Forecasting VaR models under Different Volatility Processes and Distributions of Return Innovations

Forecasting VAR Models in the Presence of Regime Shifts in Variance and Egarch Effects

Dendramis, Yiannis, (2012)

Forecasting VaR models under different volatility processes and distributions of return innovations

Dendramis, Yiannis, (2014)

Predicting Default Risk under Asymmetric Binary Link Functions

Dendramis, Yiannis, (2019)