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Journal of empirical finance
Journal of financial econometrics : official journal of the Society for Financial Econometrics
Série des documents de travail / Centre de Recherche en Économie et Statistique
40
Banque de France Working Paper
26
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Predicting tail-related risk measures : the consequences of using GARCH filters for non-GARCH data
Jalal, Amine
;
Rockinger, Michael
- In:
Journal of empirical finance
15
(
2008
)
5
,
pp. 868-877
Persistent link: https://www.econbiz.de/10003776390
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2
On the importance of time variability in higher moments for asset allocation
Jondeau, Eric
;
Rockinger, Michael
- In:
Journal of financial econometrics : official journal of …
10
(
2012
)
1
,
pp. 84-123
Persistent link: https://www.econbiz.de/10009519710
Saved in:
3
The impact of shocks on higher moments
Jondeau, Eric
;
Rockinger, Michael
- In:
Journal of financial econometrics : official journal of …
7
(
2009
)
2
,
pp. 77-105
Persistent link: https://www.econbiz.de/10003826483
Saved in:
4
Testing for differences in the tails of stock-market returns
Jondeau, Eric
;
Rockinger, Michael
- In:
Journal of empirical finance
10
(
2003
)
5
,
pp. 559-581
Persistent link: https://www.econbiz.de/10001806965
Saved in:
5
Econometric asset pricing modelling
Bertholon, Henri
;
Monfort, Alain
;
Pegoraro, Fulvio
- In:
Journal of financial econometrics : official journal of …
6
(
2008
)
4
,
pp. 407-458
Persistent link: https://www.econbiz.de/10003778936
Saved in:
6
Affine models for credit risk analysis
Gouriéroux, Christian
;
Monfort, Alain
;
Polimenis, V.
- In:
Journal of financial econometrics : official journal of …
4
(
2006
)
3
,
pp. 494-530
Persistent link: https://www.econbiz.de/10003354119
Saved in:
7
Switiching VARMA term structure models
Monfort, Alain
;
Pegoraro, Fulvio
- In:
Journal of financial econometrics : official journal of …
5
(
2007
)
1
,
pp. 105-153
Persistent link: https://www.econbiz.de/10003518289
Saved in:
8
Default, liquidity, and crises : an econometric framework
Monfort, Alain
;
Renne, Jean-Paul
- In:
Journal of financial econometrics : official journal of …
11
(
2013
)
2
,
pp. 221-262
Persistent link: https://www.econbiz.de/10009745893
Saved in:
9
Linear-price term structure models
Gouriéroux, Christian
;
Monfort, Alain
- In:
Journal of empirical finance
24
(
2013
),
pp. 24-41
Persistent link: https://www.econbiz.de/10010371993
Saved in:
10
Regime switching and bond pricing
Gouriéroux, Christian
;
Monfort, Alain
;
Pegoraro, Fulvio
; …
- In:
Journal of financial econometrics : official journal of …
12
(
2014
)
2
,
pp. 237-277
Persistent link: https://www.econbiz.de/10010351547
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