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~isPartOf:"The North American journal of economics and finance : a journal of financial economics studies"
~subject:"GARCH"
~subject:"Share price"
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Bayesian Tail Risk Forecasting...
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GARCH
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158
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150
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141
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97
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Bouri, Elie
2
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2
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Hung, Pi-Hsia
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Energy economics
The North American journal of economics and finance : a journal of financial economics studies
MPRA Paper
83
Applied economics
35
Finance research letters
35
Journal of econometrics
35
Journal of risk and financial management : JRFM
31
Economics letters
26
International review of financial analysis
26
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26
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25
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1
A new copula for modeling portfolios with skewed, leptokurtic and high-order dependent risk factors
Quatto, Piero
;
Vacca, Gianmarco
;
Zoia, Maria Grazia
- In:
The North American journal of economics and finance : a …
58
(
2021
),
pp. 1-22
Persistent link: https://www.econbiz.de/10013187663
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2
Selection of value at risk models for energy commodities
Laporta, Alessandro G.
;
Merlo, Luca
;
Petrella, Lea
- In:
Energy economics
74
(
2018
),
pp. 628-643
Persistent link: https://www.econbiz.de/10011972948
Saved in:
3
Credit and market risks measurement in carbon financing for Chinese banks
Zhang, Xi
;
Li, Jian
- In:
Energy economics
76
(
2018
),
pp. 549-557
Persistent link: https://www.econbiz.de/10011976726
Saved in:
4
Oil price risk evaluation using a novel hybrid model based on time-varying long memory
Zhao, Lu-Tao
;
Liu, Kun
;
Duan, Xin-Lei
;
Li, Ming-Fang
- In:
Energy economics
81
(
2019
),
pp. 70-78
Persistent link: https://www.econbiz.de/10012172659
Saved in:
5
Moments expansion densities for quantifying financial risk
Ñíguez, Trino-Manuel
;
Perote, Javier
- In:
The North American journal of economics and finance : a …
42
(
2017
),
pp. 53-69
Persistent link: https://www.econbiz.de/10011938073
Saved in:
6
Time-varying mixture
GARCH
models and asymmetric volatility
Haas, Markus
;
Krause, Jochen
;
Paolella, Marc S.
; …
- In:
The North American journal of economics and finance : a …
26
(
2013
),
pp. 602-623
Persistent link: https://www.econbiz.de/10010370491
Saved in:
7
A TVM-Copula-MIDAS-
GARCH
model with applications to VaR-based portfolio selection
Jiang, Cuixia
;
Ding, Xiaoyi
;
Xu, Qifa
;
Tong, Yongbo
- In:
The North American journal of economics and finance : a …
51
(
2020
),
pp. 1-11
Persistent link: https://www.econbiz.de/10012659611
Saved in:
8
Forecasting crude oil price volatility and value-at-risk : evidence from historical and recent data
Lux, Thomas
;
Segnon, Mawuli
;
Gupta, Rangan
- In:
Energy economics
56
(
2016
),
pp. 117-133
Persistent link: https://www.econbiz.de/10011663878
Saved in:
9
GARCH
models, tail indexes and error distributions : an empirical investigation
Horváth, Roman
;
Šopov, Boril
- In:
The North American journal of economics and finance : a …
37
(
2016
),
pp. 1-15
Persistent link: https://www.econbiz.de/10011672845
Saved in:
10
Oil stocks, risk factors, and tail behavior
Lian, Ziying
;
Cai, Jun
;
Webb, Robert I.
- In:
Energy economics
91
(
2020
),
pp. 1-19
Persistent link: https://www.econbiz.de/10012518738
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