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Forecasting currency volatility : a comparison of implied volatilities and AR(FI)MA models
Pong, Shiuyan; Shackleton, Mark B.; Taylor, Stephen; … - In: Journal of banking & finance 28 (2004) 10, pp. 2541-2563
Persistent link: https://www.econbiz.de/10002233147
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Forecasts of the real price of oil revisited : do they beat the random walk?
Ellwanger, Reinhard; Snudden, Stephen - In: Journal of banking & finance 154 (2023), pp. 1-8
Persistent link: https://www.econbiz.de/10014491682
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Hysteresis bands on returns, holding period and transaction costs
Delgado, Francisco; Dumas, Bernard; Puopolo, Giovanni W. - In: Journal of banking & finance 57 (2015), pp. 86-100
Persistent link: https://www.econbiz.de/10011543798
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Multinomial VaR backtests : a simple implicit approach to backtesting expected shortfall
Kratz, Marie; Lok, Yen H.; McNeil, Alexander J. - In: Journal of banking & finance 88 (2018), pp. 393-407
Persistent link: https://www.econbiz.de/10011962940
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Covariance forecasting in equity markets
Symitsi, Efthymia; Symeonidis, Lazaros; Kourtis, Apostolos - In: Journal of banking & finance 96 (2018), pp. 153-168
Persistent link: https://www.econbiz.de/10011967197
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Robust portfolio choice with ambiguity and learning about return predictability
Branger, Nicole; Larsen, Linda Sandris; Munk, Claus - In: Journal of banking & finance 37 (2013) 5, pp. 1397-1411
Persistent link: https://www.econbiz.de/10009729098
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Modeling the time-varying dynamic term structure of interest rates
Choi, Ahjin; Kang, Kyu Ho - In: Journal of banking & finance 153 (2023), pp. 1-14
Persistent link: https://www.econbiz.de/10014490339
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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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Forecasting value at risk and expected shortfall using a model with a dynamic omega ratio
Taylor, James W. - In: Journal of banking & finance 140 (2022), pp. 1-15
Persistent link: https://www.econbiz.de/10013463062
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Forecasting VaR and ES using a joint quantile regression and its implications in portfolio allocation
Merlo, Luca; Petrella, Lea; Raponi, Valentina - In: Journal of banking & finance 133 (2021), pp. 1-18
Persistent link: https://www.econbiz.de/10013256440