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International journal of theoretical and applied finance
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1
Density forecasting with Bayesian Vector Autoregressive models under macroeconomic data uncertainty
Clements, Michael P.
;
Galvão, Ana Beatriz C.
- In:
Journal of applied econometrics
38
(
2023
)
2
,
pp. 164-185
Persistent link: https://www.econbiz.de/10014287961
Saved in:
2
Deep distributional time series models and the probabilistic forecasting of intraday electricity prices
Klein, Nadja
;
Smith, Michael S.
;
Nott, David J.
- In:
Journal of applied econometrics
38
(
2023
)
4
,
pp. 493-511
Persistent link: https://www.econbiz.de/10014288014
Saved in:
3
Partial identification and inference for conditional distributions of treatment effects
Lee, Sungwon
- In:
Journal of applied econometrics
39
(
2024
)
1
,
pp. 107-127
Persistent link: https://www.econbiz.de/10014474442
Saved in:
4
Censored density forecasts : production and evaluation
Mitchell, James
;
Weale, Martin
- In:
Journal of applied econometrics
38
(
2023
)
5
,
pp. 714-734
Persistent link: https://www.econbiz.de/10014338140
Saved in:
5
Heavy tailed but not Zipf : firm and establishment size in the United States
Kondo, Illenin O.
;
Lewis, Logan T.
;
Stella, Andrea
- In:
Journal of applied econometrics
38
(
2023
)
5
,
pp. 767-785
Persistent link: https://www.econbiz.de/10014338144
Saved in:
6
Nowcasting tail risk to economic activity at a weekly frequency
Carriero, Andrea
;
Clark, Todd E.
;
Marcellino, Massimiliano
- In:
Journal of applied econometrics
37
(
2022
)
5
,
pp. 843-866
Persistent link: https://www.econbiz.de/10013464633
Saved in:
7
Extremal connectedness of hedge funds
Mhalla, Linda
;
Hambuckers, Julien
;
Lambert, Marie
- In:
Journal of applied econometrics
37
(
2022
)
5
,
pp. 988-1009
Persistent link: https://www.econbiz.de/10013464644
Saved in:
8
Count Roy model with finite mixtures
Munkin, Murat K.
- In:
Journal of applied econometrics
37
(
2022
)
6
,
pp. 1160-1181
Persistent link: https://www.econbiz.de/10013464662
Saved in:
9
Nonparametric tests of tail behavior in stochastic frontier models
Horrace, William C.
;
Wang, Yulong
- In:
Journal of applied econometrics
37
(
2022
)
3
,
pp. 537-562
Persistent link: https://www.econbiz.de/10013186698
Saved in:
10
Normal but skewed?
Amengual, Dante
;
Bei, Xinyue
;
Sentana, Enrique
- In:
Journal of applied econometrics
37
(
2022
)
7
,
pp. 1295-1313
Persistent link: https://www.econbiz.de/10013473969
Saved in:
11
Option implied VIX, Skew and Kurtosis term structures
Madan, Dilip B.
;
Wang, King
- In:
International journal of theoretical and applied finance
24
(
2021
)
5
,
pp. 1-13
Persistent link: https://www.econbiz.de/10012662046
Saved in:
12
Dynamic probabilistic forecasting with uncertainty
Benth, Fred Espen
;
Kutrolli, Gleda
;
Stefani, Silvana
- In:
International journal of theoretical and applied finance
24
(
2021
)
6/7
,
pp. 1-18
Persistent link: https://www.econbiz.de/10012807773
Saved in:
13
Factor copula model for portfolio credit risk
Kim, Sung Ik
;
Kim, Young Shin
- In:
International journal of theoretical and applied finance
24
(
2021
)
4
,
pp. 1-25
Persistent link: https://www.econbiz.de/10012652691
Saved in:
14
Coherent risk measures and normal mixture distributions with applications in portfolio optimization
Shi, Xiang
;
Kim, Young Shin
- In:
International journal of theoretical and applied finance
24
(
2021
)
4
,
pp. 1-18
Persistent link: https://www.econbiz.de/10012652709
Saved in:
15
Information flow dependence in financial markets
Michaelsen, Markus
- In:
International journal of theoretical and applied finance
23
(
2020
)
5
,
pp. 1-34
Persistent link: https://www.econbiz.de/10012496727
Saved in:
16
Multivariate distributions for financial returns
Madan, Dilip B.
- In:
International journal of theoretical and applied finance
23
(
2020
)
6
,
pp. 1-32
Persistent link: https://www.econbiz.de/10012496775
Saved in:
17
Sinh-acceleration: efficient evaluation of probability distributions, option pricing, and Monte Carlo simulations
Bojarčenko, Svetlana I.
;
Levendorskij, Sergej Z.
- In:
International journal of theoretical and applied finance
22
(
2019
)
3
,
pp. 1-49
Persistent link: https://www.econbiz.de/10012019776
Saved in:
18
Defaultable claims in switching models with partial information
Gapeev, Pavel V.
;
Jeanblanc, Monique
- In:
International journal of theoretical and applied finance
22
(
2019
)
4
,
pp. 1-18
Persistent link: https://www.econbiz.de/10012030897
Saved in:
19
Option pricing with heavy-tailed distributions of logarithmic returns
Basnarkov, Lasko
;
Stojkoski, Viktor
;
Utkovski, Zoran
; …
- In:
International journal of theoretical and applied finance
22
(
2019
)
7
,
pp. 1-35
Persistent link: https://www.econbiz.de/10012153313
Saved in:
20
Change-point analysis of asset price bubbles with power-law hazard function
Lynch, Christopher
;
Mestel, Benjamin
- In:
International journal of theoretical and applied finance
22
(
2019
)
7
,
pp. 1-24
Persistent link: https://www.econbiz.de/10012153466
Saved in:
21
Skewed Lévy models and implied volatility skew
Olivera, Federico de
;
Barbachan, José Santiago Fajardo
; …
- In:
International journal of theoretical and applied finance
21
(
2018
)
2
,
pp. 1-16
Persistent link: https://www.econbiz.de/10011854458
Saved in:
22
Index options and volatility derivatives in a Gaussian random field risk-neutral density model
Han, Xixuan
;
Wei, Boyu
;
Yang, Hailiang
- In:
International journal of theoretical and applied finance
21
(
2018
)
4
,
pp. 1-41
Persistent link: https://www.econbiz.de/10011891885
Saved in:
23
Option pricing in the variance-gamma model under the drift jump
Ivanov, Roman V.
- In:
International journal of theoretical and applied finance
21
(
2018
)
4
,
pp. 1-19
Persistent link: https://www.econbiz.de/10011892547
Saved in:
24
Drawdown measures and return moments
Möller, Philipp M.
- In:
International journal of theoretical and applied finance
21
(
2018
)
7
,
pp. 1-42
Persistent link: https://www.econbiz.de/10011957033
Saved in:
25
Robust trading of implied skew
Nadtochiy, Sergey
;
Obłój, Jan
- In:
International journal of theoretical and applied finance
20
(
2017
)
2
,
pp. 1-41
Persistent link: https://www.econbiz.de/10011686820
Saved in:
26
Efficient piecewise trees for the generalized Skew Vasicek model with discontinuous drift
Zhuo, Xiaoyang
;
Menoukeu-Pamen, Olivier
- In:
International journal of theoretical and applied finance
20
(
2017
)
4
,
pp. 1-34
Persistent link: https://www.econbiz.de/10011687043
Saved in:
27
Marginalized predictive likelihood comparisons of linear gaussian state-space models with applications to DSGE, DSGE-VAR, and VAR models
Warne, Anders
;
Coenen, Günter
;
Christoffel, Kai
- In:
Journal of applied econometrics
32
(
2017
)
1
,
pp. 103-119
Persistent link: https://www.econbiz.de/10011688267
Saved in:
28
Forecasting tail risks
De Nicolò, Gianni
;
Lucchetta, Marcella
- In:
Journal of applied econometrics
32
(
2017
)
1
,
pp. 159-170
Persistent link: https://www.econbiz.de/10011688505
Saved in:
29
Modeling financial sector joint tail risk in the Euro Area
Lucas, André
;
Schwaab, Bernd
;
Zhang, Xin
- In:
Journal of applied econometrics
32
(
2017
)
1
,
pp. 171-191
Persistent link: https://www.econbiz.de/10011688510
Saved in:
30
Integral representations of probability density of stochastic volatility models and timer options
Cui, Zhenyu
;
Kirkby, J. Lars
;
Lian, Guanghua
;
Nguyen, Duy
- In:
International journal of theoretical and applied finance
20
(
2017
)
8
,
pp. 1-32
Persistent link: https://www.econbiz.de/10011787421
Saved in:
31
Density forecasts with MIDAS models
Aastveit, Knut Are
;
Foroni, Claudia
;
Ravazzolo, Francesco
- In:
Journal of applied econometrics
32
(
2017
)
4
,
pp. 783-801
Persistent link: https://www.econbiz.de/10011862204
Saved in:
32
Fat tails and spurious estimation of consumption‐based asset pricing models
Akira Toda, Alexis
;
Walsh, Kieran
- In:
Journal of applied econometrics
32
(
2017
)
6
,
pp. 1156-1177
Persistent link: https://www.econbiz.de/10011862571
Saved in:
33
Nonparametric methods and local‐time‐based estimation for dynamic power law distributions
Fernholz, Ricardo T.
- In:
Journal of applied econometrics
32
(
2017
)
7
,
pp. 1244-1260
Persistent link: https://www.econbiz.de/10011862593
Saved in:
34
Sieve estimation of the minimal entropy martingale marginal density with application to pricing kernel estimation
Belomestny, Denis
;
Härdle, Wolfgang
;
Krymova, Ekaterina
- In:
International journal of theoretical and applied finance
20
(
2017
)
6
,
pp. 1-21
Persistent link: https://www.econbiz.de/10011734146
Saved in:
35
A comparative study of monotone quantile regression methods for financial returns
Cai, Yuzhi
- In:
International journal of theoretical and applied finance
19
(
2016
)
3
,
pp. 1-16
Persistent link: https://www.econbiz.de/10011523744
Saved in:
36
Switching to nonaffine stochastic volatility : a closed-form expansion for the inverse gamma model
Langrené, Nicolas
;
Lee, Geoffrey
;
Zhu, Zili
- In:
International journal of theoretical and applied finance
19
(
2016
)
5
,
pp. 1-37
Persistent link: https://www.econbiz.de/10011525109
Saved in:
37
Multiple testing of sign symmetry for stock return distributions
Koldanov, Petr
;
Lozgacheva, Nina
- In:
International journal of theoretical and applied finance
19
(
2016
)
8
,
pp. 1-14
Persistent link: https://www.econbiz.de/10011686758
Saved in:
38
Outlier-robust Bayesian multinomial choice modeling
Benoit, Dries F.
;
Van Aelst, Stefan
;
Van den Poel, Dirk
- In:
Journal of applied econometrics
31
(
2016
)
7
,
pp. 1445-1466
Persistent link: https://www.econbiz.de/10011687558
Saved in:
39
Option pricing based on a log-skew-normal mixture
Jiménez, José Alfredo
;
Arunachalam, V.
;
Serna, G. M.
- In:
International journal of theoretical and applied finance
18
(
2015
)
8
,
pp. 1-22
Persistent link: https://www.econbiz.de/10011418885
Saved in:
40
Relative risk aversion and power-law distribution of macroeconomic disasters
Brzezinski, Michal
- In:
Journal of applied econometrics
30
(
2015
)
1
,
pp. 170-175
Persistent link: https://www.econbiz.de/10011333038
Saved in:
41
Evaluating point and density forecasts of DSGE models
Wolters, Maik H.
- In:
Journal of applied econometrics
30
(
2015
)
1
,
pp. 74-96
Persistent link: https://www.econbiz.de/10011327648
Saved in:
42
Portfolio return distributions : sample statistics with stochastic correlations
Chetalova, Desislava
;
Schmitt, Thilo A.
;
Schäfer, Rudi
; …
- In:
International journal of theoretical and applied finance
18
(
2015
)
2
,
pp. 1-16
Persistent link: https://www.econbiz.de/10011403228
Saved in:
43
Skew and implied leverage effect : smile dynamics revisited
Vargas, Vincent
;
Dao, Tung-Lam
;
Bouchaud, Jean-Philippe
- In:
International journal of theoretical and applied finance
18
(
2015
)
4
,
pp. 1-15
Persistent link: https://www.econbiz.de/10011403762
Saved in:
44
On the role of skewness, kurtosis, and the location and scale condition in a sharpe ratio performance evaluation setting
Auer, Benjamin R.
- In:
International journal of theoretical and applied finance
18
(
2015
)
6
,
pp. 1-13
Persistent link: https://www.econbiz.de/10011403903
Saved in:
45
Lower bound approximation to basket option values for local volatility jump-diffusion models
Xu, Guoping
;
Zheng, Harry
- In:
International journal of theoretical and applied finance
17
(
2014
)
1
,
pp. 1-15
Persistent link: https://www.econbiz.de/10010363942
Saved in:
46
Credit-equity modeling under a latent Lévy firm process
Kijima, Masaaki
;
Siu, Chi Chung
- In:
International journal of theoretical and applied finance
17
(
2014
)
3
,
pp. 1-41
Persistent link: https://www.econbiz.de/10010364748
Saved in:
47
Applying beta-type size distributions to healthcare cost regressions
Jones, Andrew M.
;
Lomas, James
;
Rice, Nigel
- In:
Journal of applied econometrics
29
(
2014
)
4
,
pp. 649-670
Persistent link: https://www.econbiz.de/10010414863
Saved in:
48
Credit modeling under jump diffusions with exponentially distributed jumps : stable calibration, dynamics and GAP risk
Hellmich, Martin
;
Kassberger, Stefan
;
Schmidt, Wolfgang M.
- In:
International journal of theoretical and applied finance
16
(
2013
)
4
,
pp. 1-26
Persistent link: https://www.econbiz.de/10009779752
Saved in:
49
Informationally dynamized Gaussian copula
Crépey, S.
;
Jeanblanc, Monique
;
Wu, Dong Li
- In:
International journal of theoretical and applied finance
16
(
2013
)
2
,
pp. 1-29
Persistent link: https://www.econbiz.de/10009748717
Saved in:
50
A simple time-consistent model for the forward density process
Hult, Henrik
;
Lindskog, Filip
;
Nykvist, Johan
- In:
International journal of theoretical and applied finance
16
(
2013
)
8
,
pp. 1-29
Persistent link: https://www.econbiz.de/10010243619
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