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A conditional autoregressive r...
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Estimation theory
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Francq, Christian
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Linton, Oliver
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Härdle, Wolfgang
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Zakoïan, Jean-Michel
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Teräsvirta, Timo
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Rahbek, Anders
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Nelson, Daniel B.
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Lucas, André
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Maheswaran, S.
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Renault, Eric
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Gouriéroux, Christian
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Fan, Jianqing
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Shakai-Keizai-Kenkyūsho <Osaka>
1
Sonderforschungsbereich 303 - Information und die Koordination Wirtschaftlicher Aktivitäten, Universität Bonn
1
Sonderforschungsbereich Statistical Modelling of Nonlinear Dynamic Processes
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Springer Fachmedien Wiesbaden
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Suntory and Toyota International Centres for Economics and Related Disciplines
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Technische Universität Dresden / Fakultät Wirtschaftswissenschaften
1
Umeå Universitet / Institutionen för Nationalekonomi
1
University of Exeter / Department of Economics
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University of Waterloo / Department of Economics
1
University of York / Department of Economics and Related Studies
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Journal of econometrics
189
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
82
Econometric theory
72
Economics letters
62
Discussion paper / Tinbergen Institute
53
Econometric reviews
51
Insurance / Mathematics & economics
46
The econometrics journal
36
Journal of empirical finance
31
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
30
Journal of financial econometrics : official journal of the Society for Financial Econometrics
28
CREATES research paper
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Finance research letters
26
International journal of forecasting
25
SFB 649 discussion paper
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Série des documents de travail / Centre de Recherche en Économie et Statistique
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CEMMAP working papers / Centre for Microdata Methods and Practice
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Discussion paper / Center for Economic Research, Tilburg University
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Statistics in transition : an international journal of the Polish Statistical Association
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Journal of banking & finance
22
Computational economics
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Econometrics : open access journal
21
Economic modelling
21
Journal of financial econometrics
21
Journal of risk and financial management : JRFM
21
Journal of the American Statistical Association : JASA
21
Applied economics
20
Discussion papers of interdisciplinary research project 373
20
Journal of forecasting
20
Quantitative finance
19
European journal of operational research : EJOR
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Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics
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International journal of theoretical and applied finance
17
Journal of mathematical finance
17
Journal of risk
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Risks : open access journal
17
Technical report / Sonderforschungsbereich 475 Komplexitätsreduktion in Multivariaten Datenstrukturen, Universität Dortmund
17
Applied economics letters
16
Discussion paper / Humboldt-Universität zu Berlin, Sonderforschungsbereich 373 Quantifikation und Simulation Ökonomischer Prozesse
15
NBER Working Paper
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ECONIS (ZBW)
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1
Moments expansion densities for quantifying financial risk
Ñíguez, Trino-Manuel
;
Perote, Javier
- In:
The North American journal of economics and finance : a …
42
(
2017
),
pp. 53-69
Persistent link: https://www.econbiz.de/10011938073
Saved in:
2
Multivariate moments expansion density : application of the dynamic equicorrelation model
Ñíguez, Trino-Manuel
;
Perote, Javier
- In:
Journal of banking & finance
72
(
2016
),
pp. 216-232
Persistent link: https://www.econbiz.de/10011637138
Saved in:
3
Multivariate moments expansion density : application of the dynamic equicorrelation model
Ñíguez, Trino-Manuel
;
Perote, Javier
-
2016
Persistent link: https://www.econbiz.de/10011799240
Saved in:
4
Multivariate Gram-Charlier densities
Brio González, Esther B. del
;
Ñíguez, Trino-Manuel
; …
-
2008
Persistent link: https://www.econbiz.de/10003827531
Saved in:
5
Gram-Charlier densities
Jondeau, Eric
;
Rockinger, Michael
- In:
Journal of economic dynamics & control
25
(
2001
)
10
,
pp. 1457-1483
Persistent link: https://www.econbiz.de/10001603779
Saved in:
6
Unconditional density vs conditional density functions in estimating value-at-risk
Chiu, Yen-Chen
;
Chuang, I-Yuan
- In:
Applied economics
53
(
2021
)
4
,
pp. 482-494
Persistent link: https://www.econbiz.de/10012416070
Saved in:
7
Bakshi, Kapadia, and Madan (2003) risk-neutral moment estimators : a Gram-Charlier density approach
Aschakulporn, Pakorn
;
Zhang, Jin E.
- In:
Review of derivatives research
25
(
2022
)
3
,
pp. 233-281
Persistent link: https://www.econbiz.de/10013457619
Saved in:
8
Risk estimation with a time-varying probability of zero returns
Sucarrat, Genaro
;
Grønneberg, Steffen
- In:
Journal of financial econometrics
20
(
2022
)
2
,
pp. 278-309
Persistent link: https://www.econbiz.de/10013187979
Saved in:
9
Alternative distribution based GARCH models for Bitcoin
volatility
estimation
Mattera, Raffaele
;
Giacalone, Massimiliano
- In:
The empirical economics letters : a monthly …
17
(
2018
)
11
,
pp. 1283-1288
Persistent link: https://www.econbiz.de/10012006849
Saved in:
10
Selecting between autoregressive conditional heteroskedasticity models : an empirical application to the
volatility
of stock returns in Peru
Rodriguez, Gabriel
- In:
Revista de análisis económico
32
(
2017
)
1
,
pp. 69-94
Persistent link: https://www.econbiz.de/10011924649
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