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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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On leverage in a stochastic volatility model
Yu, Jun - In: Journal of econometrics 127 (2005) 2, pp. 165-178
Persistent link: https://www.econbiz.de/10002905096
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Volume, volatility, and leverage : a dynamic analysis
Tauchen, George Eugene; Zhang, Harold; Liu, Ming - In: Journal of econometrics 74 (1996) 1, pp. 177-208
Persistent link: https://www.econbiz.de/10001755397
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The leverage effect puzzle revisited : identification in discrete time
Han, Hyojin; Khrapov, Stanislav; Renault, Eric - In: Journal of econometrics 217 (2020) 2, pp. 230-258
Persistent link: https://www.econbiz.de/10012482760
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Variable selection in panel models with breaks
Smith, Simon C.; Timmermann, Allan; Zhu, Yinchu - In: Journal of econometrics 212 (2019) 1, pp. 323-344
Persistent link: https://www.econbiz.de/10012303949
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A nonparametric test of a strong leverage hypothesis
Linton, Oliver; Whang, Yoon-jae; Yen, Yu-min - In: Journal of econometrics 194 (2016) 1, pp. 153-186
Persistent link: https://www.econbiz.de/10011705075
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Measuring technical and allocative inefficiency in the translog cost system a Bayesian approach
Kumbhakar, Subal; Tsionas, Efthymios G. - In: Journal of econometrics 126 (2005) 2, pp. 355-384
Persistent link: https://www.econbiz.de/10002647833
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A Bayesian analysis of multiple-output production frontiers
Fernández, Carmen; Koop, Gary; Steel, Mark F. J. - In: Journal of econometrics 98 (2000) 1, pp. 47-79
Persistent link: https://www.econbiz.de/10001497678
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Measuring cost efficiency in banking : econometric and linear programming evidence
Ferrier, Gary Donald - In: Journal of econometrics 46 (1990) 1, pp. 229-245
Persistent link: https://www.econbiz.de/10001163569
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Bayesian Artificial Neural Networks for frontier efficiency analysis
Tsionas, Efthymios G.; Parmeter, Christopher F.; … - In: Journal of econometrics 236 (2023) 2, pp. 1-14
Persistent link: https://www.econbiz.de/10014365509