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Prediction of financial downside-risk with heavy-tailed conditional distributions

Mittnik, Stefan; Paolella, Marc S. - 2003

Persistent link: https://www.econbiz.de/10001788591

Prediction of financial downside-risk with heavy-tailed conditional distributions

Mittnik, Stefan; Paolella, Marc S. - In: Handbook of heavy tailed distributions in finance, (pp. 385-404). 2003

Persistent link: https://www.econbiz.de/10001882139

Correcting the errors : a note on volatility forecast evaluation based on high-frequency data and realized volatilities

Andersen, Torben (contributor); Bollerslev, Tim (contributor) - 2002 - [Elektronische Ressource]

Persistent link: https://www.econbiz.de/10001947554

Forecasting financial market volatility : sample frequency vis-à-vis forecast horizon

Andersen, Torben; Bollerslev, Tim; Lange, Steve - In: Journal of empirical finance 6 (1999) 5, pp. 457-477

Persistent link: https://www.econbiz.de/10001505784

Nonlinear time series analysis with applications to foreign exchange rate volatility : with 29 tables

Hafner, Christian M. - 1998

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The prediction of down-side market risk with GARCH-stable models

Mittnik, Stefan; Paolella, Marc S.; Račev, Svetlozar T. - 1998

Persistent link: https://www.econbiz.de/10001410540

Financial Systems, Growth, and Volatility : Searching for the Perfect Fit

Islam, Roumeen - 2016

system on volatility in gross domestic product per capita and consumption per capita growth. It also examines the impact of … volatility even after controlling for the quality of institutions and periods of financial crises. In large financial systems …, finance may not help individuals smooth consumption volatility. The threshold at which finance's effect may be volatility …

Persistent link: https://www.econbiz.de/10012245834

Asymmetric connectedness on the U.S. stock market : bad and good volatility spillovers

Baruník, Jozef; Kočenda, Evžen; Vácha, Lukáš - In: Journal of financial markets 27 (2016), pp. 55-78

Persistent link: https://www.econbiz.de/10011722220

Global contagion of investor sentiment during the US subprime crisis : the case of the USA and the region of Latin America

Talbi, Mariem; Ben Halima, Amel - In: International journal of economics and financial issues … 9 (2019) 3, pp. 163-174

Persistent link: https://www.econbiz.de/10012149555

Asset return dynamics under habits and bad environment-good environment fundamentals

Bekaert, Geert; Engstrom, Eric - In: Journal of political economy 125 (2017) 3, pp. 713-760

Persistent link: https://www.econbiz.de/10011753819