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Persistence and procyclicality in margin requirements
Glasserman, Paul; Wu, Qi - In: Management science : journal of the Institute for … 64 (2018) 12, pp. 5705-5724
Persistent link: https://www.econbiz.de/10011964578
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Stochastic tail index model for high frequency financial data with Bayesian analysis
Mao, Guangyu; Zhang, Zhengjun - In: Journal of econometrics 205 (2018) 2, pp. 470-487
Persistent link: https://www.econbiz.de/10012110325
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Probability forecasts made at multiple lead times
Regnier, Eva - In: Management science : journal of the Institute for … 64 (2018) 5, pp. 2407-2426
Persistent link: https://www.econbiz.de/10011874346
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A predictive test of the NBD model that controls for non-stationarity
Tibrewala, Vikas; Buchanan, Bruce - 1988
Persistent link: https://www.econbiz.de/10011877904
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Inference on filtered and smoothed probabilities in Markov-switching autoregressive models
Álvarez, Rocío; Camacho, Maximo; Ruiz Marín, Manuel - In: Journal of business & economic statistics : JBES ; a … 37 (2019) 3, pp. 484-495
Persistent link: https://www.econbiz.de/10012178190
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Coherent probabilistic forecasts for hierarchical time series
Ben Taieb, Souhaib; Taylor, James W.; Hyndman, Rob J. - 2017
Persistent link: https://www.econbiz.de/10011781966
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Dependence modelling of Malaysian Ringgit (MYR) and Thai Baht (THB) : the Markov switching model with dynamic copula approach (DCA) and bivariate extreme value approach
Prasert Chaitip; Chukiat Chaiboonsri - In: International journal of computational economics and … 6 (2016) 2, pp. 138-155
Persistent link: https://www.econbiz.de/10011704600
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A flexible observation-driven stationary bivariate negative binomial INAR(1) with non-homogeneous levels of over-dispersion
Khan, Naushad Mamode; Sunecher, Yuvraj; Jowaheer, Vandna - In: Journal of time series econometrics 10 (2018) 2, pp. 1-8
Persistent link: https://www.econbiz.de/10011898006
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Cross-temporal probabilistic forecast reconciliation : Methodological and practical issues
Girolimetto, Daniele; Athanasopoulos, George; Di Fonzo, … - In: International journal of forecasting 40 (2024) 3, pp. 1134-1151
Persistent link: https://www.econbiz.de/10014547263
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Is empirical granularity high enough to cause aggregate fluctuations? : the closeness to Gaussian
Arata, Yoshiyuki - 2022
Persistent link: https://www.econbiz.de/10014432033