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An empirical review of dynamic extreme value models for forecasting value at risk, expected shortfall and expectile
Candia Campano, Claudio; Herrera, Rodrigo - In: Journal of empirical finance 77 (2024), pp. 1-16
Persistent link: https://www.econbiz.de/10014578542
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The credit rating process and estimation of transition probabilities : a Bayesian approach
Stefanescu, Catalina; Tunaru, Radu; Turnbull, Stuart M. - In: Journal of empirical finance 16 (2009) 2, pp. 216-234
Persistent link: https://www.econbiz.de/10003839312
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Rating mutual funds : construction and information content of an investor-cost based rating of Danish mutual funds
Bechmann, Ken L.; Rangvid, Jesper - In: Journal of empirical finance 14 (2007) 5, pp. 662-693
Persistent link: https://www.econbiz.de/10003609973
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Measuring private information in a specialist market
Lamoureux, Christopher G.; Wang, Qin - In: Journal of empirical finance 30 (2015), pp. 92-119
Persistent link: https://www.econbiz.de/10011489289
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Pricing of liquidity risks : evidence from multiple liquidity measures
Kim, Soon-Ho; Lee, Kuan-hui - In: Journal of empirical finance 25 (2014), pp. 112-133
Persistent link: https://www.econbiz.de/10010462050
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Exchange rates and commodity prices : measuring causality at multiple horizons
Zhang, Hui Jun; Dufour, Jean-Marie; Galbraith, John W. - In: Journal of empirical finance 36 (2016), pp. 100-120
Persistent link: https://www.econbiz.de/10011662765
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Multiple risk measures for multivariate dynamic heavy-tailed models
Bernardi, Mauro; Maruotti, Antonello; Petrella, Lea - In: Journal of empirical finance 43 (2017), pp. 1-32
Persistent link: https://www.econbiz.de/10011817885
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Time-varying Z-score measures for bank insolvency risk : best practice
Bouvatier, Vincent; Lepetit, Lætitia; Rehault, … - In: Journal of empirical finance 73 (2023), pp. 170-179
Persistent link: https://www.econbiz.de/10014477006
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Instability of return prediction models
Paye, Bradley S.; Timmermann, Allan - In: Journal of empirical finance 13 (2006) 3, pp. 274-315
Persistent link: https://www.econbiz.de/10003334583
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Forecasting financial crises and contagion in Asia using dynamic factor analysis
Cipollini, Andrea; Kapetanios, George - In: Journal of empirical finance 16 (2009) 2, pp. 188-200
Persistent link: https://www.econbiz.de/10003839250