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The contribution of intraday jumps to forecasting the density of returns
Chorro, Christophe; Ielpo, Florian; Sévi, Benoît - In: Journal of economic dynamics & control 113 (2020), pp. 1-24
Persistent link: https://www.econbiz.de/10012502523
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A severity function approach to scenario selection
Mokinski, Frieder - 2017
The severity function approach (abbreviated SFA) is a method of selecting adverse scenarios from a multivariate density. It requires the scenario user (e.g. an agency that runs banking sector stress tests) to specify a "severity function", which maps candidate scenarios into a scalar severity...
Persistent link: https://www.econbiz.de/10011755965
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A new statistic and practical guidelines for nonparametric Granger causality testing
Diks, Cees G. H.; Panchenko, Valentyn - In: Journal of economic dynamics & control 30 (2006) 9/10, pp. 1647-1669
Persistent link: https://www.econbiz.de/10003370351
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High-frequency volatility modeling : A Markov-Switching Autoregressive Conditional Intensity model
Li, Yifan; Nolte, Ingmar; Nolte, Sandra - In: Journal of economic dynamics & control 124 (2021), pp. 1-21
Persistent link: https://www.econbiz.de/10012666459
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On the bimodality of the distribution of the S&P 500's distortion : empirical evidence and theoretical explanations
Schmitt, Noemi; Westerhoff, Frank H. - In: Journal of economic dynamics & control 80 (2017), pp. 34-53
Persistent link: https://www.econbiz.de/10011817623
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Model complexity and out-of-sample performance : evidence from S&P 500 index returns
Kaeck, Andreas; Rodrigues, Paulo Jorge Maurício; … - In: Journal of economic dynamics & control 90 (2018), pp. 1-29
Persistent link: https://www.econbiz.de/10011974016
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Asset allocation with time series momentum and reversal
He, Xue-zhong; Li, Kai; Li, Youwei - In: Journal of economic dynamics & control 91 (2018), pp. 441-457
Persistent link: https://www.econbiz.de/10011974221
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Maximum likelihood estimation for dynamic factor models with missing data
Jungbacker, Borus; Koopman, Siem Jan; Wel, Michel van der - In: Journal of economic dynamics & control 35 (2011) 8, pp. 1358-1368
Persistent link: https://www.econbiz.de/10009241401
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A test for additive outliers applicable to long-memory time series
Chareka, Patrick; Matarise, Florance; Turner, Rolf - In: Journal of economic dynamics & control 30 (2006) 4, pp. 595-621
Persistent link: https://www.econbiz.de/10003305472
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The risk return relationship : evidence from index returns and realised variances
Yang, Minxian - In: Journal of economic dynamics & control 107 (2019), pp. 1-21
Persistent link: https://www.econbiz.de/10012312640