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Value-at-Risk analysis for long-term interest rate futures : Fat-tail and long memory in return innovations
Wu, Ping-Tsung; Shieh, Shwu-Jane - In: Journal of empirical finance 14 (2007) 2, pp. 248-259
Persistent link: https://www.econbiz.de/10003499670
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Assessing the compensation for volatility risk implicit in interest rate derivatives
Fornari, Fabio - In: Journal of empirical finance 17 (2010) 4, pp. 722-743
Persistent link: https://www.econbiz.de/10009267247
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Modeling the volatility of the Heath-Jarrow-Morton model : a multifactor GARCH analysis
Zhou, Anjun - In: Journal of empirical finance 9 (2002) 1, pp. 35-56
Persistent link: https://www.econbiz.de/10001655780
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An analysis of nonlinearities in term premiums and forward rates
Huang, Roger D. - In: Journal of empirical finance 3 (1996) 4, pp. 347-368
Persistent link: https://www.econbiz.de/10001215363
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Is convexity efficiently priced? : evidence from international swap markets
Rebonato, Riccardo; Ronzani, Riccardo - In: Journal of empirical finance 63 (2021), pp. 392-413
Persistent link: https://www.econbiz.de/10013259275
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Quantile forecasts of daily exchange rate returns from forecasts of realized volatility
Clements, Michael P.; Galvão, Ana Beatriz C.; Kim, Jae H. - In: Journal of empirical finance 15 (2008) 4, pp. 729-750
Persistent link: https://www.econbiz.de/10003759766
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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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A comparison of extreme value theory approaches for determining value at risk
Brooks, Chris; Clare, Andrew D.; Dalle Molle, John W.; … - In: Journal of empirical finance 12 (2005) 2, pp. 339-352
Persistent link: https://www.econbiz.de/10002685175
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Model averaging in risk management with an application to futures markets
Pesaran, M. Hashem; Schleicher, Christoph; Zaffaroni, Paolo - In: Journal of empirical finance 16 (2009) 2, pp. 280-305
Persistent link: https://www.econbiz.de/10003839329
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Intraday Value at Risk (IVaR) using tick-by-tick data with application to the Toronto Stock Exchange
Dionne, Georges; Duchesne, Pierre; Pacurar, Maria - In: Journal of empirical finance 16 (2009) 5, pp. 777-792
Persistent link: https://www.econbiz.de/10003900406