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Enhanced pricing and management of bundled insurance risks with dependence-aware prediction using pair copula construction
Shi, Peng; Zhao, Zifeng - In: Journal of econometrics 240 (2024) 1, pp. 1-18
Persistent link: https://www.econbiz.de/10015075032
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On loss functions and ranking forecasting performances of multivariate volatility models
Laurent, Sébastien; Rombouts, Jeroen V. K.; Violante, … - In: Journal of econometrics 173 (2013) 1, pp. 1-10
Persistent link: https://www.econbiz.de/10009719647
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Variable selection, estimation and inference for multi-period forecasting problems
Pesaran, M. Hashem; Pick, Andreas; Timmermann, Allan - In: Journal of econometrics 164 (2011) 1, pp. 173-187
Persistent link: https://www.econbiz.de/10009270389
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Incorporating overnight and intraday returns into multivariate GARCH volatility models
Dhaene, Geert; Wu, Jianbin - In: Journal of econometrics 217 (2020) 2, pp. 471-495
Persistent link: https://www.econbiz.de/10012482817
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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
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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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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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Dynamic factor copula models with estimated cluster assignments
Oh, Dong Hwan; Patton, Andrew J. - In: Journal of econometrics 237 (2023) 2,3, pp. 1-23
Persistent link: https://www.econbiz.de/10014471820
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Prediction of Lévy-driven CARMA processes
Brockwell, Peter J.; Lindner, Alexander - In: Journal of econometrics 189 (2015) 2, pp. 263-271
Persistent link: https://www.econbiz.de/10011504524
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Real-time forecast evaluation of DSGE models with stochastic volatility
Diebold, Francis X.; Schorfheide, Frank; Shin, Minchul - In: Journal of econometrics 201 (2017) 2, pp. 322-332
Persistent link: https://www.econbiz.de/10011920505