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Volatility modeling and dependence structure of ESG and conventional investments
Górka, Joanna; Kuziak, Katarzyna - In: Risks : open access journal 10 (2022) 1, pp. 1-25
, it is important to model and quantify it. The conditional volatility models from the GARCH family and tail …
Persistent link: https://www.econbiz.de/10012805838
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Expected shortfall in the presence of asymmetry and long memory : an application to Vietnamese stock markets
Walther, Thomas - In: Pacific accounting review 29 (2017) 2, pp. 132-151
Persistent link: https://www.econbiz.de/10011703972
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Oil price risk evaluation using a novel hybrid model based on time-varying long memory
Zhao, Lu-Tao; Liu, Kun; Duan, Xin-Lei; Li, Ming-Fang - In: Energy economics 81 (2019), pp. 70-78
Persistent link: https://www.econbiz.de/10012172659
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A multiple regime smooth transition Heterogeneous Autoregressive model for long memory and asymmetries
McAleer, Michael; Medeiros, Marcelo C. - In: Journal of econometrics 147 (2008) 1, pp. 104-119
Persistent link: https://www.econbiz.de/10003783790
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A multiple regime smooth transition heterogeneous autoregressive model for long memory and asymmetries
McAleer, Michael (contributor);  … - 2007
Persistent link: https://www.econbiz.de/10003460319
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Testing for uncorrelated residuals in dynamic count models with an application to corporate bankruptcy
Sant'Anna, Pedro H. C. - In: Journal of business & economic statistics : JBES ; a … 35 (2017) 3, pp. 349-358
Persistent link: https://www.econbiz.de/10011705946
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The importance of accurate risk modelling techniques for corporate ownders and managers : an application of distribution fitting to illiquid securities
O'Connell, Darren; O'Grady, Barry - In: Corporate ownership & control : international … 11 (2013/14) 2, pp. 8-20
Persistent link: https://www.econbiz.de/10011337224
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Bad environments, good environments : a non-Gaussian asymmetric volatility model
Bekaert, Geert; Engstrom, Eric; Ermolov, Andrey - In: Journal of econometrics 186 (2015) 1, pp. 258-275
Persistent link: https://www.econbiz.de/10011349501
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On the role of the estimation error in prediction of expected shortfall
Lönnbark, Carl - In: Journal of banking & finance 37 (2013) 3, pp. 847-853
Persistent link: https://www.econbiz.de/10009708735
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Short-sell moratorium effects on regional bank performance
Devaney, Michael; Weber, William L. - In: Journal of financial economic policy 5 (2013) 2, pp. 92-110
Persistent link: https://www.econbiz.de/10009759324