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PELVE : probability equivalent level of VaR and ES
Li, Hengxin; Wang, Ruodu - In: Journal of econometrics 234 (2023) 1, pp. 353-370
Persistent link: https://www.econbiz.de/10014364915
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On the network topology of variance decompositions : measuring the connectedness of financial firms
Diebold, Francis X.; Yılmaz, Kamil - In: Journal of econometrics 182 (2014) 1, pp. 119-134
Persistent link: https://www.econbiz.de/10010497110
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Modeling maxima with autoregressive conditional Fréchet model
Zhao, Zifeng; Zhang, Zhengjun; Chen, Rong - In: Journal of econometrics 207 (2018) 2, pp. 325-351
Persistent link: https://www.econbiz.de/10012116357
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Mark to market value at risk
Chen, Yu; Wang, Zhicheng; Zhang, Zhengjun - In: Journal of econometrics 208 (2019) 1, pp. 299-321
Persistent link: https://www.econbiz.de/10012145015
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Validating forecasts of the joint probability density of bond yields : can affine models beat random walk?
Egorov, Alexej V.; Hong, Yongmiao; Li, Haitao - In: Journal of econometrics 135 (2006) 1/2, pp. 255-284
Persistent link: https://www.econbiz.de/10003376084
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A stochastic dominance approach to financial risk management strategies
Chang, Chia-Lin; Jiménez-Martín, Juan-Ángel; … - In: Journal of econometrics 187 (2015) 2, pp. 472-485
Persistent link: https://www.econbiz.de/10011499744
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Robust inference of risks of large portfolios
Fan, Jianqing; Han, Fang; Liu, Han; Vickers, Byron - In: Journal of econometrics 194 (2016) 2, pp. 298-308
Persistent link: https://www.econbiz.de/10011705149
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ExpectHill estimation, extreme risk and heavy tails
Daouia, Abdelaati; Girard, Stéphane; Stupfler, Gilles - In: Journal of econometrics 221 (2021) 1, pp. 97-117
Persistent link: https://www.econbiz.de/10012618802
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Special issue on financial engineering and risk management
Zhang, Zhengjun (ed.); Linton, Oliver (ed.) - 2019
Persistent link: https://www.econbiz.de/10012140255
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ß in the tails
Bandi, Federico M.; Renò, Roberto - In: Journal of econometrics 227 (2022) 1, pp. 134-150
Persistent link: https://www.econbiz.de/10013441641