Search Results - subject:"Cornish–Fisher expansion"

Re-examining confidence intervals for ratios of parameters

Ratsimalahelo, Zaka - In: Econometrics : open access journal 13 (2025) 3, pp. 1-27

This paper considers the problem of constructing confidence intervals (CIs) for nonlinear functions of parameters, particularly ratios of parameters a common issue in econometrics and statistics. Classical CIs (such as the Delta method and the Fieller method) often fail in small samples due to...

Persistent link: https://www.econbiz.de/10015475544

The effect of COVID-19 on cryptocurrencies and the stock market volatility: A two-stage DCC-EGARCH model analysis

Ampountolas, Apostolos - In: Journal of Risk and Financial Management 16 (2023) 1, pp. 1-17

Cornish-Fisher expansion (CFVaR). The empirical results show significant long- and short-term spillover effects. The two …

Persistent link: https://www.econbiz.de/10014332800

The effect of COVID-19 on cryptocurrencies and the stock market volatility : a two-stage DCC-EGARCH model analysis

Ampountolas, Apostolos - In: Journal of risk and financial management : JRFM 16 (2023) 1, pp. 1-17

Cornish-Fisher expansion (CFVaR). The empirical results show significant long- and short-term spillover effects. The two …

Persistent link: https://www.econbiz.de/10014295230

Volatility shocks, leverage effects, and time-varying conditional skewness

Kirby, Chris - In: Journal of financial econometrics 22 (2024) 5, pp. 1714-1758

Persistent link: https://www.econbiz.de/10015338835

Oil tail-risk forecasts : from financial crisis to COVID-19

Kuang, Wei - In: Risk management : an international journal 24 (2022) 4, pp. 420-460

Persistent link: https://www.econbiz.de/10013464195

Degradation data analysis based on gamma process with random effects

Wang, Xiaofei; Wang, Bing Xing; Hong, Yili; Jiang, Pei Hua - In: European journal of operational research : EJOR 292 (2021) 3, pp. 1200-1208

Persistent link: https://www.econbiz.de/10012502436

Computation of the corrected Cornish-Fisher expansion using the response surface methodology : application to VaR and CVaR

Amédée-Manesme, Charles-Olivier; Barthélémy, Fabrice; … - In: Decision making and risk/return optimization in …, (pp. 423-453). 2019

Persistent link: https://www.econbiz.de/10012135898

Proper use of the modified Sharpe ratios in performance measurement: rearranging the Cornish Fisher expansion

Amédée-Manesme, Charles-Olivier; Barthélémy, Fabrice - In: Risk management decisions and value under uncertainty, (pp. 691-712). 2022

Persistent link: https://www.econbiz.de/10013341975

Forecasting Value-at-Risk with Time-Varying Variance, Skewness and Kurtosis in an Exponential Weighted Moving Average Framework

Gabrielsen, Alexandros; Zagaglia, Paolo; Kirchner, Axel; … - Rimini Centre for Economic Analysis (RCEA) - 2012

Cornish-Fisher expansion series of the first four moments. An evaluation of the predictive performance of the proposed model …

Persistent link: https://www.econbiz.de/10010551735

Forecasting Value-at-Risk with time-varying variance, skewness and kurtosis in an exponential weighted moving average framework

Gabrielsen, A.; Zagaglia, Paolo; Kirchner, A.; Liu, Z. - Volkswirtschaftliche Fakultät, … - 2012

Cornish-Fisher expansion series of the first four moments. An evaluation of the predictive performance of the proposed model …

Persistent link: https://www.econbiz.de/10011108408