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Emerging markets and heavy tails
Ibragimov, Marat; Ibragimov, Rustam Ju.; Kattuman, Paul A. - In: Journal of banking & finance 37 (2013) 7, pp. 2546-2559
Persistent link: https://www.econbiz.de/10009760588
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Carry trades and tail risk of exchange rates
Ganepola, Chanaka N. - In: Staff studies : official journal of the Central Bank of … 44 (2014) 1/2, pp. 69-108
Persistent link: https://www.econbiz.de/10011534942
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Stochastic volatility models for asset returns with leverage, skewness and heavy-tails via scale mixture
Huang, Jing-Zhi; Xu, Li - In: The quarterly journal of finance 4 (2014) 3, pp. 1-31
Persistent link: https://www.econbiz.de/10010473521
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Non-standard inference for augmented double autoregressive models with null volatility coefficients
Jiang, Feiyu; Li, Dong; Zhu, Ke - In: Journal of econometrics 215 (2020) 1, pp. 165-183
Persistent link: https://www.econbiz.de/10012439437
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One country, two systems? : the heavy-tailedness of Chinese A- and H- share markets
Chen, Zhiming; Ibragimov, Rustam Ju. - In: Emerging markets review 38 (2019), pp. 115-141
Persistent link: https://www.econbiz.de/10012312681
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Heavy tails and upper-tail inequality : the case of Russia
Ibragimov, Marat; Ibragimov, Rustam Ju. - In: Empirical economics : a journal of the Institute for … 54 (2018) 2, pp. 823-837
Persistent link: https://www.econbiz.de/10011949306
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Asymptotics for systemic risk with dependent heavy-tailed losses
Liu, Jiajun; Yang, Yang - In: ASTIN bulletin : the journal of the International … 51 (2021) 2, pp. 571-605
Persistent link: https://www.econbiz.de/10012523256
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A Bayesian high-frequency estimator of the multivariate covariance of noisy and asynchronous returns
Peluso, Stefano; Corsi, Fulvio; Mira, Antonietta - In: Journal of financial econometrics : official journal of … 13 (2015) 3, pp. 665-697
Persistent link: https://www.econbiz.de/10011339256
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Bayesian nonparametric covariance estimation with noisy and nonsynchronous asset prices
Liu, Jia - In: Journal of risk 24 (2021) 1, pp. 1-23
Persistent link: https://www.econbiz.de/10012816791
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A model for policy interest rates
Seibert, Armin; Sirchenko, Andrei; Müller, Gernot - In: Journal of economic dynamics & control 124 (2021), pp. 1-17
Persistent link: https://www.econbiz.de/10012666426