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VAR for VaR: measuring tail dependence using multivariate regression quantiles

White, Halbert; Kim, Tae-hwan; Manganelli, Simone - In: Journal of econometrics 187 (2015) 1, pp. 169-188

Persistent link: https://www.econbiz.de/10011498808

Modeling autoregressive conditional skewness and kurtosis with multi-quantile CAViaR

White, Halbert; Kim, Tae-Hwan; Manganelli, Simone - 2008

Engle and Manganelli (2004) propose CAViaR, a class of models suitable for estimating conditional quantiles in dynamic settings. Engle and Manganelli apply their approach to the estimation of Value at Risk, but this is only one of many possible applications. Here we extend CAViaR models to...

Persistent link: https://www.econbiz.de/10011605003

Testing for regime switching

Cho, Jin Seo; White, Halbert - In: Econometrica : journal of the Econometric Society, an … 75 (2007) 6, pp. 1671-1720

Persistent link: https://www.econbiz.de/10003611883

Tests of conditional predictive ability

Giacomini, Raffaella; White, Halbert - In: Econometrica : journal of the Econometric Society, an … 74 (2006) 6, pp. 1545-1578

Persistent link: https://www.econbiz.de/10003392308

Asymptotic distribution theory for nonparametric entropy measures of serial dependence

Hong, Yongmiao; White, Halbert - In: Econometrica : journal of the Econometric Society, an … 73 (2005) 3, pp. 837-901

Persistent link: https://www.econbiz.de/10002876743

Monitoring structural change

Chu, Chia-shang James - In: Econometrica : journal of the Econometric Society, an … 64 (1996) 5, pp. 1045-1065

Persistent link: https://www.econbiz.de/10001206926

Dangers of data mining : the case of calendar effects in stock returns

Sullivan, Ryan; Timmermann, Allan; White, Halbert - In: Journal of econometrics 105 (2001) 1, pp. 249-286

Persistent link: https://www.econbiz.de/10001617167

Subsampling the distribution of diverging statistics with applications to finance

Bertail, Patrice; Häfke, Christian; Politis, Dimitris N.; … - In: Journal of econometrics 120 (2004) 2, pp. 295-326

Persistent link: https://www.econbiz.de/10002028637

Maximum likelihood and the bootstrap for nonlinear dynamic models

Gonçalves, Sílvia; White, Halbert - In: Journal of econometrics 119 (2004) 1, pp. 199-219

Persistent link: https://www.econbiz.de/10001944127

A reality check for data snooping

White, Halbert - In: Econometrica : journal of the Econometric Society, an … 68 (2000) 5, pp. 1097-1126

Persistent link: https://www.econbiz.de/10001510571