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Predicting tail-related risk measures : the consequences of using GARCH filters for non-GARCH data
Jalal, Amine; Rockinger, Michael - In: Journal of empirical finance 15 (2008) 5, pp. 868-877
Persistent link: https://www.econbiz.de/10003776390
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Testing for differences in the tails of stock-market returns
Jondeau, Eric; Rockinger, Michael - In: Journal of empirical finance 10 (2003) 5, pp. 559-581
Persistent link: https://www.econbiz.de/10001806965
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Granularity adjustment for efficient portfolios
Gouriéroux, Christian; Monfort, Alain - In: Econometric reviews 32 (2013) 1/4, pp. 449-468
Persistent link: https://www.econbiz.de/10009717782
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Linear-price term structure models
Gouriéroux, Christian; Monfort, Alain - In: Journal of empirical finance 24 (2013), pp. 24-41
Persistent link: https://www.econbiz.de/10010371993
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The econometrics of efficient portfolios
Gouriéroux, Christian; Monfort, Alain - In: Journal of empirical finance 12 (2005) 1, pp. 1-41
Persistent link: https://www.econbiz.de/10002642993
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Econometric disequilibrium models
Quandt, Richard E.; Hendry, David F.; Monfort, Alain - In: Econometric reviews 1 (1982) 1, pp. 1-63
Persistent link: https://www.econbiz.de/10002666391