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Testing, comparing, and combining value-at-risk measures
Christoffersen, Peter F.; Hahn, Jinyong; Inoue, Atsushi - 1999
Persistent link: https://www.econbiz.de/10001427788
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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. - 1999
Persistent link: https://www.econbiz.de/10001426216
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Financial risk management in a volatile global environment
Diebold, Francis X.; Santomero, Anthony M. - 1999
Persistent link: https://www.econbiz.de/10001427787
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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
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The distribution of stock return volatility
Andersen, Torben; Bollerslev, Tim; Diebold, Francis X.; … - 2000
Persistent link: https://www.econbiz.de/10001476423
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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
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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