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Heterogeneous asymmetric dynamic conditional correlation model with stock return and range
Asai, Manabu - In: Journal of forecasting 32 (2013) 5, pp. 469-480
Persistent link: https://www.econbiz.de/10009788806
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Stochastic multivariate mixture covariance model
So, Mike Ka-pui; Li, Raymond W. M.; Asai, Manabu; Jiang, Yue - In: Journal of forecasting 36 (2017) 2, pp. 139-155
Persistent link: https://www.econbiz.de/10011729126
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Heterogeneous Asymmetric Dynamic Conditional Correlation Model with Stock Return and Range
Asai, Manabu - In: Journal of forecasting 32 (2013) 5, pp. 469-480
Persistent link: https://www.econbiz.de/10010155122
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Forecasting value-at-risk with a parsimonious Portfolio Spillover GARCH (PS-GARCH) model
McAleer, Michael; Da Veiga, Bernardo - In: Journal of forecasting 27 (2008) 1, pp. 1-19
Persistent link: https://www.econbiz.de/10003738381
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Single-index and portfolio models for forecasting value-at-risk thresholds
McAleer, Michael; Da Veiga, Bernardo - In: Journal of forecasting 27 (2008) 3, pp. 217-235
Persistent link: https://www.econbiz.de/10003738590
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International evidence on GFC-robust forecasts for risk management under the Basel Accord
McAleer, Michael; Jiménez-Martín, Juan-Ángel; Pérez … - In: Journal of forecasting 32 (2013) 3, pp. 267-288
Persistent link: https://www.econbiz.de/10009758640
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A decision rule to minimize daily capital charges in forecasting value-at-risk
McAleer, Michael; Jimenez-Martin, Juan-Angel; Pérez … - In: Journal of forecasting 29 (2010) 7, pp. 617-634
Persistent link: https://www.econbiz.de/10008935446
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Scalar BEKK and indirect DCC
Caporin, Massimiliano; McAleer, Michael - In: Journal of forecasting 27 (2008) 6, pp. 537-549
Persistent link: https://www.econbiz.de/10003761681
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Forecasting value-at-risk with a parsimonious portfolio spillover GARCH (PS-GARCH) model
Mcaleer, Michael; da Veiga, Bernardo - In: Journal of forecasting 27 (2008) 1, pp. 1-20
Persistent link: https://www.econbiz.de/10007904333
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International Evidence on GFC‐Robust Forecasts for Risk Management under the Basel Accord
McAleer, Michael; Jiménez‐Martín, Juan‐Ángel; … - In: Journal of forecasting 32 (2013) 3, pp. 267-288
Persistent link: https://www.econbiz.de/10010095340