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On the dependence structure of realized volatilities
Mendes, Beatriz Vaz de Melo; Accioly, Victor Bello - In: International review of financial analysis 22 (2012), pp. 1-9
Persistent link: https://www.econbiz.de/10010219700
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Predicting VaR for China's stock market : a score-driven model based on normal inverse Gaussian distribution
Song, Shijia; Li, Handong - In: International review of financial analysis 82 (2022), pp. 1-20
Persistent link: https://www.econbiz.de/10013426497
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Testing for financial crashes using the Log Periodic Power Law model
Brée, David S.; Joseph, Nathan Lael - In: International review of financial analysis 30 (2013), pp. 287-297
Persistent link: https://www.econbiz.de/10010461550
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Nonparametric inference of expectile-based value-at-risk for financial time series with application to risk assessment
Zhang, Feipeng; Xu, Yixiong; Fan, Caiyun - In: International review of financial analysis 90 (2023), pp. 1-8
Persistent link: https://www.econbiz.de/10014469910
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How does trading volume affect financial return distributions?
Do, Hung Xuan; Brooks, Robert; Sirimon Treepongkaruna; … - In: International review of financial analysis 35 (2014), pp. 190-206
Persistent link: https://www.econbiz.de/10010530243
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Some extensions of the CAPM for individual assets
Vendrame, Vasco; Tucker, Jon; Guermat, Cherif - In: International review of financial analysis 44 (2016), pp. 78-85
Persistent link: https://www.econbiz.de/10011623808
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Fat tails in private equity fund returns : the smooth double Pareto distribution
Lahr, Henry - In: International review of financial analysis 86 (2023), pp. 1-14
Persistent link: https://www.econbiz.de/10014248309
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Where is the distribution tail threshold? : a tale on tail and copulas in financial risk measurement
González Sánchez, Mariano; Nave Pineda, Juan M. - In: International review of financial analysis 86 (2023), pp. 1-12
Persistent link: https://www.econbiz.de/10014248319
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Market-wide illiquidity and the distribution of non-parametric stochastic discount factors
Abad Díaz, David; Nieto Domenech, Belen; Pascual, Roberto - In: International review of financial analysis 87 (2023), pp. 1-17
Persistent link: https://www.econbiz.de/10014460538
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Forecasting the yield curve with linear factor models
Matsumura, Marco Shinobu; Moreira, Ajax; Vicente, José … - In: International review of financial analysis 20 (2011) 5, pp. 237-243
Persistent link: https://www.econbiz.de/10009492131