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The information in systemic risk rankings
Nucera, Federico; Schwaab, Bernd; Koopman, Siem Jan; … - In: Journal of empirical finance 38 (2016), pp. 461-475
Persistent link: https://www.econbiz.de/10011664797
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Long memory dynamics for multivariate dependence under heavy tails
Janus, Paweł; Koopman, Siem Jan; Lucas, André - In: Journal of empirical finance 29 (2014), pp. 187-206
Persistent link: https://www.econbiz.de/10011300485
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Credit cycles and macro fundamentals
Koopman, Siem Jan; Kräussl, Roman; Lucas, André; … - In: Journal of empirical finance 16 (2009) 1, pp. 42-54
Persistent link: https://www.econbiz.de/10003800184
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Forecasting daily variability of the S&P 100 stock index using historical, realised and implied volatility measurements
Koopman, Siem Jan; Jungbacker, Borus; Hol Uspensky, Eugenie - In: Journal of empirical finance 12 (2005) 3, pp. 445-475
Persistent link: https://www.econbiz.de/10002900511
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Credit cycles and macro fundamentals
Koopman, Siem Jan; Kräussl, Roman; Lucas, André; … - In: Journal of empirical finance 16 (2009) 1, pp. 42-54
Persistent link: https://www.econbiz.de/10008160906
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Forecasting daily variability of the S&P 100 stock index using historical, realised and implied volatility measurements
Koopman, Siem Jan; Jungbacker, Borus; Hol, Eugenie - In: Journal of empirical finance 12 (2005) 3, pp. 445-475
Persistent link: https://www.econbiz.de/10007781568
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Credit cycles and macro fundamentals
Koopman, Siem Jan; Kräussl, Roman; Lucas, André; … - In: Journal of empirical finance 16 (2009) 1, pp. 42-55
Persistent link: https://www.econbiz.de/10008879003