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Bayesian time-varying quantile forecasting for value-at-risk in financial markets
Gerlach, Richard H.; Chen, Cathy W. S.; Chan, Nancy Y. C. - In: Journal of business & economic statistics : JBES ; a … 29 (2011) 4, pp. 481-492
Persistent link: https://www.econbiz.de/10009355672
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Bayesian analysis of latent threshold dynamic models
Nakajima, Jouchi; West, Mike - In: Journal of business & economic statistics : JBES ; a … 31 (2013) 2, pp. 151-164
Persistent link: https://www.econbiz.de/10009754013
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Estimation of high-frequency volatility : an autoregressive conditional duration approach
Tse, Yiu Kuen; Yang, Thomas Tao - In: Journal of business & economic statistics : JBES ; a … 30 (2012) 4, pp. 533-545
Persistent link: https://www.econbiz.de/10009667044
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Heterocedasticity robust panel unit root tests
Westerlund, Joakim - In: Journal of business & economic statistics : JBES ; a … 32 (2014) 1, pp. 112-135
Persistent link: https://www.econbiz.de/10010380473
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Conditional correlation models of autoregressive conditional heteroscedasticity with nonstationary GARCH equations
Amado, Cristina; Teräsvirta, Timo - In: Journal of business & economic statistics : JBES ; a … 32 (2014) 1, pp. 69-87
Persistent link: https://www.econbiz.de/10010380478
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Effects of macroeconomic uncertainty on the stock and bond markets
Asgharian, Hossein; Christiansen, Charlotte; Hou, Ai Jun - In: Finance research letters 13 (2015), pp. 10-16
Persistent link: https://www.econbiz.de/10011552317
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Intraday exchange rate volatility transmissions across QE announcements
Kenourgios, Dimitris; Papadamou, Stephanos; Dimitriou, … - In: Finance research letters 14 (2015), pp. 128-134
Persistent link: https://www.econbiz.de/10011552689
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Analyst recommendations and volatility in a rising, falling, and crisis equity market
Corbet, Shaen; Dowling, Michael; Cummins, Mark - In: Finance research letters 15 (2015), pp. 187-194
Persistent link: https://www.econbiz.de/10011553187
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A new Pearson-type QMLE for conditionally heteroscedastic models
Zhu, Ke; Li, Wai Keung - In: Journal of business & economic statistics : JBES ; a … 33 (2015) 4, pp. 552-565
Persistent link: https://www.econbiz.de/10011403239
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A multivariate generalized autoregressive conditional heteroscedasticity model with time-varying correlations
Tse, Yiu Kuen; Tsui, Albert K. - In: Journal of business & economic statistics : JBES ; a … 20 (2002) 3, pp. 351-362
Persistent link: https://www.econbiz.de/10001695276