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Simultaneous confidence bands for conditional value-at-risk and expected shortfall
Li, Shuo; Peng, Liuhua; Song, Xiaojun - In: Econometric theory 39 (2023) 5, pp. 1009-1043
Persistent link: https://www.econbiz.de/10014436591
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Identifiability of recurrent neural networks
Al-Falou, A. A.; Trummer, D. - In: Econometric theory 19 (2003) 5, pp. 812-828
Persistent link: https://www.econbiz.de/10001802816
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Tests of the martingale difference hypothesis using boosting and RBF neural network approximations
Kapetanios, George; Blake, Andrew P. - In: Econometric theory 26 (2010) 5, pp. 1363-1397
Persistent link: https://www.econbiz.de/10008662665
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Estimation-adjusted VAR
Gouriéroux, Christian; Zakoïan, Jean-Michel - In: Econometric theory 29 (2013) 4, pp. 735-770
Persistent link: https://www.econbiz.de/10010210164
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Estimation risk in GARCH VaR and ES estimates
Gao, Feng; Song, Fengming - In: Econometric theory 24 (2008) 5, pp. 1404-1424
Persistent link: https://www.econbiz.de/10003748804
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Nonparametric estimation of conditional value-at-risk and expected shortfall based on extreme value theory
Martins-Filho, Carlos; Yao, Feng; Torero, Máximo - In: Econometric theory 34 (2018) 1, pp. 23-67
Persistent link: https://www.econbiz.de/10011950922
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Model-free inference for tail risk measures
Xu, Ke-Li - In: Econometric theory 32 (2016) 1, pp. 122-153
Persistent link: https://www.econbiz.de/10011578447
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Optimal multistep VAR forecast averaging
Liao, Jen-Che; Tsay, Wen-jen - In: Econometric theory 36 (2020) 6, pp. 1099-1126
Persistent link: https://www.econbiz.de/10012404091
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Nonparametric estimation of additive nonlinear ARX time series : local linear fitting and projections
Cai, Zongwu; Masry, Elias - In: Econometric theory 16 (2000) 4, pp. 465-501
Persistent link: https://www.econbiz.de/10001517328
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Asymptotics for nonlinear transformations of integrated time series
Park, Joon Y.; Phillips, Peter C. B. - In: Econometric theory 15 (1999) 3, pp. 269-298
Persistent link: https://www.econbiz.de/10001434300