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Value at risk (VaR) analysis for fat tails and long memory in returns
Günay, Samet - In: Eurasian economic review : a journal in applied … 7 (2017) 2, pp. 215-230
Persistent link: https://www.econbiz.de/10011684346
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Covariance forecasting in equity markets
Symitsi, Efthymia; Symeonidis, Lazaros; Kourtis, Apostolos - In: Journal of banking & finance 96 (2018), pp. 153-168
Persistent link: https://www.econbiz.de/10011967197
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Time-varying variance scaling : application of the fractionally integrated ARMA model
Chen, An-sing; Chang, Hung-Chou; Cheng, Lee-Young - In: The North American journal of economics and finance : a … 47 (2019), pp. 1-12
Persistent link: https://www.econbiz.de/10012117796
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Downside risk and stock returns in the G7 countries : an empirical analysis of their long-run and short-run dynamics
Chen, Yi-Hsuan; Chiang, Thomas C.; Härdle, Wolfgang - In: Journal of banking & finance 93 (2018), pp. 21-32
Persistent link: https://www.econbiz.de/10011964613
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Modeling price dynamics and risk forecasting in Tehran stock exchange : conditional variance heteroscedasticity hidden Markov models
Nilchi, Moslem; Farid, Daryush; Peymany, Moslem; … - In: Iranian journal of finance 7 (2023) 3, pp. 1-24
Persistent link: https://www.econbiz.de/10014429053
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Large dynamic covariance matrices: enhancements based on intraday data
De Nard, Gianluca; Engle, Robert F.; Ledoit, Olivier; … - 2022 - This version: January 2022
but also of dynamic correlations, is the concept of a regularized return, obtained from a volatility proxy in conjunction …
Persistent link: https://www.econbiz.de/10013040932
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Large dynamic covariance matrices: enhancements based on intraday data
De Nard, Gianluca; Engle, Robert F.; Ledoit, Olivier; … - 2021 - This version: June 2021
but also of dynamic correlations, is the concept of a regularized return, obtained from a volatility proxy in conjunction …
Persistent link: https://www.econbiz.de/10012584099
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Forecasting stock return volatility : the role of shrinkage approaches in a data-rich environment
Dai, Zhifeng; Li, Tingyu; Yang, Mi - In: Journal of forecasting 41 (2022) 5, pp. 980-996
Persistent link: https://www.econbiz.de/10013287893
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Large dynamic covariance matrices: enhancements based on intraday data
De Nard, Gianluca; Engle, Robert F.; Ledoit, Olivier; … - 2020
covariances, is the concept of a regularized return, obtained from a volatility proxy in conjunction with a smoothed sign …
Persistent link: https://www.econbiz.de/10012253083
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Correlations
Ehling, Paul; Heyerdahl-Larsen, Christian - 2014
Persistent link: https://www.econbiz.de/10011788857