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Confidence intervals for conditional tail risk measures in ARMA-GARCH models
Hoga, Yannick - In: Journal of business & economic statistics : JBES ; a … 37 (2019) 4, pp. 613-624
Persistent link: https://www.econbiz.de/10012179001
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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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The Gaussian mixture dynamic conditional correlation model : parameter estimation, value at risk calculation, and portfolio selection
Galeano, Pedro; Ausín, M. Concepción - In: Journal of business & economic statistics : JBES ; a … 28 (2010) 4, pp. 559-571
Persistent link: https://www.econbiz.de/10008736138
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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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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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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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Dynamic bivariate peak over threshold model for joint tail risk dynamics of financial markets
Zhao, Zifeng - In: Journal of business & economic statistics : JBES ; a … 39 (2021) 4, pp. 892-906
Persistent link: https://www.econbiz.de/10012653200
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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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Multivariate tests of mean-variance efficiency and spanning with a large number of assets and time-varying covariances
Gungor, Sermin; Luger, Richard - In: Journal of business & economic statistics : JBES ; a … 34 (2016) 2, pp. 161-175
Persistent link: https://www.econbiz.de/10011691256
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Conditional correlation models of autoregressive conditional heteroscedasticity with nonstationary GARCH equations
Amado, Cristina; Teräsvirta, Timo - In: Journal of business & economic statistics : JBES ; a … 32 (2014) 1, pp. 69-87
Persistent link: https://www.econbiz.de/10010380478