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The factor-spline-GARCH model for high and low frequency correlations
Rangel, Jose Gonzalo; Engle, Robert F. - 2009
that characterize long-term correlation patterns. We associate such term behavior with low frequency economic variables … improves the empirical fit of equity correlations in the US and correlation forecasts at long horizons. -- Factor models ; Low … frequency volatilities and correlations ; Dynamic conditional correlation ; Spline-GARCH ; Idiosyncratic volatility ; Long …
Persistent link: https://www.econbiz.de/10003821063
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Essays on financial econometrics
Marcucci, Juri - 2005
Persistent link: https://www.econbiz.de/10003384566
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Three essays in credit risk
Saita, Leandro - 2006
Persistent link: https://www.econbiz.de/10003965698
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Hybrid tail risk and expected stock returns : when does the tail wag the dog?
Bali, Turan G.; Cakici, Nusret; Whitelaw, Robert F. - In: Review of asset pricing studies 4 (2014) 2, pp. 206-246
Persistent link: https://www.econbiz.de/10010476900
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Auswirkungen unterschiedlicher Assetkorrelationen in Mehr-Sektoren-Kreditportfoliomodellen
Hamerle, Alfred; Knapp, Michael; Wildenauer, Nicole - 2005
Persistent link: https://www.econbiz.de/10003228299
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Implied correlation index : a new measure of diversification
Skintzi, Vasiliki D.; Refenes, Apostolos-Paul - In: The journal of futures markets 25 (2005) 2, pp. 171-197
Persistent link: https://www.econbiz.de/10002535466
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Hybrid tail risk and expected stock returns : when does the tail wag the dog?
Bali, Turan G.; Cakici, Nusret; Whitelaw, Robert F. - 2013
Persistent link: https://www.econbiz.de/10010191590
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Does Altman's z-score predict the economic viability of health maintenance organisations?
Jennings, Martha E.; Cavico, Frank J. D.; Yatrakis, Pan G. - In: International journal of electronic finance : IJEF 3 (2009) 1, pp. 96-114
Persistent link: https://www.econbiz.de/10003853499
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Evaluation of correlation forecasting models for risk management
Skintzi, Vasiliki D.; Xanthopoulos-Sisinis, Spyros - In: Journal of forecasting 26 (2007) 7, pp. 497-526
Persistent link: https://www.econbiz.de/10003593897
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Long memory and structural breaks in modeling the return and volatility dynamics of precious metals
Arouri, Mohamed; Hammoudeh, Shawkat; Lahiani, Amine; … - In: The quarterly review of economics and finance : journal … 52 (2012) 2, pp. 207-218
Persistent link: https://www.econbiz.de/10009700518