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Extremal quantiles and stock price crashes
Andreou, Panayiotis C.; Anyfantaki, Sofia; Maasoumi, … - In: Econometric reviews 42 (2023) 9/10, pp. 703-724
Persistent link: https://www.econbiz.de/10014420354
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High-order conditional quantile estimation based on nonparametric models of regression
Martins-Filho, Carlos; Yao, Feng; Torero, Máximo - In: Econometric reviews 34 (2015) 6/10, pp. 907-958
Persistent link: https://www.econbiz.de/10011483401
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Size distributions reconsidered
Schluter, Christian; Trede, Mark - In: Econometric reviews 38 (2019) 6, pp. 695-710
Persistent link: https://www.econbiz.de/10012181347
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Where does the tail begin? : an approach based on scoring rules
Hoga, Yannick - In: Econometric reviews 39 (2020) 6, pp. 579-601
Persistent link: https://www.econbiz.de/10012195423
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Bayesian analysis of multivariate stochastic volatility with skew return distribution
Nakajima, Jouchi - In: Econometric reviews 36 (2017) 5, pp. 546-562
Persistent link: https://www.econbiz.de/10011795262
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Reconciling negative return skewness with positive time-varying risk premia
Kyriakopoulou, Dimitra; Hafner, Christian M. - In: Econometric reviews 41 (2022) 8, pp. 877-894
Persistent link: https://www.econbiz.de/10013364913
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Measuring firm performance using nonparametric quantile-type distances
Daouia, Abdelaati; Simar, Léopold; Wilson, Paul W. - In: Econometric reviews 36 (2017) 1/3, pp. 156-181
Persistent link: https://www.econbiz.de/10011795039
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Assessing point forecast accuracy by stochastic error distance
Diebold, Francis X.; Shin, Minchul - In: Econometric reviews 36 (2017) 6/9, pp. 588-598
Persistent link: https://www.econbiz.de/10011795289
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On some models for value-at-risk
Yu, Philip L. H.; Li, Wai Keung; Jin, Shusong - In: Econometric reviews 29 (2010) 5/6, pp. 622-641
Persistent link: https://www.econbiz.de/10008668112
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Conditional VAR and expected shortfall : a new functional approach
Ferraty, Frédéric; Quintela del Río, Alejandro - In: Econometric reviews 35 (2016) 1/4, pp. 263-292
Persistent link: https://www.econbiz.de/10011549924