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Test for cycles
Harvey, Andrew C. - In: State space and unobserved component models : theory …, (pp. 102-119). 2004
Persistent link: https://www.econbiz.de/10009719928
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A Pearsonś test for symmetry with an application to the Spanish business cycle
Belaire-Franch, Jorge; Contreras, Dulce - In: Spanish economic review : SER 4 (2002) 3, pp. 221-238
Persistent link: https://www.econbiz.de/10001702856
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Modelling the relation between the US real economy and the corporate bond-yield spread in Bayesian VARs with non-Gaussian disturbances
Kiss, Tamás; Mazur, Stepan; Nguyen, Hoang; Österholm, Pär - 2021
Persistent link: https://www.econbiz.de/10012605022
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Forecasting with VAR models : fat tails and stochastic volatility
Chiu, Ching Wai Jeremy; Mumtaz, Haroon; Pinter, Gabor - 2015
Persistent link: https://www.econbiz.de/10011312174
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Forecasting with VAR models : fat tails and stochastic volatility
Chiu, Ching Wai Jeremy; Mumtaz, Haroon; Pintér, Gábor - In: International journal of forecasting 33 (2017) 4, pp. 1124-1143
Persistent link: https://www.econbiz.de/10011746951
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Hedge fund return higher moments over the business cycle
Racicot, François-Éric; Théoret, Raymond - In: Economic modelling 78 (2019), pp. 73-97
Persistent link: https://www.econbiz.de/10012198849
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Latent fragility : conditioning banks' joint probability of default on the financial cycle
Bochmann, Paul; Hiebert, Paul; Schüler, Yves; … - 2023
Persistent link: https://www.econbiz.de/10014250464
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Latent fragility: conditioning banks' joint probability of default on the financial cycle
Bochmann, Paul; Hiebert, Paul; Schüler, Yves; … - 2023
Persistent link: https://www.econbiz.de/10014283811
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Correlation matrix of equi-correlated normal population : fluctuation of the largest eigenvalue, scaling of the bulk eigenvalues, and stock market
Akama, Yohji - In: International journal of theoretical and applied … 26 (2023) 2/3, pp. 1-27
Persistent link: https://www.econbiz.de/10014365670
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Worst-case higher moment risk measure : addressing distributional shifts and procyclicality
Castro Iragorri, Carlos Alberto; Gómez, Fabio; … - In: Finance research letters 65 (2024), pp. 1-8
Persistent link: https://www.econbiz.de/10014564284