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A sequential method for the evaluation of the VaR model based on the run between exceedancers
Mihailescu, Laurenţiu - 2003
Persistent link: https://www.econbiz.de/10001762989
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A sequential method for the evaluation of the VaR model based on the run between exceedances
Mihailescu, Laurent̜iu - In: Allgemeines statistisches Archiv : AStA ; journal of … 88 (2004) 1, pp. 51-72
Persistent link: https://www.econbiz.de/10001967136
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Monitoring changes in GARCH processes
Severin, Thomas; Schmid, Wolfgang - In: Allgemeines statistisches Archiv : AStA ; journal of … 83 (1999) 3, pp. 281-307
Persistent link: https://www.econbiz.de/10001409827
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Sequentielle Methoden zur Aufdeckung von Veränderungen der Erwartungswertstruktur bei finanzwissenschaftlichen Zeitreihen
Severin, Thomas - 1999 - Als Ms. gedr.
Persistent link: https://www.econbiz.de/10001388996
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Has inflation targeting changed the conduct of monetary policy?
Creel, Jérôme; Hubert, Paul - In: Macroeconomic dynamics 19 (2015) 1, pp. 1-21
Persistent link: https://www.econbiz.de/10011308661
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Network VAR models to measure financial contagion
Ahelegbey, Daniel Felix; Giudici, Paolo; Hashem, Shatha … - In: The North American journal of economics and finance : a … 55 (2021), pp. 1-15
Persistent link: https://www.econbiz.de/10012668002
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Statistical modelling of downside risk spillovers
Ahelegbey, Daniel Felix - 2020
Persistent link: https://www.econbiz.de/10012321946
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Contractionary technology shocks
Giuli, Francesco; Tancioni, Massimiliano - In: Macroeconomic dynamics 21 (2017) 7, pp. 1752-1789
Persistent link: https://www.econbiz.de/10011805950
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Threshold models with time-varying threshold values and their application in estimating regime-sensitive Taylor rules
Zhu, Yanli; Chen, Haiqiang; Lin, Ming - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 23 (2019) 5, pp. 1-17
Persistent link: https://www.econbiz.de/10012198389
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Modeling high-frequency financial data using R and Stan : a bayesian autoregressive conditional duration approach
Tabash, Mosab I.; Navas, T. Muhammed; Thayyib, P. V.; … - In: Journal of open innovation : technology, market, and … 10 (2024) 2, pp. 1-16
In econometrics, Autoregressive Conditional Duration (ACD) models use high-frequency economic or financial duration data, which mostly exhibit irregular time intervals. The ACD model is widely used to examine the duration of transaction volume and duration of price variations in stock markets....
Persistent link: https://www.econbiz.de/10014581582