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Accurate short-term yield curve forecasting using functional gradient descent
Audrino, Francesco; Trojani, Fabio - In: Journal of financial econometrics : official journal of … 5 (2007) 4, pp. 591-623
Persistent link: https://www.econbiz.de/10003570734
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Robust value at risk prediction
Mancini, Loriano; Trojani, Fabio - In: Journal of financial econometrics : official journal of … 9 (2011) 2, pp. 281-313
Persistent link: https://www.econbiz.de/10009125125
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Comment on: nonparametric tail risk, stock returns, and the macroeconomy
Camponovo, Lorenzo; Scaillet, Olivier; Trojani, Fabio - In: Journal of financial econometrics : official journal of … 15 (2017) 3, pp. 377-387
Persistent link: https://www.econbiz.de/10011987504
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Rejoinder on: nonparametric tail risk, stock returns, and the macroeconomy
Almeida, Caio; Ardison, Kym; Garcia, René; Vicente, Jose - In: Journal of financial econometrics : official journal of … 15 (2017) 3, pp. 418-426
Persistent link: https://www.econbiz.de/10011987534