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Two-sample testing for tail copulas with an application to equity indices
Can, Sami Umut, (2021)
Can, Sami Umut, (2024)
GARCH models in value at risk estimation : empirical evidence from the Montenegrin stock exchange
Cerovic Smolovic, Julija, (2017)
Testing for serial correlation in the presence of stochastic volatility
Asai, Manabu, (2000)
Estimation of realized asymmetric stochastic volatility models using Kalman filter
Asai, Manabu, (2023)
Heterogeneous asymmetric dynamic conditional correlation model with stock return and range
Asai, Manabu, (2013)