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441
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10
of
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Sort
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date (oldest first)
1
Commodity value-at-risk modeling : comparing riskmetrics, historic simulation and quantile regression
Steen, Marie
;
Westgaard, Sjur
;
Gjølberg, Ole
- In:
The journal of risk model validation
9
(
2015
)
2
,
pp. 49-78
Persistent link: https://www.econbiz.de/10011326305
Saved in:
2
Volatility
modeling with leverage effect under laplace errors
Jiang, Zhengjun
;
Xia, Weixuan
- In:
Journal of time series econometrics
10
(
2018
)
1
,
pp. 1-28
Persistent link: https://www.econbiz.de/10011817685
Saved in:
3
Prediction of α‐stable GARCH and ARMA‐GARCH‐M models
Mohammadi, Mohammad
- In:
Journal of forecasting
36
(
2017
)
7
,
pp. 859-866
Persistent link: https://www.econbiz.de/10011860776
Saved in:
4
Forecasting value-at-risk and expected shortfall in large portfolios : a general dynamic factor approach
Hallin, Marc
;
Trucios, Carlos
-
2020
Persistent link: https://www.econbiz.de/10012437084
Saved in:
5
Multifractality and long-range dependence of asset returns : the scaling behaviour of the Markov-switching multifractal model with lognormal
volatility
components
Liu, Ruipeng
(
contributor
);
Di Matteo, Tiziana
(
contributor
)
-
2008
) with Lognormal
volatility
components. In order to see how well estimated models capture the temporal dependency of the … sufficiently many
volatility
components. In comparison with a Binomial MSM specification [7], results are almost identical. This … distribution is very limited. -- Markov-switching multifractal ; scaling ; return
volatility
…
Persistent link: https://www.econbiz.de/10003715073
Saved in:
6
Optimal portfolio management in highly volatile markets
Stoyanov, Stoyan Veselinov
-
2005
Persistent link: https://www.econbiz.de/10003346695
Saved in:
7
Flexible modeling of conditional distributions using smooth mixtures of asymmetric student T densities
Li, Feng
;
Villani, Mattias
;
Kohn, Robert
-
2009
Chain Monte Carlo ; Mixture of Experts ; Variable selection ;
Volatility
modeling …
Persistent link: https://www.econbiz.de/10003896094
Saved in:
8
Prospect
theory
and risk appetite : an application to traders' strategies in the financial market
Cao, Shi-Nan
;
Deng, Jing
;
Li, Honggang
- In:
Journal of economic interaction and coordination : JEIC
5
(
2010
)
2
,
pp. 249-259
Persistent link: https://www.econbiz.de/10008822678
Saved in:
9
Characterizing dependence in financial series
Chollete, Lorán
-
2004
Persistent link: https://www.econbiz.de/10003549398
Saved in:
10
The impact of news on higher moments
Jondeau, Eric
(
contributor
);
Rockinger, Michael
(
contributor
)
-
2006
domestic
volatility
after good shocks but a bad hedge after crashes …
Persistent link: https://www.econbiz.de/10003394353
Saved in:
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