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ECONIS (ZBW)
88
RePEc
49
EconStor
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BASE
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1
Modelling the downside risk potential of mutual fund returns
Kumaran, Sunitha
- In:
Cogent economics & finance
10
(
2022
)
1
,
pp. 1-32
standard approaches (
student-t
-distribution, log normal, historical simulation) and sophisticated volatility models (EWMA …
Persistent link: https://www.econbiz.de/10013462061
Saved in:
2
Forecasting Value at Risk and expected shortfall of foreign exchange rate volatility of major African currencies via GARCH and dynamic conditional correlation analysis
Afuecheta, Emmanuel
;
Okorie, Idika E.
;
Nadarajah, Saralees
- In:
Computational economics
63
(
2024
)
1
,
pp. 271-304
Persistent link: https://www.econbiz.de/10014472109
Saved in:
3
Modeling the relation between the US real economy and the corporate bond-yield spread in Bayesian VARs with non-Gaussian innovations
Kiss, Tamás
;
Mazur, Stepan
;
Nguyen, Hoang
;
Österholm, Pär
- In:
Journal of forecasting
42
(
2023
)
2
,
pp. 347-368
Persistent link: https://www.econbiz.de/10014292181
Saved in:
4
DSGE-SVt : an econometric toolkit for high-dimensional DSGE models with SV and T errors
Chib, Siddhartha
;
Shin, Minchul
;
Tan, Fei
- In:
Computational economics
61
(
2023
)
1
,
pp. 69-111
Persistent link: https://www.econbiz.de/10014228405
Saved in:
5
Do socially responsible indices outperform the market during black swan events : evidence from Indian markets during global financial and COVID-19 crises
Deshmukh, Pranay
;
Sharma, Dipasha
;
Sharma, Pankaj
- In:
Australasian accounting business and finance journal : AABF
16
(
2022
)
5
,
pp. 19-37
Persistent link: https://www.econbiz.de/10013503435
Saved in:
6
Adoption of warm season grasses by beef cattle producers in the Fescue Belt
Ren, Yongwang
;
Lambert, Dayton M.
;
Clark, Christopher David
- In:
Journal of agricultural and resource economics : JARE ; …
47
(
2022
)
1
,
pp. 190-208
Persistent link: https://www.econbiz.de/10012990443
Saved in:
7
Higher moments in the fundamental specification of electricity forward prices
Gianfreda, Angelica
;
Scandolo, Giacomo
;
Bunn, Derek W.
- In:
Quantitative finance
22
(
2022
)
11
,
pp. 2063-2078
Persistent link: https://www.econbiz.de/10013490922
Saved in:
8
Spillover risks on cryptocurrency markets: A look from VAR-SVAR granger causality and
Student's-t
Copulas
In:
Journal of Risk and Financial Management
12
(
2019
)
2
,
pp. 1-19
Vector Autoregressive Model) Granger causality and
Student's-t
Copulas, we find that Ethereum is likely to be the independent … investigating the contagion risks among cryptocurrencies by employing
Student's-t
Copulas for joint distribution. This result …
Persistent link: https://www.econbiz.de/10012611146
Saved in:
9
Estimation of geometric Brownian motion model with a t-distribution-based particle filter
Nkemnole, Bridget
;
Abass, Olaide
- In:
Journal of economic and financial sciences : JEF
12
(
2019
)
1
,
pp. 1-9
Persistent link: https://www.econbiz.de/10012018946
Saved in:
10
Volatility estimation using a rational GARCH model
Takaishi, Tetsuya
- In:
Quantitative finance and economics
2
(
2018
)
1
,
pp. 127-136
Persistent link: https://www.econbiz.de/10012137901
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