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Urga, Giovanni
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CEA_372Cass working paper series
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ECONIS (ZBW)
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21
Evaluating the accuracy of value-at-risk forecasts : new multilevel tests
Leccadito, Arturo
;
Boffelli, Simona
;
Urga, Giovanni
-
2013
Persistent link: https://www.econbiz.de/10010440889
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22
Price jump indicators : stock market empirics during the crisis
Novotný, Jan
;
Hanousek, Jan
;
Koèenda, Evžen
-
2013
Persistent link: https://www.econbiz.de/10010440891
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23
Sand in the wheels or the wheels in sand? : Tobin-like taxes and market crashes
Lavièka, Hynek
;
Lichard, Tomá
;
Novotný, Jan
-
2013
Persistent link: https://www.econbiz.de/10010440895
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24
True vs spurious long memory : some theoretical results and a Monte Carlo comparison
Leccadito1, Arturo
;
Rachedi, Omar
;
Urga, Giovanni
-
2013
Persistent link: https://www.econbiz.de/10010440897
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25
Conditional correlation models of autoregressive conditional heteroskedasticity with nonstationary GARCH equations
Amado, Cristina
;
Teräsvirta, Timo
-
2013
Persistent link: https://www.econbiz.de/10010440898
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26
Jackknife bias reduction in autoregressive models with a unit root
Chambers, Marcus J.
;
Kyriacou, Maria
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2012
Persistent link: https://www.econbiz.de/10009508040
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27
Jackknife estimation of stationary autoregressive models
Chambers, Marcus J.
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2012
Persistent link: https://www.econbiz.de/10009508041
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28
Testing for co-jumps in high-frequency financial data : an approach based on first-high-low-last prices
Liao, Yin
;
Anderson, Heather M.
-
2012
Persistent link: https://www.econbiz.de/10009578146
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29
Estimation of and inference about the expected shortfall for time series with infinite variance
Linton, Oliver
;
Xiao, Zhijie
-
2012
Persistent link: https://www.econbiz.de/10009578157
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30
Robust forecasting by regularization
Dobrev, Dobrislav
;
Schaumburg, Ernst
-
2012
Persistent link: https://www.econbiz.de/10009578161
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