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Unpredictability in economic analysis, econometric modeling and forecasting
Hendry, David F. - 2011
Persistent link: https://www.econbiz.de/10009231689
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The risk that risk will change
Engle, Robert F. - In: Journal of investment management : JOIM 7 (2009) 4, pp. 24-28
Persistent link: https://www.econbiz.de/10003940011
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Long-term skewness and systemic risk
Engle, Robert F. - In: Journal of financial econometrics : official journal of … 9 (2011) 3, pp. 437-468
Persistent link: https://www.econbiz.de/10009407870
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Systemic risk 10 years later
Engle, Robert F. - In: Annual review of financial economics 10 (2018), pp. 125-152
Persistent link: https://www.econbiz.de/10011959790
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An open-model forecast-error taxonomy
Hendry, David F.; Mizon, Grayham E. - 2011
Persistent link: https://www.econbiz.de/10009231686
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Analysing differences between scenarios
Hendry, David F.; Pretis, Felix - In: International journal of forecasting 39 (2023) 2, pp. 754-771
Persistent link: https://www.econbiz.de/10014465144
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Execution risk
Engle, Robert F.; Ferstenberg, Robert - 2006
Persistent link: https://www.econbiz.de/10003316915
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Measuring and modeling execution cost and risk
Engle, Robert F.; Ferstenberg, Robert; Russell, Jeffrey R. - In: The journal of portfolio management : a publication of … 38 (2012) 2, pp. 14-28
Persistent link: https://www.econbiz.de/10009669872
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Comment on: "Testing macroprudential stress tests : the risk of regulatory risk weights"
Lucas, Deborah J. - In: Journal of monetary economics 65 (2014), pp. 54-56
Persistent link: https://www.econbiz.de/10010485269
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CAViaR: conditional autoregressive value at risk by regression quantiles
Engle, Robert F.; Manganelli, Simone - In: Journal of business & economic statistics : JBES ; a … 22 (2004) 4, pp. 367-381
Persistent link: https://www.econbiz.de/10002372839