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Measuring the information contect of limit order books
Chen, Shi - In: Econometric measures of financial risk in high dimensions, (pp. 1-36). 2017
Persistent link: https://www.econbiz.de/10011913344
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Sparsity analysis of energy price forecasting
Chen, Shi - In: Econometric measures of financial risk in high dimensions, (pp. 37-62). 2017
Persistent link: https://www.econbiz.de/10011913345
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Modelling European exchange rates and VAR with copula approach
Bohdalová, Maria; Greguš, Michal - 2014
Persistent link: https://www.econbiz.de/10011941378
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On some approaches to managing market risk using VaR limits : a note
Lobanov, Alexey - In: Financial econometrics and empirical market microstructure, (pp. 195-206). 2015
Persistent link: https://www.econbiz.de/10011326643
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Differential regional effects of monetary policy: a geographical SVAR approach
Di Giacinto, Valter (contributor) - In: ERSA 2002 Dortmund, [August 27th - 31st] : from …. 2002
Persistent link: https://www.econbiz.de/10001905512
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The effects of bank consolidation on risk capital allocation and market liquidity
D'Souza, Chris; Lai, Alexandra - In: Market functioning and central bank policy, (pp. 86-109). 2002
Persistent link: https://www.econbiz.de/10001715591
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On the simultaneous switching autoregressive model
Kunitomo, Naoto; Sato, Seisho - In: Nonlinear statistical modeling : proceedings of the …, (pp. 363-391). 2000
Persistent link: https://www.econbiz.de/10001587933
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Calculation of aggregate demand and supply disturbances from a common trends model
Hansson, Jesper - In: Macroeconometric studies of private consumption, …, (pp. 47-54). 2001
Persistent link: https://www.econbiz.de/10001588863
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Permanent and transitory components of income and consumption in Sweden
Hansson, Jesper - In: Macroeconometric studies of private consumption, …, (pp. 55-76). 2001
Persistent link: https://www.econbiz.de/10001588881
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An alternative explanation of the price puzzle
Giordani, Paolo - In: Essays in monetary economics and applied econometrics, (pp. 1-35). 2001
Persistent link: https://www.econbiz.de/10001635492