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Persistent link: https://www.econbiz.de/10011595469

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Wang, Yuenan; Di Iorio, Amalia - In: Review of quantitative finance and accounting 29 (2007) 2, pp. 181-203

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The dynamics in the spot, futures, and call options with basis asymmetries : an intraday analysis in a generalized multivariate GARCH-M MSKST framework

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A robust VaR model under different time periods and weighting schemes

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Chou, Ray Yeutien; Wu, Chun-chou; Liu, Nathan - In: Review of quantitative finance and accounting 33 (2009) 4, pp. 327-345

This paper proposes a range-based dynamic conditional correlation (DCC) model combined by the return-based DCC model and the conditional autoregressive range (CARR) model. The substantial gain in efficiency of volatility estimation can boost the accuracy for estimating time-varying covariances....

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Dynamic stock-bond return correlations and financial market uncertainty

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Copula-GARCH versus dynamic conditional correlation : an empirical study on VaR and ES forecasting accuracy

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Effectiveness of copula-extreme value theory in estimating value-at-risk : empirical evidence from Asian emerging markets

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Tail risk in pension funds : an analysis using ARCH models and bilinear processes

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