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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
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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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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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Quality control for structural credit risk models
Andreou, Elena; Ghysels, Eric - In: Journal of econometrics 146 (2008) 2, pp. 364-375
Persistent link: https://www.econbiz.de/10003783002
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Estimating the structural credit risk model when equity prices are contaminated by trading noises
Duan, Jin-Chuan; Fulop, Andras - In: Journal of econometrics 150 (2009) 2, pp. 288-296
Persistent link: https://www.econbiz.de/10003858905
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High dimensional dynamic stochastic copula models
Creal, Drew; Tsay, Ruey S. - In: Journal of econometrics 189 (2015) 2, pp. 335-345
Persistent link: https://www.econbiz.de/10011504544
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A multiple regime smooth transition Heterogeneous Autoregressive model for long memory and asymmetries
McAleer, Michael; Medeiros, Marcelo C. - In: Journal of econometrics 147 (2008) 1, pp. 104-119
Persistent link: https://www.econbiz.de/10003783790
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Bad environments, good environments : a non-Gaussian asymmetric volatility model
Bekaert, Geert; Engstrom, Eric; Ermolov, Andrey - In: Journal of econometrics 186 (2015) 1, pp. 258-275
Persistent link: https://www.econbiz.de/10011349501
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Econometric methods for derivative securities and risk management
Garcia, René (contributor); Ghysels, Eric (contributor);  … - In: Journal of econometrics 94 (2000) 1/2, pp. 1-7
Persistent link: https://www.econbiz.de/10001437739
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Dynamic semiparametric models for expected shortfall (and Value-at-Risk)
Patton, Andrew J.; Ziegel, Johanna F.; Chen, Rui - In: Journal of econometrics 211 (2019) 2, pp. 388-413
Persistent link: https://www.econbiz.de/10012303806