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The existence and persistence of household financial hardship : a Bayesian multivariate dynamic logit framework
Brown, Sarah; Ghosh, Pulak; Taylor, Karl - In: Journal of banking & finance 46 (2014), pp. 285-298
Persistent link: https://www.econbiz.de/10010468424
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Evaluating Value-at-Risk forecasts : a new set of multivariate backtests
Wied, Dominik; Weiß, Gregor; Ziggel, Daniel - In: Journal of banking & finance 72 (2016), pp. 121-132
Persistent link: https://www.econbiz.de/10011635501
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Large dynamic covariance matrices : enhancements based on intraday data
De Nard, Gianluca; Engle, Robert F.; Ledoit, Olivier; … - In: Journal of banking & finance 138 (2022), pp. 1-16
Persistent link: https://www.econbiz.de/10013461761
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Multivariate moments expansion density : application of the dynamic equicorrelation model
Ñíguez, Trino-Manuel; Perote, Javier - In: Journal of banking & finance 72 (2016), pp. 216-232
Persistent link: https://www.econbiz.de/10011637138
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Nonparametric, conditional pricing of higher order multivariate contingent claims
Giannopoulos, Kostas - In: Journal of banking & finance 32 (2008) 9, pp. 1907-1915
Persistent link: https://www.econbiz.de/10003774993
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The role of credit in the Great Moderation : a multivariate GARCH approach
Grydaki, Maria; Bezemer, Dirk Johan - In: Journal of banking & finance 37 (2013) 11, pp. 4615-4626
Persistent link: https://www.econbiz.de/10010248518
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Affine multivariate GARCH models
Escobar, Marcos; Rastegari, Javad; Stentoft, Lars - In: Journal of banking & finance 118 (2020), pp. 1-16
Persistent link: https://www.econbiz.de/10012521059
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A non-elliptical orthogonal GARCH model for portfolio selection under transaction costs
Paolella, Marc S.; Polak, Pawel; Walker, Patrick S. - In: Journal of banking & finance 125 (2021), pp. 1-20
Persistent link: https://www.econbiz.de/10012819586
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Pricing and hedging of derivatives in contagious markets
Kokholm, Thomas - In: Journal of banking & finance 66 (2016), pp. 19-34
Persistent link: https://www.econbiz.de/10011634490
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Testing the stability of implied probability density functions
Bliss, Robert R.; Panigirtzoglou, Nikolaos - In: Journal of banking & finance 26 (2002) 2/3, pp. 381-422
Persistent link: https://www.econbiz.de/10001654337