Search Results - isPartOf:"Studies in Nonlinear Dynamics and Econometrics"

Forecast densities for economic aggregates from disaggregate ensembles

Ravazzolo, Francesco; Vahey, Shaun P. - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 18 (2014) 4, pp. 367-381

Persistent link: https://www.econbiz.de/10010461273

Masthead

In: Studies in Nonlinear Dynamics and Econometrics 18 (2014) 1, pp. i-iii

Persistent link: https://www.econbiz.de/10014620543

Nonlinear analysis of electricity prices

Dijk, Dick van (contributor) - 2006

Persistent link: https://www.econbiz.de/10003558991

Computational aspects of portfolio risk estimation in volatile markets: a survey

Fabozzi, Frank J.; Stoyanov, Stoyan V.; Rachev, Svetlozar T. - In: Studies in Nonlinear Dynamics and Econometrics 17 (2013) 1, pp. 103-120

Abstract Portfolio risk estimation requires appropriate modeling of fat-tails and asymmetries in dependence in combination with a true downside risk measure. In this survey, we discuss computational aspects of a Monte Carlo based framework for risk estimation and risk capital allocation. We...

Persistent link: https://www.econbiz.de/10014620428

A maximum score test for binary response models

Mayer, Walter James; Wu, Chen - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 17 (2013) 5, pp. 619-639

Persistent link: https://www.econbiz.de/10010228544

Determining the number of global and country-specific factors in the euro area

Dias, Francisco C.; Pinheiro, Maximiano; Rua, António - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 17 (2013) 5, pp. 573-617

Persistent link: https://www.econbiz.de/10010228548

Estimating C-CAPM and the equity premium over the frequency domain

Kalyvitēs, Sarantēs; Panopulu, Aikaterinē - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 17 (2013) 5, pp. 551-571

Persistent link: https://www.econbiz.de/10010228554

Regimes and long memory in realized volatility

Goldman, Elena; Nam, Jouahn; Tsurumi, Hiroki; Jun, Wang - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 17 (2013) 5, pp. 521-549

Persistent link: https://www.econbiz.de/10010228559

Stochastic volatility model with regime-switching skewness in heavy-tailed errors for exchange rate returns

Nakajima, Jouchi - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 17 (2013) 5, pp. 499-520

Persistent link: https://www.econbiz.de/10010228561

Reproducing business cycle features : are nonlinear dynamics a proxy for multivariate information?

Morley, James C.; Piger, Jeremy Max; Tien, Pao-lin - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 17 (2013) 5, pp. 483-498

Persistent link: https://www.econbiz.de/10010228565