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Exact inference in diagnosing Value-at-Risk estimates : a Monte Carlo device
Herwartz, Helmut - In: Economics letters 103 (2009) 3, pp. 160-162
Persistent link: https://www.econbiz.de/10003854913
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A Lagrange multiplier test for causality in variance
Hafner, Christian M.; Herwartz, Helmut - In: Economics letters 93 (2006) 1, pp. 137-141
Persistent link: https://www.econbiz.de/10003380170
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Copula-MGARCH with continuous covariance decomposition
Herwartz, Helmut; Raters, Fabian H. C. - In: Economics letters 133 (2015), pp. 73-76
Persistent link: https://www.econbiz.de/10011431988
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The relationship between parameters within a latent variable framework
Heckman, James J.; Vytlacil, Edward - In: Economics letters 66 (2000) 1, pp. 33-39
Persistent link: https://www.econbiz.de/10001435921
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Asymmetric volatility impulse response functions
Hafner, Christian M.; Herwartz, Helmut - In: Economics letters 222 (2023), pp. 1-6
Persistent link: https://www.econbiz.de/10014232851