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CDO squareds : the case of subprime mortgages
Chambers, Donald Robert; Kelly, Michael A.; Lu, Qin; … - In: The journal of structured finance 17 (2011) 2, pp. 96-113
Persistent link: https://www.econbiz.de/10009305472
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Inflated ratings on pre-crisis CDOs : a deeper look
Adelson, Mark - In: The journal of structured finance 22 (2016) 2, pp. 37-47
Persistent link: https://www.econbiz.de/10011561628
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Partially censored posterior for robust and efficient risk evaluation
Borowska, Agnieszka; Hoogerheide, Lennart; Koopman, Siem Jan - In: Journal of econometrics 217 (2020) 2, pp. 335-355
Persistent link: https://www.econbiz.de/10012482776
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PELVE : probability equivalent level of VaR and ES
Li, Hengxin; Wang, Ruodu - In: Journal of econometrics 234 (2023) 1, pp. 353-370
Persistent link: https://www.econbiz.de/10014364915
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Risk-parameter estimation in volatility models
Francq, Christian; Zakoïan, Jean-Michel - In: Journal of econometrics 184 (2015) 1, pp. 158-173
Persistent link: https://www.econbiz.de/10011326796
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A stochastic dominance approach to financial risk management strategies
Chang, Chia-Lin; Jiménez-Martín, Juan-Ángel; … - In: Journal of econometrics 187 (2015) 2, pp. 472-485
Persistent link: https://www.econbiz.de/10011499744
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A residual bootstrap for conditional Value-at-Risk
Beutner, Eric; Heinemann, Alexander; Smeekes, Stephan - In: Journal of econometrics 238 (2024) 2, pp. 1-16
Persistent link: https://www.econbiz.de/10015073889
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Nonparametric estimation of conditional VaR and expected shortfall
Cai, Zongwu; Wang, Xian - In: Journal of econometrics 147 (2008) 1, pp. 120-130
Persistent link: https://www.econbiz.de/10003783792
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Dynamic quantile models
Gouriéroux, Christian; Jasiak, Joann - In: Journal of econometrics 147 (2008) 1, pp. 198-205
Persistent link: https://www.econbiz.de/10003783800
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Interval estimation of value-at-risk based on GARCH models with heavy-tailed innovations
Chan, Ngai Hang; Deng, Shi-jie; Peng, Liang; Xia, Zhendong - In: Journal of econometrics 137 (2007) 2, pp. 556-576
Persistent link: https://www.econbiz.de/10003441983