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~isPartOf:"Journal of financial econometrics : official journal of the Society for Financial Econometrics"
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Journal of financial econometrics : official journal of the Society for Financial Econometrics
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ECONIS (ZBW)
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1
Modeling systemic risk : time-varying tail dependence when forecasting marginal expected shortfall
Eckernkemper, Tobias
- In:
Journal of financial econometrics : official journal of …
16
(
2018
)
1
,
pp. 63-117
Persistent link: https://www.econbiz.de/10011987686
Saved in:
2
Can volatility models explain extreme events?
Trapin, Luca
- In:
Journal of financial econometrics : official journal of …
16
(
2018
)
2
,
pp. 297-315
Persistent link: https://www.econbiz.de/10011987768
Saved in:
3
A flexible generalized hyperbolic option pricing model and its special cases
Yeap, Claudia
;
Kwok, Simon Sai Man
;
Choy, S. T. Boris
- In:
Journal of financial econometrics : official journal of …
16
(
2018
)
3
,
pp. 425-460
Persistent link: https://www.econbiz.de/10011987791
Saved in:
4
Nonparametric tail risk, stock returns, and the macroeconomy
Almeida, Caio
;
Ardison, Kym
;
Garcia, René
;
Vicente, Jose
- In:
Journal of financial econometrics : official journal of …
15
(
2017
)
3
,
pp. 333-376
Persistent link: https://www.econbiz.de/10011987494
Saved in:
5
Comment on: nonparametric tail risk, stock returns, and the macroeconomy
Dobrev, Dobrislav
;
Schaumburg, Ernst
- In:
Journal of financial econometrics : official journal of …
15
(
2017
)
3
,
pp. 388-409
Persistent link: https://www.econbiz.de/10011987513
Saved in:
6
Rejoinder on: nonparametric tail risk, stock returns, and the macroeconomy
Almeida, Caio
;
Ardison, Kym
;
Garcia, René
;
Vicente, Jose
- In:
Journal of financial econometrics : official journal of …
15
(
2017
)
3
,
pp. 418-426
Persistent link: https://www.econbiz.de/10011987534
Saved in:
7
Forecasting value-at-risk under temporal and portfolio aggregation
Kole, Erik
;
Markwat, Thijs
;
Opschoor, Anne
;
Dijk, Dick van
- In:
Journal of financial econometrics : official journal of …
15
(
2017
)
4
,
pp. 649-677
Persistent link: https://www.econbiz.de/10011987663
Saved in:
8
Beyond dimension two : a test for higher-order tail risk
Bormann, Carsten
;
Schaumburg, Julia
;
Schienle, Melanie
- In:
Journal of financial econometrics : official journal of …
14
(
2016
)
3
,
pp. 552-580
Persistent link: https://www.econbiz.de/10011623690
Saved in:
9
Bayesian expected shortfall forecasting incorporating the intraday range
Gerlach, Richard
;
Chen, Cathy W. S.
- In:
Journal of financial econometrics : official journal of …
14
(
2016
)
1
,
pp. 128-158
Persistent link: https://www.econbiz.de/10011588546
Saved in:
10
Modeling maximum entropy distributions for financial returns by moment combination and selection
Chen, Yi-ting
- In:
Journal of financial econometrics : official journal of …
13
(
2015
)
2
,
pp. 414-455
Persistent link: https://www.econbiz.de/10011339297
Saved in:
11
Capturing the zero : a new class of zero-augmented distributions and multiplicative error processes
Hautsch, Nikolaus
;
Malec, Peter
;
Schienle, Melanie
- In:
Journal of financial econometrics : official journal of …
12
(
2014
)
1
,
pp. 89-121
Persistent link: https://www.econbiz.de/10010233604
Saved in:
12
Semiparametric density forecasts of daily financial returns from intraday data
Hallam, Mark
;
Olmo, Jose
- In:
Journal of financial econometrics : official journal of …
12
(
2014
)
2
,
pp. 408-432
Persistent link: https://www.econbiz.de/10010351542
Saved in:
13
A dynamic copula approach to recovering the index implied volatility skew
Fengler, Matthias R.
;
Herwartz, Helmut
;
Werner, Christian
- In:
Journal of financial econometrics : official journal of …
10
(
2012
)
3
,
pp. 457-493
Persistent link: https://www.econbiz.de/10009571516
Saved in:
14
Inference in infinite superpositions of non-Gaussian Ornstein-Uhlenbeck processes using Bayesian nonparametic methods
Griffin, Jim E.
- In:
Journal of financial econometrics : official journal of …
9
(
2011
)
3
,
pp. 519-549
Persistent link: https://www.econbiz.de/10009407853
Saved in:
15
Long-term skewness and systemic risk
Engle, Robert F.
- In:
Journal of financial econometrics : official journal of …
9
(
2011
)
3
,
pp. 437-468
Persistent link: https://www.econbiz.de/10009407870
Saved in:
16
The impact of shocks on higher moments
Jondeau, Eric
;
Rockinger, Michael
- In:
Journal of financial econometrics : official journal of …
7
(
2009
)
2
,
pp. 77-105
Persistent link: https://www.econbiz.de/10003826483
Saved in:
17
Range-based covariance estimation using high-frequency data : the realized co-range
Bannouh, Karim
;
Dijk, Dick van
;
Martens, Martin
- In:
Journal of financial econometrics : official journal of …
7
(
2009
)
4
,
pp. 341-372
Persistent link: https://www.econbiz.de/10003907520
Saved in:
18
American option pricing using GARCH models and the normal inverse Gaussian distribution
Stentoft, Lars
- In:
Journal of financial econometrics : official journal of …
6
(
2008
)
4
,
pp. 540-582
Persistent link: https://www.econbiz.de/10003778987
Saved in:
19
The generalized hyperbolic skew student's t-distribution
Aas, Kjersti
;
Hobæk Haff, Ingrid
- In:
Journal of financial econometrics : official journal of …
4
(
2006
)
2
,
pp. 275-309
Persistent link: https://www.econbiz.de/10003318461
Saved in:
20
A mixture mutliplicative error model for realized volatility
Lanne, Markku
- In:
Journal of financial econometrics : official journal of …
4
(
2006
)
4
,
pp. 594-616
Persistent link: https://www.econbiz.de/10003565744
Saved in:
21
A test for symmetry with leptokurtic financial data
Premaratne, Gamini
;
Bera, Anil K.
- In:
Journal of financial econometrics : official journal of …
3
(
2005
)
2
,
pp. 169-187
Persistent link: https://www.econbiz.de/10002810989
Saved in:
22
The accuracy of density forecasts from foreign exchange options
Christoffersen, Peter F.
;
Mazzotta, Stefano
- In:
Journal of financial econometrics : official journal of …
3
(
2005
)
4
,
pp. 578-605
Persistent link: https://www.econbiz.de/10003154312
Saved in:
23
Autoregressive conditional kurtosis
Brooks, Chris
;
Burke, Simon P.
;
Heravi, Saeed M.
; …
- In:
Journal of financial econometrics : official journal of …
3
(
2005
)
3
,
pp. 399-421
Persistent link: https://www.econbiz.de/10002989106
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