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A hybrid joint moment ratio test for financial time series

Groenendijk, Patrick A.; Lucas, André; Vries, Casper G. de - 1998

We advocate the use of absolute moment ratio statistics in conjunctionwith standard variance ratio statistics in order to disentangle lineardependence, non-linear dependence, and leptokurtosis in financial timeseries. Both statistics are computed for multiple return horizonssimultaneously, and...

Persistent link: https://www.econbiz.de/10011299968

Forecasting with VAR models : fat tails and stochastic volatility

Chiu, Ching Wai Jeremy; Mumtaz, Haroon; Pinter, Gabor - 2015

Persistent link: https://www.econbiz.de/10011312174

Forecasting with VAR models : fat tails and stochastic volatility

Chiu, Ching Wai Jeremy; Mumtaz, Haroon; Pintér, Gábor - In: International journal of forecasting 33 (2017) 4, pp. 1124-1143

Persistent link: https://www.econbiz.de/10011746951

Quasi score-driven models

Blasques, F.; Francq, Christian; Laurent, Sébastien - In: Journal of econometrics 234 (2023) 1, pp. 251-275

Persistent link: https://www.econbiz.de/10014364807

Adapting extreme value statistics to financial time series : dealing with bias and serial dependence

Haan, Laurens de; Mercadier, Cécile; Chen Zhou - In: Finance and stochastics 20 (2016) 2, pp. 321-354

Persistent link: https://www.econbiz.de/10011471063

Financial contagion and the TIR-MIDAS model

Ye, Wuyi; Jiang, Kunliang; Liu, Xiaoquan - In: Finance research letters 39 (2021), pp. 1-11

Persistent link: https://www.econbiz.de/10012805210

GARCH-UGH : a bias-reduced approach for dynamic extreme Value-at-Risk estimation in financial time series

Kaibuchi, Hibiki; Kawasaki, Yoshinori; Stupfler, G. - In: Quantitative finance 22 (2022) 7, pp. 1277-1294

Persistent link: https://www.econbiz.de/10013367899