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ECONIS (ZBW)
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1
Statistical tests of distributional scaling properties for financial return series
Hallam, Mark
;
Olmo, Jose
- In:
Quantitative finance
18
(
2018
)
7
,
pp. 1211-1232
Persistent link: https://www.econbiz.de/10011911533
Saved in:
2
Testing for jumps based on high-frequency data : a method exploiting microstructure noise
Liu, Guangying
;
Xiang, Jing
;
Cang, Yuquan
- In:
Quantitative finance
20
(
2020
)
11
,
pp. 1795-1809
Persistent link: https://www.econbiz.de/10012313515
Saved in:
3
A multiple-curve Lévy forward rate model in a two-price economy
Eberlein, Ernst
;
Gerhart, Christoph
- In:
Quantitative finance
18
(
2018
)
4
,
pp. 537-561
Persistent link: https://www.econbiz.de/10011906431
Saved in:
4
Data-driven robust mean-CVaR portfolio selection under distribution ambiguity
Kang, Zhilin
;
Li, Xun
;
Li, Zhongfei
;
Zhu, Shushang
- In:
Quantitative finance
19
(
2019
)
1
,
pp. 105-121
Persistent link: https://www.econbiz.de/10012194623
Saved in:
5
Price signatures
Oomen, Roel
- In:
Quantitative finance
19
(
2019
)
5
,
pp. 733-761
Persistent link: https://www.econbiz.de/10012194712
Saved in:
6
Tile test for back-testing risk evaluation
Zumbach, Gilles O.
- In:
Quantitative finance
21
(
2021
)
10
,
pp. 1605-1619
Persistent link: https://www.econbiz.de/10012653703
Saved in:
7
A Bayesian encompassing test using combined value-at-risk estimates
Tsiotas, Georgios
- In:
Quantitative finance
18
(
2018
)
3
,
pp. 395-417
Persistent link: https://www.econbiz.de/10011906387
Saved in:
8
Joint tests of contagion with applications
Fry-McKibbin, Renée
;
Hsiao, Cody Yu-Ling
;
Martin, Vance
- In:
Quantitative finance
19
(
2019
)
3
,
pp. 473-490
Persistent link: https://www.econbiz.de/10012194667
Saved in:
9
Backtesting extreme value theory models of expected shortfall
Novales, Alfonso
;
Garcia-Jorcano, Laura
- In:
Quantitative finance
19
(
2019
)
5
,
pp. 799-825
Persistent link: https://www.econbiz.de/10012194717
Saved in:
10
Improving forecasting performance of realized covariance with extensions of HAR-RCOV model : statistical significance and economic value
Zhang, Yaojie
;
Wei, Yu
;
Liu, Li
- In:
Quantitative finance
19
(
2019
)
9
,
pp. 1425-1438
Persistent link: https://www.econbiz.de/10012194796
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