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Estimating and predicting value-at-risk in the presence of structural breaks : A study based on unbiased extreme value volatility estimator

Kumar, Dilip - In: The journal of prediction markets 14 (2020) 1, pp. 27-48

Persistent link: https://www.econbiz.de/10012667394

Time-varying NoVaS versus GARCH : point prediction, volatility estimation and prediction intervals

Chen, Jie; Politis, Dimitris N. - In: Journal of time series econometrics 12 (2020) 2, pp. 1-36

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Stock return predictability and model instability : evidence from mainland China and Hong Kong

Hong, Hui; Chen, Naiwei; O'Brien, Fergal; Ryan, James - In: The quarterly review of economics and finance : journal … 68 (2018), pp. 132-142

Persistent link: https://www.econbiz.de/10012034528

Modeling and forecasting the co-movement of international yield curve drivers

Sprincenatu, Maria - 2019

Persistent link: https://www.econbiz.de/10012172917

Market timing and return prediction under model instability

Pesaran, M. Hashem; Timmermann, Allan - 2002

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Market timing and return prediciton under model instability

Pesaran, M. Hashem; Timmermann, Allan - In: Journal of empirical finance 9 (2002) 5, pp. 495-510

Persistent link: https://www.econbiz.de/10001712014

Model instability and choice of observation window

Pesaran, M. Hashem; Timmermann, Allan - 1999

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Modelling stock volatilities during financial crises : a time varying coefficient approach

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Extreme dependence between crude oil and stock markets in Asia-Pacific regions : evidence from quantile regression

Zhu, Huiming; Huang, Hui; Peng, Cheng; Yang, Yan - 2016

This paper investigates the extreme dependence between the Asia-Pacific stock markets and the international crude oil market by applying the quantile regression theory and using daily data from January 4th, 2000 to July 4th, 2016. The authors obtain a more detailed result on the degree and...

Persistent link: https://www.econbiz.de/10011561029

Volatility spillover between exchange rate and stock returns under volatility shifts

Malik, Farooq - In: The quarterly review of economics and finance : journal … 80 (2021), pp. 605-613

Persistent link: https://www.econbiz.de/10012655581