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Expected stock market returns and volatility : three decades later
Kassa, Haimanot; Wang, Feifei; Yan, Xuemin Sterling - In: Critical finance review 12 (2023) 1/4, pp. 271-307
Persistent link: https://www.econbiz.de/10014370376
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Expected shortfall and tail conditional expectation with the Pearson type IV distribution
Stavroyiannis, Stavros - In: Global business & economics review 18 (2016) 1, pp. 41-53
Persistent link: https://www.econbiz.de/10011738550
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Adaptive polar sampling with an application to a Bayes measure of value-at-risk
Bauwens, Luc; Bos, Charles S.; Dijk, Herman K. van - 1999
Persistent link: https://www.econbiz.de/10001430824
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A permanent and transitory component model of stock return volatility
Engle, Robert F.; Lee, Gary G. J. - 1993 - [Rev.]
Persistent link: https://www.econbiz.de/10000877975
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An alternative conditional asymmetry specification for stock returns
Brännäs, Kurt; Nordman, Niklas - In: Applied financial economics 13 (2003) 7, pp. 537-541
Persistent link: https://www.econbiz.de/10001770785
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A permanent and transitory component model of stock return volatality
Engle, Robert F.; Lee, Gary G. J. - 1992
Persistent link: https://www.econbiz.de/10000853573
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Mixed normal conditional heteroskedasticity
Haas, Markus; Mittnik, Stefan; Paolella, Marc S. - 2002
Persistent link: https://www.econbiz.de/10001707592
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A market model with time-varying moments and results on Neuer Markt stock returns
Wagner, Niklas F. - 2001
Persistent link: https://www.econbiz.de/10001662098
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Modeling the conditional covariance between stock and bond returns : a multivariate GARCH approach
Goeij, Peter de (contributor);  … - 2002 - [Elektronische Ressource]
Persistent link: https://www.econbiz.de/10001639402
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Evaluating density forecasts with an application to stock market returns
Raaij, Gabriela de; Raunig, Burkhard - 2002
Persistent link: https://www.econbiz.de/10001650402