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Forecasting market risk of portfolios: copula-Markov switching multifractal approach

Segnon, Mawuli; Trede, Mark - In: The European journal of finance 24 (2018) 14, pp. 1123-1143

Persistent link: https://www.econbiz.de/10012258877

New HEAVY models for fat-tailed realized covariances and returns

Opschoor, Anne; Janus, Paweł; Lucas, André; Dijk, Dick van - In: Journal of business & economic statistics : JBES ; a … 36 (2018) 4, pp. 643-657

Persistent link: https://www.econbiz.de/10012249228

Facts or fates of investors' losses during crises? : evidence from REIT-stock volatility and tail dependence structures

Huang, MeiChi; Wu, Chih-Chiang; Liu, Shih-Min; Wu, Chang-Che - In: International review of economics & finance : IREF 42 (2016), pp. 54-71

Persistent link: https://www.econbiz.de/10011625055

Systematic risk and volatility skew

Tzang, Shyh-Weir; Wang, Chou-Wen; Yu, Min-Teh - In: International review of economics & finance : IREF 43 (2016), pp. 72-87

Persistent link: https://www.econbiz.de/10011625535

Modelling and forecasting inflation in Egypt : univariate and multivariate approaches

Ahmed, Doaa Akl; Abdelsalam, Mamdouh Abdelmoula Mohamed - In: Middle East development journal : a publication of the … 9 (2017) 1, pp. 127-159

Persistent link: https://www.econbiz.de/10011722559

Empirical performance of GARCH models with heavy-tailed innovations

Guo, Zi-Yi - 2017 - This version: August 2017

We introduce a new type of heavy-tailed distribution, the normal reciprocal inverse Gaussian distribution (NRIG), to the GARCH and Glosten-Jagannathan-Runkle (1993) GARCH models, and compare its empirical performance with two other popular types of heavy-tailed distribution, the Student's t...

Persistent link: https://www.econbiz.de/10011723904

Asymmetric business cycle fluctuations in Caribbean economies

Kiani, Khurshid M. - In: International journal of economic perspectives : IJEP 5 (2011) 2, pp. 121-140

Persistent link: https://www.econbiz.de/10011587461

GARCH models, tail indexes and error distributions : an empirical investigation

Horváth, Roman; Šopov, Boril - In: The North American journal of economics and finance : a … 37 (2016), pp. 1-15

Persistent link: https://www.econbiz.de/10011672845

Value at risk (VaR) analysis for fat tails and long memory in returns

Günay, Samet - In: Eurasian economic review : a journal in applied … 7 (2017) 2, pp. 215-230

Persistent link: https://www.econbiz.de/10011684346

Modeling dependency of volatility on sampling frequency via delay equations

Luong, Chuong; Dokučaev, Nikolaj G. - In: Annals of financial economics 11 (2016) 2, pp. 1-12

Persistent link: https://www.econbiz.de/10011685676

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