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Testing, comparing, and combining value-at-risk measures
Christoffersen, Peter F.
;
Hahn, Jinyong
;
Inoue, Atsushi
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1999
Persistent link: https://www.econbiz.de/10001427788
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2
Real-time multivariate density forecast evaluation and calibration : monitoring the risk of high-frequency returns on foreign exchange
Diebold, Francis X.
;
Hahn, Jinyong
;
Tay, Anthony S. A.
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1999
Persistent link: https://www.econbiz.de/10001426216
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3
Financial risk management in a volatile global environment
Diebold, Francis X.
;
Santomero, Anthony M.
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1999
Persistent link: https://www.econbiz.de/10001427787
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4
Ratings migration and the business cycle, with application to credit portfolio stress testing
Bangia, Anil
;
Diebold, Francis X.
;
Schuermann, Til
-
2000
Persistent link: https://www.econbiz.de/10001476401
Saved in:
5
The distribution of stock return volatility
Andersen, Torben
;
Bollerslev, Tim
;
Diebold, Francis X.
; …
-
2000
Persistent link: https://www.econbiz.de/10001476423
Saved in:
6
Range-based estimation of stochastic volatility models or exchange rate dynamics are more interesting than you think
Alizadeh, Sassan
;
Brandt, Michael W.
;
Diebold, Francis X.
-
2000
Persistent link: https://www.econbiz.de/10001477772
Saved in:
7
Exchange rate returns standardized by realized volatility are (nearly) Gaussian
Andersen, Torben
;
Bollerslev, Tim
;
Diebold, Francis X.
; …
-
2000
Persistent link: https://www.econbiz.de/10001477784
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