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Recent developments in financial economics and econometrics : an overview
Chang, Chia-Lin; Allen, David E.; McAleer, Michael - 2013
Persistent link: https://www.econbiz.de/10009724823
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Recent developments in financial economics and econometrics : an overview
Chang, Chia-Lin; Allen, David E.; McAleer, Michael - In: The North American journal of economics and finance : a … 26 (2013), pp. 217-226
Persistent link: https://www.econbiz.de/10010365773
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Forecasting value-at-risk using high-frequency information
Huang, Huiyu; Lee, Tae-hwy - In: Econometrics : open access journal 1 (2013) 1, pp. 127-140
In the prediction of quantiles of daily Standard&Poor’s 500 (S&P 500) returns we consider how to use high-frequency 5 …
Persistent link: https://www.econbiz.de/10009776365
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Common cycles in volatility and cross section of stock returns
Barunik, Jozef; Kraicova, Lucie - 2017
We study the relationship between conditional quantiles of returns and the long-, medium- and short-term volatility in … estimates of re-turn quantiles. Our results contribute to the literature on the risk-return relationship with an emphasis on …
Persistent link: https://www.econbiz.de/10011722181
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A stochastic latent moment model for electricity price formation
Gianfreda, Angelica; Bunn, Derek W. - In: Operations research 66 (2018) 5, pp. 1189-1203
Persistent link: https://www.econbiz.de/10011932421
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The asymmetric relationship between Baltic Dry Index and commodity spot prices : evidence from nonparametric causality-in-quantiles test
Bandyopadhyay, Arunava; Rajib, Prabina - In: Mineral economics : raw materials report 36 (2023) 2, pp. 217-237
Persistent link: https://www.econbiz.de/10014251398
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Extreme dependence and spillovers between uncertainty indices and stock markets : does the US market play a major role?
Mensi, Walid; Kamal, Md Rajib; Xuan Vinh Vo; Kang, Sang Hoon - In: The North American journal of economics and finance : a … 68 (2023), pp. 1-23
Persistent link: https://www.econbiz.de/10014485327
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Recent Developments in Financial Economics and Econometrics: An Overview
Chang, Chia-Lin; McAleer, Michael; Allen, David - Facultad de Ciencias Económicas y Empresariales, … - 2013
regime-switching approaches, quantitative evaluation of contingent capital and its applications, high quantiles estimation …
Persistent link: https://www.econbiz.de/10010778692
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Recent developments in financial economics and econometrics: An overview
Chang, Chia-Lin; Allen, David; McAleer, Michael - In: The North American Journal of Economics and Finance 26 (2013) C, pp. 217-226
regime-switching approaches, quantitative evaluation of contingent capital and its applications, high quantiles estimation …
Persistent link: https://www.econbiz.de/10011056697
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Measuring the effectiveness of volatility auctions
Castro, Carlos; Agudelo, Diego A.; Preciado, Sergio - In: International review of economics & finance : IREF 70 (2020), pp. 566-581
Persistent link: https://www.econbiz.de/10012486837