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1
The stress-dependent random walk
Gremm, Martin
- In:
International journal of theoretical and applied finance
18
(
2015
)
8
,
pp. 1-16
Persistent link: https://www.econbiz.de/10011419399
Saved in:
2
A study on volatility spurious almost integration effect : a threshold realized GARCH approach
Xu, Dinghai
-
2019
Persistent link: https://www.econbiz.de/10012137575
Saved in:
3
Crude oil risk forecasting : new evidence from multiscale analysis approach
He, Kaijian
;
Tso, Kwok Fai Geoffrey
;
Zou, Yingchao
;
Liu, Jia
- In:
Energy economics
76
(
2018
),
pp. 574-583
Persistent link: https://www.econbiz.de/10011976731
Saved in:
4
Evaluating an EGARCH model with fat tails, skewness and leverage in forecasting VaR
Benito Muela, Sonia
- In:
Journal of contemporary management : JMC
4
(
2015
)
3
,
pp. 67-80
Persistent link: https://www.econbiz.de/10011392904
Saved in:
5
The geometric-VaR backtesting method
Pelletier, Denis
;
Wei, Wei
- In:
Journal of financial econometrics : official journal of …
14
(
2016
)
4
,
pp. 725-745
Persistent link: https://www.econbiz.de/10011623861
Saved in:
6
Estimating multi-period value at risk of oil futures prices
Zhou, Chunyang
;
Qin, Xiao
;
Diao, Xundi
;
He, Yingchen
- In:
Applied economics
48
(
2016
)
31/33
,
pp. 2994-3004
Persistent link: https://www.econbiz.de/10011615344
Saved in:
7
The role of trading volume in forecasting market risk
Slim, Skander
- In:
Inventi impact: international trade
(
2016
)
3
,
pp. 169-181
Persistent link: https://www.econbiz.de/10011567980
Saved in:
8
Extreme downside risk spillover from the United States and Japan to Asia-Pacific stock markets
Liu, Lu
- In:
International review of financial analysis
33
(
2014
),
pp. 39-48
Persistent link: https://www.econbiz.de/10010520085
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9
A triple-threshold leverage stochastic volatility model
Wu, Xin-Yu
;
Zhou, Hai-Lin
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
19
(
2015
)
4
,
pp. 483-500
Persistent link: https://www.econbiz.de/10011339413
Saved in:
10
Forecasting VaR models under different volatility processes and distributions of return innovations
Dendramis, Yiannis
;
Spungin, Giles E.
;
Tzavalis, Elias
- In:
Journal of forecasting
33
(
2014
)
7
,
pp. 515-531
Persistent link: https://www.econbiz.de/10011282095
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