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A new generalized exponentially weighted moving average quantile model and its statistical inference
Zhu, Ke - In: Journal of econometrics 237 (2023) 1, pp. 1-25
Persistent link: https://www.econbiz.de/10014471471
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Statistical inference for conditional quantiles in nonlinear time series models
So, Mike Ka-pui; Chung, Ray S. W. - In: Journal of econometrics 189 (2015) 2, pp. 457-472
Persistent link: https://www.econbiz.de/10011504625
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Index models with integrated time series
Chang, Yoosoon; Park, Joon Y. - In: Journal of econometrics 114 (2003) 1, pp. 73-106
Persistent link: https://www.econbiz.de/10001738918
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Modeling multivariate extreme events using self-exciting point processes
Grothe, Oliver; Korniichuk, Volodymyr; Manner, Hans - In: Journal of econometrics 182 (2014) 2, pp. 269-289
Persistent link: https://www.econbiz.de/10010497083
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Extreme-quantile tracking for financial time series
Chavez-Demoulin, V.; Embrechts, Paul; Sardy, S. - In: Journal of econometrics 181 (2014) 1, pp. 44-52
Persistent link: https://www.econbiz.de/10010473421
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Intraday Value-at-Risk : an asymmetric autoregressive conditional duration approach
Liu, Shouwei; Tse, Yiu Kuen - In: Journal of econometrics 189 (2015) 2, pp. 437-446
Persistent link: https://www.econbiz.de/10011504612
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Conditional Value-at-Risk : semiparametric estimation and inference
Wang, Chuan-Sheng; Zhao, Zhibiao - In: Journal of econometrics 195 (2016) 1, pp. 86-103
Persistent link: https://www.econbiz.de/10011705234
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Dynamic semiparametric models for expected shortfall (and Value-at-Risk)
Patton, Andrew J.; Ziegel, Johanna; Chen, Rui - In: Journal of econometrics 211 (2019) 2, pp. 388-413
Persistent link: https://www.econbiz.de/10012303806
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Estimation risk for the VaR of portfolios driven by semi-parametric multivariate models
Francq, Christian; Zakoïan, Jean-Michel - In: Journal of econometrics 205 (2018) 2, pp. 381-401
Persistent link: https://www.econbiz.de/10012110307
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Stochastic tail index model for high frequency financial data with Bayesian analysis
Mao, Guangyu; Zhang, Zhengjun - In: Journal of econometrics 205 (2018) 2, pp. 470-487
Persistent link: https://www.econbiz.de/10012110325