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Statistical inference for a relative risk measure
He, Yi; Hou, Yanxi; Peng, Liang; Sheng, Jiliang - In: Journal of business & economic statistics : JBES ; a … 37 (2019) 2, pp. 301-311
Persistent link: https://www.econbiz.de/10012177340
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Conditional extremes in asymmetric financial markets
Nolde, Natalia; Zhang, Jinyuan - In: Journal of business & economic statistics : JBES ; a … 38 (2020) 1, pp. 201-213
Persistent link: https://www.econbiz.de/10012179547
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What does the volatility risk premium say about liquidity provision and demand for hedging tail risk?
Fan, Jianqing; Imerman, Michael B.; Dai, Wei - In: Journal of business & economic statistics : JBES ; a … 34 (2016) 4, pp. 519-535
Persistent link: https://www.econbiz.de/10011692397
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Risk measure inference
Hurlin, Christophe; Laurent, Sébastien; Quaedvlieg, Rogier - In: Journal of business & economic statistics : JBES ; a … 35 (2017) 4, pp. 499-512
Persistent link: https://www.econbiz.de/10011893687
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CAViaR: conditional autoregressive value at risk by regression quantiles
Engle, Robert F.; Manganelli, Simone - In: Journal of business & economic statistics : JBES ; a … 22 (2004) 4, pp. 367-381
Persistent link: https://www.econbiz.de/10002372839
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A note on optimal estimation from a risk-management perspective under possibly misspecified tail behavior
Lucas, André - In: Journal of business & economic statistics : JBES ; a … 18 (2000) 1, pp. 31-39
Persistent link: https://www.econbiz.de/10001441592
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Real-time macroeconomic forecasting with a heteroscedastic inversion copula
Loiza-Maya, Ruben; Smith, Michael S. - In: Journal of business & economic statistics : JBES ; a … 38 (2020) 2, pp. 470-486
Persistent link: https://www.econbiz.de/10012262488
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Measuring asset market linkages : nonlinear dependence and tail risk
Escanciano, Juan Carlos; Hualde, Javier - In: Journal of business & economic statistics : JBES ; a … 39 (2021) 2, pp. 453-465
Persistent link: https://www.econbiz.de/10012499091
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Risk analysis via generalized pareto distributions
He, Yi; Peng, Liang; Zhang, Dabao; Zhao, Zifeng - In: Journal of business & economic statistics : JBES ; a … 40 (2022) 2, pp. 852-867
Persistent link: https://www.econbiz.de/10013534572