Narrow search
Showing 1 - 10 of 2,409
Cover Image
Backtesting expected shortfall : evidence from European securitized real estate
Almudhaf, Fahad - In: Applied economics letters 25 (2018) 3, pp. 176-182
Persistent link: https://www.econbiz.de/10011853830
Cover Image
Risk management under time varying volatility and Pareto-stable distributions
Mozumder, Sharif; Kabir, M. Humayun; Dempsey, Michael; … - In: Applied economics letters 27 (2020) 3, pp. 161-167
Persistent link: https://www.econbiz.de/10012205404
Cover Image
Forecasting volatility and value-at-risk for cryptocurrency using GARCH-type models : the role of the probability distribution
Chen, Qihao; Huang, Zhuo; Liang, Fang - In: Applied economics letters 31 (2024) 18, pp. 1907-1914
Persistent link: https://www.econbiz.de/10015084570
Cover Image
A corrected Value-at-Risk predictor
Lönnbark, Carl - In: Applied economics letters 17 (2010) 10/12, pp. 1193-1196
Persistent link: https://www.econbiz.de/10008699136
Cover Image
Robust nonnested hypothesis testing
Sapra, Sunil K. - In: Applied economics letters 15 (2008) 1/3, pp. 1-4
Persistent link: https://www.econbiz.de/10003724904
Cover Image
A new robust sign test for cointegration
Oh, Yujin; So, Beong Soo - In: Applied economics letters 15 (2008) 10/12, pp. 971-974
Persistent link: https://www.econbiz.de/10003785993
Cover Image
Finite-sample size distortion of the AESTAR unit root test : GARCH, corrected variance-covariance matrix estimators and adjusted critical values
Cook, Steven - In: Applied economics letters 23 (2016) 4/6, pp. 318-323
Persistent link: https://www.econbiz.de/10011430513
Cover Image
Robust value-at-risk : an information-theoretic approach
Simonian, Joseph; Davis, Joshua M. - In: Applied economics letters 17 (2010) 16/18, pp. 1551-1553
Persistent link: https://www.econbiz.de/10009232183
Cover Image
Forecasting intraday volatility and VaR using multiplicative component GARCH model
Diao, Xundi; Tong, Bin - In: Applied economics letters 22 (2015) 16/18, pp. 1457-1464
Persistent link: https://www.econbiz.de/10011380317
Cover Image
Value at risk forecasting for volatility index
Park, Seul-Ki; Choi, Ji-Eun; Shin, Dong-wan - In: Applied economics letters 24 (2017) 21, pp. 1613-1620
Persistent link: https://www.econbiz.de/10011853568