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~isPartOf:"The journal of risk model validation"
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Estimation
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Belmonte, Miguel A. G.
1
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Journal of forecasting
The journal of risk model validation
Journal of econometrics
17
Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
15
Journal of applied econometrics
14
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13
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1
What can we expect from a good margin model? : observations from whole-distribution tests of risk-based initial margin models
Murphy, David
- In:
The journal of risk model validation
17
(
2023
)
2
,
pp. 59-81
Persistent link: https://www.econbiz.de/10014485769
Saved in:
2
Calibration of rating grades to point-in-time and through-the-cycle levels of probability of default
Rubtsov, Mark
- In:
The journal of risk model validation
15
(
2021
)
4
,
pp. 51-74
Persistent link: https://www.econbiz.de/10013173372
Saved in:
3
An empirical evaluation of large dynamic covariance models in portfolio value-at-risk estimation
Law, Keith K. F.
;
Li, Wai Keung
;
Yu, Philip L. H.
- In:
The journal of risk model validation
14
(
2020
)
2
,
pp. 21-39
Persistent link: https://www.econbiz.de/10014335946
Saved in:
4
Dynamic model averaging and CPI inflation forecasts : a comparison between the euro area and the United States
Di Filippo, Gabriele
- In:
Journal of forecasting
34
(
2015
)
8
,
pp. 619-648
Persistent link: https://www.econbiz.de/10011397637
Saved in:
5
Estimating and forecasting large panels of volatilities with approximate dynamic factor models
Luciani, Matteo
;
Veredas, David
- In:
Journal of forecasting
34
(
2015
)
3
,
pp. 163-176
Persistent link: https://www.econbiz.de/10011305278
Saved in:
6
Stress testing and modelling of rating migration under the Vasicek model framework : empirical approaches and technical implementation
Yang, Bill Huajian
;
Du, Zunwei
- In:
The journal of risk model validation
9
(
2015
)
2
,
pp. 33-47
Persistent link: https://www.econbiz.de/10011326309
Saved in:
7
Liquidity effects on value-at-risk limits : construction of a new VaR model
Madoroba, Sunny B. Walter
;
Kruger, Jan W.
- In:
The journal of risk model validation
8
(
2014
)
4
,
pp. 19-46
Persistent link: https://www.econbiz.de/10010506585
Saved in:
8
Hierarchical shrinkage in time-varying parameter models
Belmonte, Miguel A. G.
;
Koop, Gary
;
Korobilis, Dimitris
- In:
Journal of forecasting
33
(
2014
)
1
,
pp. 80-94
Persistent link: https://www.econbiz.de/10010424876
Saved in:
9
Combining forecasts based on multiple encompassing tests in a macroeconomic core system
Costantini, Mauro
;
Kunst, Robert M.
- In:
Journal of forecasting
30
(
2011
)
6
,
pp. 579-596
Persistent link: https://www.econbiz.de/10009354698
Saved in:
10
Why do students leave education early? : theory and evidence on high school dropout rates
Cabus, Sofie J.
;
De Witte, Kristof
- In:
Journal of forecasting
35
(
2016
)
8
,
pp. 690-702
Persistent link: https://www.econbiz.de/10011610424
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