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A remark on Hausmanʹs specification test

Holly, Alberto - 1980 - 2. vers

Persistent link: https://www.econbiz.de/10002873379

Testing for exogeneity : a survey

Holly, Alberto - 1985

Persistent link: https://www.econbiz.de/10002873432

Testing for exogeneity : a survey

Holly, Alberto - In: Economic notes : economic review of Banca Monte dei … (1987), pp. 108-130

Persistent link: https://www.econbiz.de/10001054665

An asymptotic expansion for the distribution of test criteria which are asymptotically distributed as chi-squared under contiguous alternatives

Holly, Alberto; Gardiol, Lucien - 1993

Persistent link: https://www.econbiz.de/10000879135

Optimal portfolio allocation under asset and surplus VaR constraints

Monfort, Alain - In: The journal of asset management 9 (2008/09) 3, pp. 178-192

Persistent link: https://www.econbiz.de/10003764508

Une modélisation séquentielle de la VaR

Monfort, Alain - 2009

Persistent link: https://www.econbiz.de/10003882287

Optimal portfolio allocation under asset and surplus VaR constraints

Monfort, Alain - 2009

Persistent link: https://www.econbiz.de/10003882289

Predicting tail-related risk measures : the consequences of using GARCH filters for non-GARCH data

Jalal, Amine; Rockinger, Michael - In: Journal of empirical finance 15 (2008) 5, pp. 868-877

Persistent link: https://www.econbiz.de/10003776390

Forecasting financial returns with a structural macroeconomic model

Jondeau, Eric; Rockinger, Michael - 2016

This paper considers an institutional investor who is implementing a long-term portfolio allocation strategy using forecasts of financial returns. We compare the performance of two competing macro-finance models, an unrestricted Vector AutoRegression (VAR) and a fully structural Dynamic...

Persistent link: https://www.econbiz.de/10011515898

Predicting tail-related risk measures : the consequences of using GARCH filters for non-GARCH data

Jalal, Amine (contributor); Rockinger, Michael (contributor) - 2004 - [Elektronische Ressource]

Persistent link: https://www.econbiz.de/10002436213