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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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Bayesian inference for issuer heterogeneity in credit ratings migration
Kadam, Ashay; Lenk, Peter J. - In: Journal of banking & finance 32 (2008) 10, pp. 2267-2274
Persistent link: https://www.econbiz.de/10003778726
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Risk assessment for credit portfolios : a coupled Markov chain model
Kaniovski, Yuri M.; Pflug, Georg - In: Journal of banking & finance 31 (2007) 8, pp. 2303-2323
Persistent link: https://www.econbiz.de/10003522921
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Optimal reinsurance and asset allocation under regime switching
Jang, Bong-Gyu; Kim, Kyeong Tae - In: Journal of banking & finance 56 (2015), pp. 37-47
Persistent link: https://www.econbiz.de/10011488574
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Modelling long run comovements in equity markets : a flexible approach
Martins, Luís Filipe; Gabriel, Vasco J. - In: Journal of banking & finance 47 (2014), pp. 288-295
Persistent link: https://www.econbiz.de/10010506954
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Discrete stochastic autoregressive volatility
Cordis, Adriana S.; Kirby, Chris - In: Journal of banking & finance 43 (2014), pp. 160-178
Persistent link: https://www.econbiz.de/10010410013
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Volatility dynamics for the S&P 500 : further evidence from non-affine, multi-factor jump diffusions
Kaeck, Andreas; Alexander, Carol - In: Journal of banking & finance 36 (2012) 11, pp. 3110-3121
Persistent link: https://www.econbiz.de/10009672975
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Credit risk modeling with affine processes
Duffie, Darrell - In: Journal of banking & finance 29 (2005) 11, pp. 2751-2802
Persistent link: https://www.econbiz.de/10003121049