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Equity index variance : evidence from flexible parametric jump-diffusion models
Kaeck, Andreas; Rodrigues, Paulo Jorge Maurício; … - In: Journal of banking & finance 83 (2017), pp. 85-103
Persistent link: https://www.econbiz.de/10011816827
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Disagreement versus uncertainty : evidence from distribution forecasts
Krüger, Fabian; Nolte, Ingmar - In: Journal of banking & finance 72 (2016), pp. 172-186
Persistent link: https://www.econbiz.de/10011637119
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Default prediction with dynamic sectoral and macroeconomic frailties
Chen, Peimin; Wu, Chunchi - In: Journal of banking & finance 40 (2014), pp. 211-226
Persistent link: https://www.econbiz.de/10010402234
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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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Spectral backtests of forecast distributions with application to risk management
Gordy, Michael B.; McNeil, Alexander J. - In: Journal of banking & finance 116 (2020), pp. 1-13
Persistent link: https://www.econbiz.de/10012489248
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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
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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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Out-of-sample density forecasts with affine jump diffusion models
Yun, Jaeho - In: Journal of banking & finance 47 (2014), pp. 74-87
Persistent link: https://www.econbiz.de/10010506503