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Range-based DCC models for covariance and value-at-risk forecasting
Fiszeder, Piotr; Fałdziński, Marcin; Molnár, Peter - In: Journal of empirical finance 54 (2019), pp. 58-76
Persistent link: https://www.econbiz.de/10012174846
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Optimal smoothing for a computationally and statistically efficient single index estimator
Xia, Yingcun; Härdle, Wolfgang; Linton, Oliver - 2009
Persistent link: https://www.econbiz.de/10003942454
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Valuation of collateralized debt obligations with hierarchical Archimedean copulae
Choroś-Tomczyk, Barbara; Härdle, Wolfgang; Okhrin, Ostap - In: Journal of empirical finance 24 (2013), pp. 42-62
Persistent link: https://www.econbiz.de/10010371991
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Modeling and forecasting dynamic conditional correlations with opening, high, low, and closing prices
Fiszeder, Piotr; Fałdziński, Marcin; Molnár, Peter - In: Journal of empirical finance 70 (2023), pp. 308-321
Persistent link: https://www.econbiz.de/10014423712
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Modelling and forecasting liquidity supply using semiparametric factor dynamics
Härdle, Wolfgang; Hautsch, Nikolaus; Mihoci, Andrija - In: Journal of empirical finance 19 (2012) 4, pp. 610-625
Persistent link: https://www.econbiz.de/10009615658