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Measuring risks for consumers, firms, and investors in the digital economy
Alves Werb, Gabriela - 2020
Persistent link: https://www.econbiz.de/10012618693
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Designing realized Kernels to measure the ex post variation of equity prices in the presence of noise
Barndorff-Nielsen, Ole E.; Hansen, Peter Reinhard; … - In: Econometrica : journal of the Econometric Society, an … 76 (2008) 6, pp. 1481-1536
Persistent link: https://www.econbiz.de/10003797079
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Robust econometric inference for stock return predictability
Kostakis, Alexandros; Magdalinos, Tassos; … - In: The review of financial studies 28 (2015) 5, pp. 1506-1553
Persistent link: https://www.econbiz.de/10011338192
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The predictive value of inequality measures for stock returns : an analysis of long-span UK data using quantile random forests
Gupta, Rangan; Pierdzioch, Christian; Vivian, Andrew J.; … - In: Finance research letters 29 (2019), pp. 315-322
Persistent link: https://www.econbiz.de/10012419133
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Risk measurement with a safety belt : Pareto meets Chebyshev
Tödter, Karl-Heinz - In: Kredit und Kapital 45 (2012) 2, pp. 175-187
Persistent link: https://www.econbiz.de/10009580916
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Inference theory for volatility functional dependencies
Li, Jia; Todorov, Viktor; Tauchen, George Eugene - In: Journal of econometrics 193 (2016) 1, pp. 17-34
Persistent link: https://www.econbiz.de/10011704756
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Self-exciting extreme value models for stock market crashes
Herrera, Rodrigo; Schipp, Bernhard - In: Statistical inference, econometric analysis and matrix …, (pp. 209-231). 2009
Persistent link: https://www.econbiz.de/10003781013
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Further test on stock liquidity risk with a relative measure
Uddin, Md Hamid; Ann, Wong Kie; Eng, Soh Siew - In: The Indian journal of economics 89 (2008) 2, pp. 233-247
Persistent link: https://www.econbiz.de/10003823336
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Modelling, estimation and visualization of multivariate dependence for high-frequency data
Brodin, Erik; Klüppelberg, Claudia - In: Statistical modelling and regression structures : …, (pp. 267-300). 2010
Persistent link: https://www.econbiz.de/10003964488