Narrow search
Showing 1 - 10 of 2,470
Cover Image
Impact of value-at-risk models on market stability
Llacay, Bàrbara; Peffer, Gilbert - In: Journal of economic dynamics & control 82 (2017), pp. 223-256
Persistent link: https://www.econbiz.de/10011915567
Cover Image
Capturing deep tail risk via sequential learning of quantile dynamics
Wu, Qi; Yan, Xing - In: Journal of economic dynamics & control 109 (2019), pp. 1-17
Persistent link: https://www.econbiz.de/10012314027
Cover Image
Active portfolio management with benchmarking : adding a value-at-risk constraint
Alexander, Gordon J.; Baptista, Alexandre M. - In: Journal of economic dynamics & control 32 (2008) 3, pp. 779-820
Persistent link: https://www.econbiz.de/10003687449
Cover Image
Quantifying market risk with Value-at-Risk or Expected Shortfall? : consequences for capital requirements and model risk
Kellner, Ralf; Rösch, Daniel - In: Journal of economic dynamics & control 68 (2016), pp. 45-63
Persistent link: https://www.econbiz.de/10011708407
Cover Image
Tail Granger causalities and where to find them : extreme risk spillovers vs spurious linkages
Mazzarisi, Piero; Zaoli, Silvia; Campajola, Carlo; … - In: Journal of economic dynamics & control 121 (2020), pp. 1-20
Persistent link: https://www.econbiz.de/10012504161
Cover Image
Conditional volatility, skewness, and kurtosis : existence, persistence, and comovements
Jondeau, Eric; Rockinger, Michael - In: Journal of economic dynamics & control 27 (2003) 10, pp. 1699-1737
Persistent link: https://www.econbiz.de/10001755410
Cover Image
Improving forecasts with the co-range dynamic conditional correlation model
Fiszeder, Piotr; Fałdziński, Marcin - In: Journal of economic dynamics & control 108 (2019), pp. 1-16
Persistent link: https://www.econbiz.de/10012313608
Cover Image
A practical multivariate approach to testing volatility spillover
Leong, Soon Heng; Urga, Giovanni - In: Journal of economic dynamics & control 153 (2023), pp. 1-29
Persistent link: https://www.econbiz.de/10014479289
Cover Image
Bayesian mixed-frequency quantile vector autoregression : eliciting tail risks of monthly US GDP
Iacopini, Matteo; Poon, Aubrey; Rossini, Luca; Zhu, Dan - In: Journal of economic dynamics & control 157 (2023), pp. 1-16
Persistent link: https://www.econbiz.de/10014495378
Cover Image
Improving daily Value-at-Risk forecasts : the relevance of short-run volatility for regulatory quality assessment
Berger, Theo; Gençay, Ramazan - In: Journal of economic dynamics & control 92 (2018), pp. 30-46
Persistent link: https://www.econbiz.de/10011974231