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Andreev, Nikolay
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Financial econometrics and empirical market microstructure
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ECONIS (ZBW)
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Stress-testing model for corporate borrower portfolios
Seleznev, Vladimir
;
Surzhko, Denis
;
Khovanskiy, Nikolay
- In:
Financial econometrics and empirical market microstructure
,
(pp. 279-284)
.
2015
Persistent link: https://www.econbiz.de/10011326617
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Global risk factor theory and risk scenario generation based on the Rogov-causality test of time series time-warped longest common subsequence
Rogov, Mikhail
- In:
Financial econometrics and empirical market microstructure
,
(pp. 263-278)
.
2015
Persistent link: https://www.econbiz.de/10011326620
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3
Sample selection bias in mortgage market credit risk modeling
Lozinskaia, Agatha
- In:
Financial econometrics and empirical market microstructure
,
(pp. 249-262)
.
2015
Persistent link: https://www.econbiz.de/10011326622
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4
Modeling demand for mortgage loans using loan-level data
Ozhegov, Evgeniy
- In:
Financial econometrics and empirical market microstructure
,
(pp. 241-248)
.
2015
Persistent link: https://www.econbiz.de/10011326627
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Application of Copula models for modeling one-dimensional time series
Onishchenko, Vadim
;
Penikas, Henry
- In:
Financial econometrics and empirical market microstructure
,
(pp. 225-239)
.
2015
Persistent link: https://www.econbiz.de/10011326630
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Raising issues about impact of high frequency trading on market liquidity
Naumenko, Vladimir
- In:
Financial econometrics and empirical market microstructure
,
(pp. 215-223)
.
2015
Persistent link: https://www.econbiz.de/10011326633
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7
Simulating the synchronizing behavior of high-frequency trading in multiple markets
Myers, Benjamin
;
Gerig, Austin
- In:
Financial econometrics and empirical market microstructure
,
(pp. 207-213)
.
2015
Persistent link: https://www.econbiz.de/10011326641
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On some approaches to managing market risk using VaR limits : a note
Lobanov, Alexey
- In:
Financial econometrics and empirical market microstructure
,
(pp. 195-206)
.
2015
Persistent link: https://www.econbiz.de/10011326643
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9
Adaptive stress testing : amplifying network intelligence by integrating outlier information (draft 16)
Laubsch, Alan
- In:
Financial econometrics and empirical market microstructure
,
(pp. 153-193)
.
2015
Persistent link: https://www.econbiz.de/10011326686
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10
On the modeling of financial time series
Kutergin, Aleksey
;
Filimonov, Vladimir
- In:
Financial econometrics and empirical market microstructure
,
(pp. 131-151)
.
2015
Persistent link: https://www.econbiz.de/10011326692
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