistent link: https://www.econbiz.de/10000980737

Daily exchange rate behaviour and hedging of currency risk

Bos, Charles S.; Mahieu, Ronald J.; Dijk, Herman K. van - 2000 - rev.

Persistent link: https://www.econbiz.de/10001554496

Daily exchange rate behaviour and hedging of currency risk

Bos, Charles S.; Mahieu, Ronald J.; Dijk, Herman K. van - 1999

Persistent link: https://www.econbiz.de/10001412189

Untangling real gravity

Klaassen, Franc; Teulings, Rutger - 2017

all variables proposed by theory, despite a broad set of fixed effects (FE). We find that both REERs are important and … multilateral resistances. Untangling normalization helps to get a better view of what is still unexplained by theory. …

Persistent link: https://www.econbiz.de/10011791519

Value-at-risk and extreme returns

Daníelsson, Jón; Vries, Casper G. de - 1997

Accurate prediction of the frequency of extreme events is of primary importance in many financialapplications such as Value-at-Risk (VaR) analysis. We propose a semi-parametric method for VaRevaluation. The largest risks are modelled parametrically, while smaller risks are captured by the...

Persistent link: https://www.econbiz.de/10010533206

Multivariate stochastic volatility

Daníelsson, Jón - 1995

Persistent link: https://www.econbiz.de/10000913125

Long memory and level shifts : re-analyzing inflation rates

Bos, Charles S.; Franses, Philip Hans; Ooms, Marius - 1998

Persistent link: https://www.econbiz.de/10000984706

Inference for adaptive time series models : stochastic volatility and conditionally Gaussian state space form

Bos, Charles S.; Shephard, Neil G. - 2004

Persistent link: https://www.econbiz.de/10001906792

Dynamic factor analysis in the presence of missing data

Jungbacker, Borus; Koopman, Siem Jan; Wel, Michel van der - 2009

Persistent link: https://www.econbiz.de/10003813787

Adaptive polar sampling : a new MC technique for the analysis of ill-behaved surfaces

Bauwens, Luc; Bos, Charles S.; Dijk, Herman K. van - 1998 - August 25, 1998, rev. B

Adaptive Polar Sampling is proposed as an algorithm where random drawings aredirectly generated from the target function (posterior) in all-but-onedirections of the parameter space. The method is based on the mixed integrationtechnique of Van Dijk, Kloek & Boender (1985) but extends this one by...

Persistent link: https://www.econbiz.de/10011299991