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A practical guide to harnessing the HAR volatility model
Clements, Adam; Preve, Daniel P. A. - In: Journal of banking & finance 133 (2021), pp. 1-16
Persistent link: https://www.econbiz.de/10013256626
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Weighted least squares realized covariation estimation
Li, Yifan; Nolte, Ingmar; Vasios, Michalis; Voev, Valeri; … - In: Journal of banking & finance 137 (2022), pp. 1-21
Persistent link: https://www.econbiz.de/10013460187
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Asymmetric effect of basis on dynamic futures hedging : empirical evidence from commodity markets
Lien, Da-hsiang Donald; Li, Yang - In: Journal of banking & finance 32 (2008) 2, pp. 187-198
Persistent link: https://www.econbiz.de/10003647092
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The role of autoregressive conditional skewness and kurtosis in the estimation of conditional VaR
Bali, Turan G.; Mo, Hengyong; Tang, Yi - In: Journal of banking & finance 32 (2008) 2, pp. 269-282
Persistent link: https://www.econbiz.de/10003647212
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Developing a stress testing framework based on market risk models
Alexander, Carol; Sheedy, Elizabeth A. - In: Journal of banking & finance 32 (2008) 10, pp. 2220-2236
Persistent link: https://www.econbiz.de/10003778713
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A Markov regime switching approach for hedging energy commodities
Alizadeh-Masoodian, Amir H.; Nomikos, Nikos K.; … - In: Journal of banking & finance 32 (2008) 9, pp. 1970-1983
Persistent link: https://www.econbiz.de/10003775048
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Market interactions in returns and volatilities between spot and forward shipping freight markets
Kavussanos, Manolis G.; Visvikis, Ilias D. - In: Journal of banking & finance 28 (2004) 8, pp. 2015-2049
Persistent link: https://www.econbiz.de/10002118377
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Unconditional return disturbances: A non-parametric simulation approach
Tompkins, Robert G.; D'Ecclesia, Rita L. - In: Journal of banking & finance 30 (2006) 1, pp. 287-314
Persistent link: https://www.econbiz.de/10003285633
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A comprehensive analysis of the short-term interest-rate dynamics
Bali, Turan G.; Wu, Liuren - In: Journal of banking & finance 30 (2006) 4, pp. 1269-1290
Persistent link: https://www.econbiz.de/10003310322
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The stock-bond correlation and macroeconomic conditions : one and a half centuries of evidence
Yang, Jian; Zhou, Yinggang; Wang, Zijun - In: Journal of banking & finance 33 (2009) 4, pp. 670-680
Persistent link: https://www.econbiz.de/10003820924