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The contribution of intraday jumps to forecasting the density of returns
Chorro, Christophe; Ielpo, Florian; Sévi, Benoît - In: Journal of economic dynamics & control 113 (2020), pp. 1-24
Persistent link: https://www.econbiz.de/10012502523
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Optimal portfolio allocation with volatility and co-jump risk that Markowitz would like
Oliva, Immacolata; Renò, Roberto - In: Journal of economic dynamics & control 94 (2018), pp. 242-256
Persistent link: https://www.econbiz.de/10012004394
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Uncertainty shocks, banking frictions and economic activity
Bonciani, Dario; Roye, Björn van - In: Journal of economic dynamics & control 73 (2016), pp. 200-219
Persistent link: https://www.econbiz.de/10011709101
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Network tail risk estimation in the European banking system
Torri, Gabriele; Giacometti, Rosella; Tichý, Tomáš - In: Journal of economic dynamics & control 127 (2021), pp. 1-18
Persistent link: https://www.econbiz.de/10012668977
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Robustness of stable volatility strategies
Branger, Nicole; Mahayni, Antje; Zieling, Daniel - In: Journal of economic dynamics & control 60 (2015), pp. 134-151
Persistent link: https://www.econbiz.de/10011575084
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Hermite expansion of transition densities and European option prices for multivariate diffusions with jumps
Wan, Xiangwei; Yang, Nian - In: Journal of economic dynamics & control 125 (2021), pp. 1-37
Persistent link: https://www.econbiz.de/10012666952
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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
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Stochastic volatility implies fourth-degree risk dominance : applications to asset pricing
Gollier, Christian - In: Journal of economic dynamics & control 95 (2018), pp. 155-171
Persistent link: https://www.econbiz.de/10012004921
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The stable non-Gaussian asset allocation : a comparison with the classical Gaussian approach
Tokat, Yesim; Račev, Svetlozar T.; Schwartz, Eduardo S. - In: Journal of economic dynamics & control 27 (2003) 6, pp. 937-969
Persistent link: https://www.econbiz.de/10001734458
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A statistical equilibrium model of competitive firms
Alfarano, Simone; Milaković, Mishael; Irle, Albrecht; … - In: Journal of economic dynamics & control 36 (2012) 1, pp. 136-149
Persistent link: https://www.econbiz.de/10009422348