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Phillips, Peter C. B.
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ECONIS (ZBW)
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1
Efficient estimation of high-dimensional dynamic covariance by
risk
factor mapping : applications for financial
risk
management
So, Mike Ka-pui
;
Chan, Thomas W. C.
;
Chu, Amanda M. Y.
- In:
Journal of econometrics
227
(
2022
)
1
,
pp. 151-167
Persistent link: https://www.econbiz.de/10013441642
Saved in:
2
On the network topology of variance decompositions : measuring the connectedness of financial firms
Diebold, Francis X.
;
Yılmaz, Kamil
- In:
Journal of econometrics
182
(
2014
)
1
,
pp. 119-134
Persistent link: https://www.econbiz.de/10010497110
Saved in:
3
Large-dimensional factor modeling based on high-frequency observations
Pelger, Markus
- In:
Journal of econometrics
208
(
2019
)
1
,
pp. 23-42
Persistent link: https://www.econbiz.de/10012139775
Saved in:
4
ExpectHill estimation, extreme
risk
and heavy tails
Daouia, Abdelaati
;
Girard, Stéphane
;
Stupfler, Gilles
- In:
Journal of econometrics
221
(
2021
)
1
,
pp. 97-117
Persistent link: https://www.econbiz.de/10012618802
Saved in:
5
Mark to market value at
risk
Chen, Yu
;
Wang, Zhicheng
;
Zhang, Zhengjun
- In:
Journal of econometrics
208
(
2019
)
1
,
pp. 299-321
Persistent link: https://www.econbiz.de/10012145015
Saved in:
6
ß in the tails
Bandi, Federico M.
;
Renò, Roberto
- In:
Journal of econometrics
227
(
2022
)
1
,
pp. 134-150
Persistent link: https://www.econbiz.de/10013441641
Saved in:
7
Distributional properties of portfolio weights
Okhrin, Yarema
;
Schmid, Wolfgang
- In:
Journal of econometrics
134
(
2006
)
1
,
pp. 235-256
Persistent link: https://www.econbiz.de/10003368426
Saved in:
8
"Stochastically more
risk
averse" : a contextual
theory
of stochastic discrete choice under
risk
Wilcox, Nathaniel T.
- In:
Journal of econometrics
162
(
2011
)
1
,
pp. 89-104
Persistent link: https://www.econbiz.de/10009270696
Saved in:
9
Expected utility and catastrophic
risk
in a stochastic economy-climate model
Ikefuji, Masako
;
Laeven, Roger J. A.
;
Magnus, Jan R.
; …
- In:
Journal of econometrics
214
(
2020
)
1
,
pp. 110-129
Persistent link: https://www.econbiz.de/10012438313
Saved in:
10
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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