Narrow search
Showing 1 - 6 of 6
Cover Image
Comment on: nonparametric tail risk, stock returns, and the macroeconomy
Jacobs, Kris - In: Journal of financial econometrics : official journal of … 15 (2017) 3, pp. 410-412
Persistent link: https://www.econbiz.de/10011987533
Cover Image
Bootstrap inference for pre-averaged realized volatility based on nonoverlapping returns
Gonçalves, Sílvia; Hounyo, Ulrich; Meddahi, Nour - In: Journal of financial econometrics : official journal of … 12 (2014) 4, pp. 679-707
Persistent link: https://www.econbiz.de/10010512286
Cover Image
Downside variance risk premium
Feunou, Bruno; Jahan-Parvar, Mohammad R.; Okou, Cédric - In: Journal of financial econometrics : official journal of … 16 (2018) 3, pp. 341-383
Persistent link: https://www.econbiz.de/10011987780
Cover Image
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
Cover Image
Backtesting value-at-risk : a duration-based approach
Christoffersen, Peter F.; Pelletier, Denis - In: Journal of financial econometrics : official journal of … 2 (2004) 1, pp. 84-108
Persistent link: https://www.econbiz.de/10002214210
Cover Image
The accuracy of density forecasts from foreign exchange options
Christoffersen, Peter F.; Mazzotta, Stefano - In: Journal of financial econometrics : official journal of … 3 (2005) 4, pp. 578-605
Persistent link: https://www.econbiz.de/10003154312