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Single-index expectile models for estimating conditional value at risk and expected shortfall
Jiang, Rong; Hu, Xueping; Yu, Keming - In: Journal of financial econometrics 20 (2022) 2, pp. 345-366
Persistent link: https://www.econbiz.de/10013187986
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A new tail-based correlation measure and its application in global equity markets
Liu, Jinjing - In: Journal of financial econometrics 21 (2023) 3, pp. 959-987
Persistent link: https://www.econbiz.de/10014314844
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Risk estimation with a time-varying probability of zero returns
Sucarrat, Genaro; Grønneberg, Steffen - In: Journal of financial econometrics 20 (2022) 2, pp. 278-309
Persistent link: https://www.econbiz.de/10013187979
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Limit theory for forecasts of extreme distortion risk measures and expectiles
Hoga, Yannick - In: Journal of financial econometrics 20 (2022) 1, pp. 18-44
Persistent link: https://www.econbiz.de/10012878185
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Model and moment selection in factor copula models
Duan, Fang; Manner, Hans; Wied, Dominik - In: Journal of financial econometrics 20 (2022) 1, pp. 45-75
Persistent link: https://www.econbiz.de/10012878186
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Bayesian semi-parametric realized conditional autoregressive expectile models for tail risk forecasting
Gerlach, Richard; Wang, Chao - In: Journal of financial econometrics 20 (2022) 1, pp. 105-138
Persistent link: https://www.econbiz.de/10012878188
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Realized peaks over threshold : a time-varying extreme value approach with high-frequency-based measures
Bee, Marco; Dupuis, Debbie J.; Trapin, Luca - In: Journal of financial econometrics 17 (2019) 2, pp. 254-283
Persistent link: https://www.econbiz.de/10012054440
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FARVaR : functional autoregressive value-at-risk
Cai, Charlie X.; Kim, Minjoo; Shin, Yongcheol; Zhang, Qi - In: Journal of financial econometrics 17 (2019) 2, pp. 284-337
Persistent link: https://www.econbiz.de/10012054445
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Estimating systematic risk under extremely adverse market conditions
Oordt, Maarten R. C. van; Chen Zhou - In: Journal of financial econometrics 17 (2019) 3, pp. 432–461
Persistent link: https://www.econbiz.de/10012054463
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Robust forecast evaluation of expected shortfall
Ziegel, Johanna F.; Krüger, Fabian; Jordan, Alexander I.; … - In: Journal of financial econometrics 18 (2020) 1, pp. 95-120
Persistent link: https://www.econbiz.de/10012180402