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Tail dependence measure for examining financial extreme co-movements
Asimit, Alexandru V.; Gerrard, Russell; Hou, Yanxi; … - In: Journal of econometrics 194 (2016) 2, pp. 330-348
Persistent link: https://www.econbiz.de/10011705189
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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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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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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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Sample quantile analysis for long-memory stochastic volatility models
Ho, Hwai-chung - In: Journal of econometrics 189 (2015) 2, pp. 360-370
Persistent link: https://www.econbiz.de/10011504558
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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 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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Subsampling the distribution of diverging statistics with applications to finance
Bertail, Patrice; Häfke, Christian; Politis, Dimitris N.; … - In: Journal of econometrics 120 (2004) 2, pp. 295-326
Persistent link: https://www.econbiz.de/10002028637
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High-dimensional VARs with common factors
Miao, Ke; Phillips, Peter C. B.; Su, Liangjun - In: Journal of econometrics 233 (2023) 1, pp. 155-183
Persistent link: https://www.econbiz.de/10014340976
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Stable mixture GARCH models
Broda, Simon A.; Haas, Markus; Krause, Jochen; … - In: Journal of econometrics 172 (2013) 2, pp. 292-306
Persistent link: https://www.econbiz.de/10009706200