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Forecasting Tail Risk with Exp...
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1
VAR for VaR: measuring tail dependence using multivariate regression quantiles
White, Halbert
;
Kim, Tae-hwan
;
Manganelli, Simone
- In:
Journal of econometrics
187
(
2015
)
1
,
pp. 169-188
Persistent link: https://www.econbiz.de/10011498808
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2
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
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3
Combining statistical intervals and market prices : The worst case state price distribution
Mykland, Per A.
- In:
Journal of econometrics
212
(
2019
)
1
,
pp. 272-285
Persistent link: https://www.econbiz.de/10012303929
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4
Extreme-quantile tracking for financial time series
Chavez-Demoulin, V.
;
Embrechts, Paul
;
Sardy, S.
- In:
Journal of econometrics
181
(
2014
)
1
,
pp. 44-52
Persistent link: https://www.econbiz.de/10010473421
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5
Regime switching dynamic correlations for asymmetric and fat-tailed conditional returns
Paolella, Marc S.
;
Polak, Pawel
;
Walker, Patrick S.
- In:
Journal of econometrics
213
(
2019
)
2
,
pp. 493-515
Persistent link: https://www.econbiz.de/10012304579
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6
On the predictive
risk
in misspecified quantile regression
Giessing, Alexander
;
He, Xuming
- In:
Journal of econometrics
213
(
2019
)
1
,
pp. 235-260
Persistent link: https://www.econbiz.de/10012304550
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7
Network quantile autoregression
Zhu, Xuening
;
Wang, Weining
;
Wang, Hansheng
;
Härdle, …
- In:
Journal of econometrics
212
(
2019
)
1
,
pp. 345-358
Persistent link: https://www.econbiz.de/10012303979
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8
Conditional Value-at-
Risk
: semiparametric
estimation
and inference
Wang, Chuan-Sheng
;
Zhao, Zhibiao
- In:
Journal of econometrics
195
(
2016
)
1
,
pp. 86-103
Persistent link: https://www.econbiz.de/10011705234
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9
Testing continuity of a density via g-order statistics in the regression discontinuity design
Bugni, Federico A.
;
Canay, Ivan A.
- In:
Journal of econometrics
221
(
2021
)
1
,
pp. 138-159
Persistent link: https://www.econbiz.de/10012618809
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10
Machine learning panel data regressions with heavy-tailed dependent data :
theory
and application
Babii, Andrii
;
Ball, Ryan T.
;
Ghysels, Eric
;
Striaukas, …
- In:
Journal of econometrics
237
(
2023
)
2,3
,
pp. 1-25
Persistent link: https://www.econbiz.de/10014471811
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