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Long term forecasts of volatility in the market for crude oil : do futures prices offer any clues?
Brochu, Stephen M. - 2002
Persistent link: https://www.econbiz.de/10001875427
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Models of exchange rate expectations : how much heterogeneity?
Bénassy-Quéré, Agnès; Larribeau, Sophie; MacDonald, … - In: Journal of international financial markets, … 13 (2003) 2, pp. 113-136
Persistent link: https://www.econbiz.de/10001950037
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Portfolio constructions with Bayesian GARCH forecasts
Polasek, Wolfgang; Momtchil, M. - In: Operations research proceedings 2000 : selected papers …, (pp. 119-126). 2001
Persistent link: https://www.econbiz.de/10001571447
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Models of exchange rate expectations : heterogeneous evidence from panel data
Bénassy-Quéré, Agnès; Larribeau, Sophie; MacDonald, … - 1999
Persistent link: https://www.econbiz.de/10001365260
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Oil price volatility and macroeconomic fundamentals : a regime switching GARCH-MIDAS model
Pan, Zhiyuan; Wang, Yudong; Wu, Chongfeng; Yin, Libo - In: Journal of empirical finance 43 (2017), pp. 130-142
Persistent link: https://www.econbiz.de/10011817944
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Identification and estimation of panel semiparametric conditional heteroskedastic frontiers with dynamic inefficiency
Cai, Jun; Horrace, William C.; Lee, Yoonseok - In: Econometric reviews 43 (2024) 5, pp. 238-268
Persistent link: https://www.econbiz.de/10014551521
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A semiparametric Bayesian approach to the analysis of financial time series with applications to value at risk estimation
Ausín, M. Concepción; Galeano, Pedro; Ghosh, Pulak - In: European journal of operational research : EJOR 232 (2014) 2, pp. 350-358
Persistent link: https://www.econbiz.de/10010224698
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Semiparametric GARCH Models with Long Memory Applied to Value at Risk and Expected Shortfall
Letmathe, Sebastian; Feng, Yuanhua; Uhde, André - 2021
In this paper new semiparametric GARCH models with long memory are introduced. The estimation of the nonparametric …
Persistent link: https://www.econbiz.de/10013234110
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Risk correlation based on time-varying copula function and extreme value theory
Ji, Xinlong; Zhou, Lu - In: Theoretical economics letters 7 (2017) 7, pp. 2213-2229
Persistent link: https://www.econbiz.de/10011786009
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Nonparametric inference of expectile-based value-at-risk for financial time series with application to risk assessment
Zhang, Feipeng; Xu, Yixiong; Fan, Caiyun - In: International review of financial analysis 90 (2023), pp. 1-8
Persistent link: https://www.econbiz.de/10014469910