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Spillovers and directional predictability between international energy commodities and their implications for optimal portfolio and hedging
Trabelsi, Nader; Tiwari, Aviral Kumar; Hammoudeh, Shawkat - In: The North American journal of economics and finance : a … 62 (2022), pp. 1-35
Persistent link: https://www.econbiz.de/10013534076
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A quantile-boosting approach to forecasting gold returns
Pierdzioch, Christian; Risse, Marian - In: The North American journal of economics and finance : a … 35 (2016), pp. 38-55
Persistent link: https://www.econbiz.de/10011672283
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On variable selection for volatility forecasting : the role of focused selection criteria
Brownlees, Christian; Gallo, Giampiero M. - In: Journal of financial econometrics : official journal of … 6 (2008) 4, pp. 513-539
Persistent link: https://www.econbiz.de/10003778985
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Why do absolute returns predict volatility so well?
Forsberg, Lars; Ghysels, Eric - In: Journal of financial econometrics : official journal of … 5 (2007) 1, pp. 31-67
Persistent link: https://www.econbiz.de/10003518282
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Model-free versus model-based volatility prediction
Politis, Dimitris N. - In: Journal of financial econometrics : official journal of … 5 (2007) 3, pp. 358-389
Persistent link: https://www.econbiz.de/10003518495
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Components of market risk and return
Maheu, John M.; McCurdy, Thomas H. - In: Journal of financial econometrics : official journal of … 5 (2007) 4, pp. 560-590
Persistent link: https://www.econbiz.de/10003570729
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Statistical surveillance of volatility forecasting models
Golosnoy, Vasyl; Okhrin, Irena; Schmid, Wolfgang - In: Journal of financial econometrics : official journal of … 10 (2012) 3, pp. 513-543
Persistent link: https://www.econbiz.de/10009571510
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Asymmetry and long memory in volatility modeling
Asai, Manabu; McAleer, Michael; Medeiros, Marcelo C. - In: Journal of financial econometrics : official journal of … 10 (2012) 3, pp. 495-512
Persistent link: https://www.econbiz.de/10009571512
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Estimation of distortion risk measures
Tsukahara, Hideatsu - In: Journal of financial econometrics : official journal of … 12 (2014) 1, pp. 213-235
Persistent link: https://www.econbiz.de/10010233598
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Stress testing correlation matrices for risk management
So, Mike Ka-pui; Wong, Jerry; Asai, Manabu - In: The North American journal of economics and finance : a … 26 (2013), pp. 310-322
Persistent link: https://www.econbiz.de/10010365763