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Robust and interpretable liquidity proxies for market and funding liquidity

Rebonato, Riccardo; Sherwin, Hong - In: The journal of fixed income : JFI 30 (2021) 3, pp. 67-82

Persistent link: https://www.econbiz.de/10012423028

The P/E ratio, the business cycle, and timing the stock market

Park, Sangkyun - In: The journal of portfolio management : JPM 47 (2021) 8, pp. 165-183

Persistent link: https://www.econbiz.de/10012613451

Regularized quantile regression averaging for probabilistic electricity price forecasting

Uniejewski, Bartosz; Weron, Rafał - In: Energy economics 95 (2021), pp. 1-12

Persistent link: https://www.econbiz.de/10012816620

Forecasting value-at-risk with time-varying variance, skewnessn and kurtosis in an exponential weighted moving average framework

Gabrielsen, Alexandros; Zagaglia, Paolo; Kirchner, Axel; … - 2012 - This version: June 6, 2012

This paper provides an insight to the time-varying dynamics of the shape of the distribution of financial return series by proposing an exponential weighted moving average model that jointly estimates volatility, skewness and kurtosis over time using a modified form of the Gram-Charlier density...

Persistent link: https://www.econbiz.de/10011731521