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The nonlinear dynamic relationship of exchange rates : parametric and nonparametric causality testing

Bekiros, Stelios D.; Diks, Cees G. H. - In: Journal of macroeconomics 30 (2008) 4, pp. 1641-1650

Persistent link: https://www.econbiz.de/10003805647

Translating financial integration into correlation risk : a weekly reporting's viewpoint for the volatility behavior of stock markets

Gatfaoui, Hayette - In: Economic modelling 30 (2013), pp. 776-791

Persistent link: https://www.econbiz.de/10009708799

Nonparametric correlation models for portfolio allocation

Aslanidis, Nektarios; Casas, Isabel - In: Journal of banking & finance 37 (2013) 7, pp. 2268-2283

Persistent link: https://www.econbiz.de/10009760686

Bayesian semiparametric multivariate GARCH modeling

Jensen, Mark J.; Maheu, John M. - In: Journal of econometrics 176 (2013) 1, pp. 3-17

Persistent link: https://www.econbiz.de/10009764412

One-step semiparametric estimation of the GARCH model

Di, Jianing; Gangopadhyay, Ashis - In: Journal of financial econometrics : official journal of … 12 (2014) 2, pp. 382-407

Persistent link: https://www.econbiz.de/10010351543

Finite-sample distribution-free inference in linear median regressions under heteroscedasticity and non-linear dependence of unknown form

Coudin, Elise; Dufour, Jean-Marie - In: The econometrics journal 12 (2009), pp. 19-49

Persistent link: https://www.econbiz.de/10003876273

Modeling the market risk in the context of the Basel III acord

Dardac, Nicolae; Grigore, Alina - In: Theoretical and applied economics : GAER review 18 (2011) 11, pp. 5-20

Persistent link: https://www.econbiz.de/10009675375

A semiparametric GARCH model for foreign exchange volatility

Yang, Lijian - In: Journal of econometrics 130 (2006) 2, pp. 365-384

Persistent link: https://www.econbiz.de/10003277973

Mixtures of t-distributions for finance and forecasting

Giacomini, Raffaella; Gottschling, Andreas; Häfke, … - In: Journal of econometrics 144 (2008) 1, pp. 175-192

Persistent link: https://www.econbiz.de/10003723638

Some flexible parametric models for partially adaptive estimators of econometric models

Hansen, Christian Bailey (contributor); … - 2007

This paper provides a survey of three families of flexible parametric probability density functions (the skewed generalized t, the exponential generalized beta of the second kind, and the inverse hyperbolic sine distributions) which can be used in modeling a wide variety of econometric problems....

Persistent link: https://www.econbiz.de/10003488788