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Nonparametric specification tests for stochastic volatility models based on volatility density
Zu, Yang - In: Journal of econometrics 187 (2015) 1, pp. 323-344
Persistent link: https://www.econbiz.de/10011499459
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Hedging foreign exchange risk exposure by importer companies
Hasan, Kazi Rashedul - In: International journal of economics, finance and … 3 (2015) 5, pp. 435-440
Persistent link: https://www.econbiz.de/10011506307
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Considering the dependence between the credit loss severity and the probability of default in the estimate of portfolio credit risk : an experimental analysis
Di Clemente, Annalisa - In: Studi economici : rivista quadrimestrale 68 (2013) 1, pp. 5-24
Persistent link: https://www.econbiz.de/10010389432
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Value-at-risk: the comparison of state-of-the-art models on varous assets
Kielak, Karol; Ślepaczuk, Robert - 2020
Persistent link: https://www.econbiz.de/10012322235
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Modeling of insurance data through two heavy tailed distributions : computations of some of their actuarial quantities through simulation from their equilibrium distributions and t...
Nath, Dilip C.; Das, Jagriti - In: Journal of mathematical finance 6 (2016) 3, pp. 378-400
Persistent link: https://www.econbiz.de/10011583507
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Normality tests and its power against alternative distributions : an empirical analysis on emerging Asian stock index returns
Shaik, Muneer - In: The journal of prediction markets 16 (2022) 1, pp. 3-30
Persistent link: https://www.econbiz.de/10014289671
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The Hessian method (highly efficient state smoothing, in a nutshell)
McCausland, William J. (contributor) - 2008
Persistent link: https://www.econbiz.de/10003726412
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Range-based covariance estimation using high-frequency data : the realized co-range
Bannouh, Karim (contributor); Dijk, Dick van (contributor);  … - 2008
Persistent link: https://www.econbiz.de/10003754160
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Sampling frequency and window length trade-offs in data-driven volatility estimation : appraising the accuracy of asymptotic approximations
Andreou, Elena; Ghysels, Eric - 2006
Persistent link: https://www.econbiz.de/10003331375
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Partial liklihood-based scoring rules for evaluating density forecasts in tails
Diks, Cees G. H. (contributor);  … - 2008
Persistent link: https://www.econbiz.de/10003798183