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Persistent link: https://www.econbiz.de/10011660873

Measuring systemic risk using multivariate quantile-located ES models

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Granger causality and systemic risk

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Non-linear dynamics in discretionary accruals : an analysis of bank loan-loss provisions

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Forecasting the unconditional and conditional kurtosis of the asset returns distribution

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Testing for the general fractional unit root hypothesis in the time domain

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Nonlinear dynamics in discretionary accruals : an analysis of bank loan-loss provisions

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Forecasting the unconditional and conditional kurtosis of the asset returns distribution

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The effects of economic crises on tourism success : an integrated model

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Direct versus iterated multi-period volatility forecasts : why MIDAS is king

Ghysels, Eric; Plazzi, Alberto; Valkanov, Rossen I.; … - 2019 - This draft: January 11, 2019

Multi-period-ahead forecasts of returns' variance are used in most areas of applied finance where long horizon measures of risk are necessary. Yet, the major focus in the variance forecasting literature has been on one-period-ahead forecasts. In this paper, we compare several approaches of...

Persistent link: https://www.econbiz.de/10011976983