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Prediction of financial downside-risk with heavy-tailed conditional distributions
Mittnik, Stefan; Paolella, Marc S. - 2003
Persistent link: https://www.econbiz.de/10001788591
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Prediction of financial downside-risk with heavy-tailed conditional distributions
Mittnik, Stefan; Paolella, Marc S. - In: Handbook of heavy tailed distributions in finance, (pp. 385-404). 2003
Persistent link: https://www.econbiz.de/10001882139
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Prediction of financial downside-risk with heavy-tailed conditional distributions
Mittnik, Stefan; Paolella, Marc S. - 2003
The use of GARCH models with stable Paretian innovations in financial modeling has been recently suggested in the literature. This class of processes is attractive because it allows for conditional skewness and leptokurtosis of financial returns without ruling out normality. This contribution...
Persistent link: https://www.econbiz.de/10009765347
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The term structure of forward exchange premia and the forecastability of spot exchange rates : correcting the errors
Clarida, Richard H. - 1993
Persistent link: https://www.econbiz.de/10000874096
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The term structure of forward exchange rates and the forecastability of spot exchange rates : correcting the errors
Clarida, Richard H.; Taylor, Mark P. - 1992
Persistent link: https://www.econbiz.de/10000845274
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The Term Structure of Forward Exchange Premia and the Forecastibility of Spot Exchange Rates : Correcting the Errors
Clarida, Richard - 2010
We present theory and evidence that challenges the view that forward premia contain little information regarding …
Persistent link: https://www.econbiz.de/10012763403
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The Term Structure of Forward Exchange Premia and the Forecastibility of Spot Exchange Rates : Correcting the Errors
Clarida, Richard H. - 1993
We present theory and evidence that challenges the view that forward premia contain little information regarding …
Persistent link: https://www.econbiz.de/10012474508
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The term structure of forward exchange premia and the forecastability of spot exchange rates : correcting the errors
Clarida, Richard H.; Taylor, Mark P. - 1993
Persistent link: https://www.econbiz.de/10013421950
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Forecasting foreign exchange rates with an intrinsically nonlinear dynamic speed of adjustment model
Lin, Winston T. - In: Applied economics 30 (1998) 3, pp. 295-312
Persistent link: https://www.econbiz.de/10001243881