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A unified approach to validating univariate and multivariate conditional distribution models in time series
Chen, Bin; Hong, Yongmiao - In: Journal of econometrics 178 (2014) 1, pp. 22-44
Persistent link: https://www.econbiz.de/10010254990
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Volatility modeling and Value-at-Risk (VaR) forecasting of emerging stock markets in the presence of long memory, asymmetry, and skewed heavy tails
Gencer, Hatice Gaye; Demiralay, Sercan - In: Emerging markets finance & trade : a journal of the … 52 (2016) 1/3, pp. 639-657
Persistent link: https://www.econbiz.de/10011562539
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Exact confidence sets and goodness-of-fit methods for stable distributions
Beaulieu, Marie-Claude; Dufour, Jean-Marie; Khalaf, Lynda - In: Journal of econometrics 181 (2014) 1, pp. 3-14
Persistent link: https://www.econbiz.de/10010473451
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Nonparametric tests for conditional independence using conditional distributions
Bouezmarni, Taoufik; Taamouti, Abderrahim - 2012
Persistent link: https://www.econbiz.de/10010473719
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Backtesting VaR in consideration of the higher moments of the distribution for minimum-variance hedging portfolios
Chuang, Chung-Chu; Wang, Yi-Hsien; Yeh, Tsai-Jung; … - In: Economic modelling 42 (2014), pp. 15-19
Persistent link: https://www.econbiz.de/10010478302
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Modified quasi-likelihood ratio test for regime switching
Kasahara, Hiroyuki; Okimoto, Tatsuyoshi; Shimotsu, Katsumi - In: The Japanese economic review : the journal of the … 65 (2014) 1, pp. 25-41
Persistent link: https://www.econbiz.de/10010425091
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Power laws in financial markets : scaling exponent h and alpha-stable distributions
Günay, Samet - In: The journal of applied business research 31 (2015) 1, pp. 305-315
Persistent link: https://www.econbiz.de/10010503416
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Testing against changing correlation
Harvey, Andrew C.; Thiele, Stephen - 2014
Persistent link: https://www.econbiz.de/10010504846
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Nonparametric tests for tail monotonicity
Berghaus, Betina; Bücher, Axel - In: Journal of econometrics 180 (2014) 2, pp. 117-126
Persistent link: https://www.econbiz.de/10010433404
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On the exact finite sample distribution of the L1-FCvM test statistic
Hinloopen, Jeroen; Wagenvoort, Rien - 2011
Persistent link: https://www.econbiz.de/10009126689