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Journal of econometrics
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1
Econometric methods for derivative securities and risk management
Garcia, René
(
contributor
);
Ghysels, Eric
(
contributor
); …
- In:
Journal of econometrics
94
(
2000
)
1/2
,
pp. 1-7
Persistent link: https://www.econbiz.de/10001437739
Saved in:
2
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
Saved in:
3
An evaluation of financial institutions : impact on consumption and investment using panel data and the
theory
of risk-bearing
Alem, Mauro
;
Townsend, Robert M.
- In:
Journal of econometrics
183
(
2014
)
1
,
pp. 91-103
Persistent link: https://www.econbiz.de/10010506082
Saved in:
4
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
Saved in:
5
A multiple regime smooth transition Heterogeneous Autoregressive model for long memory and asymmetries
McAleer, Michael
;
Medeiros, Marcelo C.
- In:
Journal of econometrics
147
(
2008
)
1
,
pp. 104-119
Persistent link: https://www.econbiz.de/10003783790
Saved in:
6
Scenario generation for long run interest rate risk assessment
Engle, Robert F.
;
Roussellet, Guillaume
;
Siriwardane, …
- In:
Journal of econometrics
201
(
2017
)
2
,
pp. 333-347
Persistent link: https://www.econbiz.de/10011920512
Saved in:
7
TENET : Tail-Event driven NETwork risk
Härdle, Wolfgang
;
Wang, Weining
;
Yu, Lining
- In:
Journal of econometrics
192
(
2016
)
2
,
pp. 499-513
Persistent link: https://www.econbiz.de/10011704738
Saved in:
8
Bad environments, good environments : a non-Gaussian asymmetric volatility model
Bekaert, Geert
;
Engstrom, Eric
;
Ermolov, Andrey
- In:
Journal of econometrics
186
(
2015
)
1
,
pp. 258-275
Persistent link: https://www.econbiz.de/10011349501
Saved in:
9
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
Saved in:
10
On the predictive risk in misspecified quantile regression
Giessing, Alexander
;
He, Xuming
- In:
Journal of econometrics
213
(
2019
)
1
,
pp. 235-260
Persistent link: https://www.econbiz.de/10012304550
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