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Pitfalls in VAR based return decompositions : a clarification
Engsted, Tom; Pedersen, Thomas Q.; Tanggaard, Carsten - In: Journal of banking & finance 36 (2012) 5, pp. 1255-1265
Persistent link: https://www.econbiz.de/10009614553
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Return decomposition and the Intertemporal CAPM
Maio, Paulo - In: Journal of banking & finance 37 (2013) 12, pp. 4958-4972
Persistent link: https://www.econbiz.de/10010341875
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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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The memory of beta
Becker, Janis; Hollstein, Fabian; Prokopczuk, Marcel; … - In: Journal of banking & finance 124 (2021), pp. 1-13
Persistent link: https://www.econbiz.de/10012816442
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The impact of monetary policy on corporate bonds under regime shifts
Guidolin, Massimo; Orlov, Alexei G.; Pedio, Manuela - In: Journal of banking & finance 80 (2017), pp. 176-202
Persistent link: https://www.econbiz.de/10011816268
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Functional gradient descent for financial time series with an application to the measurement of market risk
Audrino, Francesco; Barone-Adesi, Giovanni - In: Journal of banking & finance 29 (2005) 4, pp. 959-977
Persistent link: https://www.econbiz.de/10002601077
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Modeling persistent interest rates with double-autoregressive processes
Hansen, Anne Lundgaard - In: Journal of banking & finance 133 (2021), pp. 1-14
Persistent link: https://www.econbiz.de/10013257376
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Decomposing and backtesting a flexible specification for CoVaR
Bonaccolto, Giovanni; Caporin, Massimiliano; Paterlini, … - In: Journal of banking & finance 108 (2019), pp. 1-16
Persistent link: https://www.econbiz.de/10012224757
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Unfolded risk-return trade-offs and links to Macroeconomic Dynamics
Liu, Xiaochun - In: Journal of banking & finance 82 (2017), pp. 1-19
Persistent link: https://www.econbiz.de/10011816457
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Anticipating jumps : Decomposition of straddle price
Chen, Bei; Quan Gan; Vasquez, Aurelio - In: Journal of banking & finance 149 (2023), pp. 1-14
Persistent link: https://www.econbiz.de/10014462382