Narrow search
Showing 71 - 80 of 687,438
Cover Image
Evaluating Density Forecasts with an Application to Stock Market Returns
Raunig, Burkhard - 2016
Persistent link: https://www.econbiz.de/10012991280
Cover Image
Higher moments, extreme returns, and cross-section of cryptocurrency returns
Jia, Yuecheng; Liu, Yuzheng; Yan, Shu - In: Finance research letters 39 (2021), pp. 1-6
Persistent link: https://www.econbiz.de/10012804999
Cover Image
Macroeconomic and financial risks : a tale of mean and volatility
Caldara, Dario; Scotti, Chiara; Zhong, Molin - 2021
Persistent link: https://www.econbiz.de/10012700481
Cover Image
Score-driven models for realized volatility
Harvey, Andrew C.; Palumbo, Dario - 2019
Persistent link: https://www.econbiz.de/10012703124
Cover Image
Dynamic bivariate peak over threshold model for joint tail risk dynamics of financial markets
Zhao, Zifeng - In: Journal of business & economic statistics : JBES ; a … 39 (2021) 4, pp. 892-906
Persistent link: https://www.econbiz.de/10012653200
Cover Image
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
apply extreme value theory (EVT) distributions to predict extreme losses of five South African (SA) financial times stock …
Persistent link: https://www.econbiz.de/10012604174
Cover Image
Vector autoregression models with skewness and heavy tails
Karlsson, Sune; Mazur, Stepan; Nguyen, Hoang - 2021
Persistent link: https://www.econbiz.de/10012604814
Cover Image
Empirical Study of Tail Distributions of Multi-Day Index Returns
Roos, Thomas - 2021
We study the tail distributions of multi-day index returns across a variety of asset classes. Fitting power laws to the tail distributions, we find tail indices in the range [2-4] for all underlyings, for returns up to 250 days. We also find that the power laws can not be statistically ruled out...
Persistent link: https://www.econbiz.de/10013249954
Cover Image
Portfolio optimization on multivariate regime-switching garch model with normal tempered stable innovation
Peng, Cheng; Kim, Young Shin; Mittnik, Stefan - In: Journal of risk and financial management : JRFM 15 (2022) 5, pp. 1-23
(MRS-MNTS-GARCH) to accommodate fat tails, volatility clustering and regime switch. The volatility of each asset …
Persistent link: https://www.econbiz.de/10013273511
Cover Image
Bayesian estimation of stochastic tail index from high-frequency financial data
Doğan, Osman; Taṣpınar, Süleyman; Bera, Anil K. - In: Empirical economics : a quarterly journal of the … 61 (2021) 5, pp. 2685-2711
Persistent link: https://www.econbiz.de/10012664628