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A value-at-risk forecastability indicator in the framework of a generalized autoregressive score with "asymmetric laplace distribution"
Dima, Bogdan; Dima, Ştefana Maria; Ioan, Roxana - In: Finance research letters 45 (2022), pp. 1-14
Persistent link: https://www.econbiz.de/10014575518
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Remarks on the behaviour of financial market efficiency during the COVID-19 pandemic : the case of VIX
Dima, Bogdan; Dima, Ştefana Maria; Ioan, Roxana - In: Finance research letters 43 (2021), pp. 1-9
Persistent link: https://www.econbiz.de/10014632407