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Risk Modelling and Management: An Overview

Chang, Chia-Lin; Allen, David E.; McAleer, Michael; … - Institute of Economic Research, Kyoto University - 2013

The papers in this special issue of Mathematics and Computers in Simulation are substantially revised versions of the papers that were presented at the 2011 Madrid International Conference on “Risk Modelling and Management” (RMM2011). The papers cover the following topics: currency hedging...

Persistent link: https://www.econbiz.de/10010674394

Modeling exchange rate dynamics : non-linear dependence and thick tails

MacGuirk, Anya M.; Robertson, John C.; Spanos, Aris - In: Econometric reviews 12 (1993) 1, pp. 33-63

Persistent link: https://www.econbiz.de/10001141851

Error autocorrelation revisited : the AR(1) case

Spanos, Aris - In: Econometric reviews 6 (1987) 2, pp. 285-294

Persistent link: https://www.econbiz.de/10001052102

Semiparametric autoregressive conditional duration model : theory and practice

Saart, Patrick W.; Gao, Jiti; Allen, David E. - In: Econometric reviews 34 (2015) 6/10, pp. 849-881

Persistent link: https://www.econbiz.de/10011483396

Testing explosive bubbles with time-varying volatility

Harvey, David I.; Leybourne, Stephen James; Zu, Yang - In: Econometric reviews 38 (2019) 10, pp. 1131-1151

Persistent link: https://www.econbiz.de/10012181398

Tests for an end-of-sample bubble in financial time series

Astill, Sam; Harvey, David I.; Leybourne, Stephen James; … - In: Econometric reviews 36 (2017) 6/9, pp. 651-666

Persistent link: https://www.econbiz.de/10011795312

Statistical adequacy and the testing of trend versus difference stationarity

Andreou, Elena; Spanos, Aris - In: Econometric reviews 22 (2003) 3, pp. 217-237

Persistent link: https://www.econbiz.de/10001786916

Comment on "Statistical adequacy and the testing of trend versus difference stationarity" by Andreou and Spanos (Number 1)

Perron, Pierre - In: Econometric reviews 22 (2003) 3, pp. 239-245

Persistent link: https://www.econbiz.de/10001786918

Comment on "Statistical adequacy and the testing of trend versus difference stationarity" by Andreou and Spanos (Number 2)

Lumsdaine, Robin L. - In: Econometric reviews 22 (2003) 3, pp. 247-252

Persistent link: https://www.econbiz.de/10001786919

Comment on "Statistical adequacy and the testing of trend versus difference stationarity" by Andreou and Spanos (Number 3)

Nymoen, Ragnar - In: Econometric reviews 22 (2003) 3, pp. 253-260

Persistent link: https://www.econbiz.de/10001786920

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