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Stable models in risk management
Olivares, Pablo - In: New frontiers in enterprise risk management, (pp. 113-124). 2008
Persistent link: https://www.econbiz.de/10003709252
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Predicting the tail behavior of financial times stock exchange/Johannesburg Stock Exchange (FTSE/JSE) closing banking indices : extreme value theory approach
Makatjane, Katleho; Moroke, Ntebogang Dinah; Munapo, Elias - In: Handbook of research on emerging theories, models, and …, (pp. 31-64). 2021
The incidence of rare but extreme events appears to be significant in worldwide financial markets. In this chapter we apply extreme value theory (EVT) distributions to predict extreme losses of five South African (SA) financial times stock exchange/Johannesburg Stock Exchange (FTSE/JSE) closing...
Persistent link: https://www.econbiz.de/10012604174
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Noncausal autoregressive model in application to bitcoin/USD exchange rates
Hencic, Andrew; Gouriéroux, Christian - In: Econometrics of risk, (pp. 17-40). 2015
Persistent link: https://www.econbiz.de/10010498586
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Predictive recursion maximum likelihood of threshold autoregressive model
Pathairat Pastpipatkul; Woraphon Yamaka; Songsak … - In: Robustness in econometrics, (pp. 349-362). 2017
Persistent link: https://www.econbiz.de/10011801427
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Maximum likelihood estimation of VAR models for panel data with dynamic latent components
Raknerud, Arvid - In: Dynamic models for panel data : methods and applications, (pp. 1-45). 1999
Persistent link: https://www.econbiz.de/10001565697
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A small sample correction of the Dickey-Fuller test
Johansen, Søren - In: New directions in macromodelling, (pp. 49-68). 2004
Persistent link: https://www.econbiz.de/10002717320
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Maximum likelihood estimation of time series models : the Kalman filter and beyond
Proietti, Tommaso; Luati, Alessandra - In: Handbook of research methods and applications in …, (pp. 334-362). 2013
Persistent link: https://www.econbiz.de/10010206765
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Model-based measurement of actual volatility in high-frequency data
Jungbacker, Borus; Koopman, Siem Jan - 2006
Persistent link: https://www.econbiz.de/10003331376
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Systemic risk via dynamic correlations
Dellaportas, Petros; Plataniotis, Anastasios; Titsias, … - In: Systemic risk tomography : signals, measurement and …, (pp. 3-41). 2017
Persistent link: https://www.econbiz.de/10011617877
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The econometrics of DHSY
Hendry, David F. - In: A Century of economics : 100 years of the Royal …, (pp. 298-334). 1990
Persistent link: https://www.econbiz.de/10001282822