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Semi-parametric conditional quantile models for financial returns and realized volatility
Zikes, Filip; Barunik, Jozef - In: Journal of financial econometrics : official journal of … 14 (2016) 1, pp. 185-226
Persistent link: https://www.econbiz.de/10011588557
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The geometric-VaR backtesting method
Pelletier, Denis; Wei, Wei - In: Journal of financial econometrics : official journal of … 14 (2016) 4, pp. 725-745
Persistent link: https://www.econbiz.de/10011623861
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Asymptotic properties of GARCH-X processes
Han, Heejoon - In: Journal of financial econometrics : official journal of … 13 (2015) 1, pp. 188-221
Persistent link: https://www.econbiz.de/10010519656
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One-step semiparametric estimation of the GARCH model
Di, Jianing; Gangopadhyay, Ashis - In: Journal of financial econometrics : official journal of … 12 (2014) 2, pp. 382-407
Persistent link: https://www.econbiz.de/10010351543
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Exceedance correlation tests for financial returns
Chen, Yi-ting - In: Journal of financial econometrics : official journal of … 14 (2016) 3, pp. 581-616
Persistent link: https://www.econbiz.de/10011623694
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Dynamic conditional beta
Engle, Robert F. - In: Journal of financial econometrics : official journal of … 14 (2016) 4, pp. 643-667
Persistent link: https://www.econbiz.de/10011623818
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Infinite-state markov-switching for dynamic volatility
Dufays, Arnaud - In: Journal of financial econometrics : official journal of … 14 (2016) 2, pp. 418-460
Persistent link: https://www.econbiz.de/10011589021
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Testing slope homogeneity in quantile regression panel data with an application to the cross-section of stock returns
Galvão Júnior, Antônio Fialho; Juhl, Ted; … - In: Journal of financial econometrics : official journal of … 16 (2018) 2, pp. 211-243
Persistent link: https://www.econbiz.de/10011987759
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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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Value-at-risk prediction : a comparison of alternative strategies
Kuester, Keith; Mittnik, Stefan; Paolella, Marc S. - In: Journal of financial econometrics : official journal of … 4 (2006) 1, pp. 53-89
Persistent link: https://www.econbiz.de/10003313345