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A threshold stochastic volatility model
So, Mike K.P.; Li, W.K.; Lam, K. - In: Journal of forecasting 21 (2002) 7, pp. 473-500
Persistent link: https://www.econbiz.de/10006891490
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On a dynamic mixture GARCH model
Cheng, Xixin; Yu, Philip L.H.; Li, W.K. - In: Journal of forecasting 28 (2009) 3, pp. 247-265
Persistent link: https://www.econbiz.de/10008227512
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International Evidence on GFC‐Robust Forecasts for Risk Management under the Basel Accord
McAleer, Michael; Jiménez‐Martín, Juan‐Ángel; … - In: Journal of forecasting 32 (2013) 3, pp. 267-288
Persistent link: https://www.econbiz.de/10010095340
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Forecasting value-at-risk with a parsimonious portfolio spillover GARCH (PS-GARCH) model
Mcaleer, Michael; da Veiga, Bernardo - In: Journal of forecasting 27 (2008) 1, pp. 1-20
Persistent link: https://www.econbiz.de/10007904333
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Scalar BEKK and indirect DCC
Caporin, Massimiliano; Mcaleer, Michael - In: Journal of forecasting 27 (2008) 6, pp. 537
Persistent link: https://www.econbiz.de/10008098623
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Single-index and portfolio models for forecasting value-at-risk thresholds
Mcaleer, Michael; da Veiga, Bernardo - In: Journal of forecasting 27 (2008) 3, pp. 217-236
Persistent link: https://www.econbiz.de/10007993284
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International evidence on GFC-robust forecasts for risk management under the Basel Accord
McAleer, Michael; Jiménez-Martín, Juan-Ángel; Pérez … - In: Journal of forecasting 32 (2013) 3, pp. 267-288
Persistent link: https://www.econbiz.de/10009758640
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A decision rule to minimize daily capital charges in forecasting value-at-risk
McAleer, Michael; Jimenez-Martin, Juan-Angel; Pérez … - In: Journal of forecasting 29 (2010) 7, pp. 617-634
Persistent link: https://www.econbiz.de/10008935446
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Scalar BEKK and indirect DCC
Caporin, Massimiliano; McAleer, Michael - In: Journal of forecasting 27 (2008) 6, pp. 537-549
Persistent link: https://www.econbiz.de/10003761681
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Forecasting value-at-risk with a parsimonious Portfolio Spillover GARCH (PS-GARCH) model
McAleer, Michael; Da Veiga, Bernardo - In: Journal of forecasting 27 (2008) 1, pp. 1-19
Persistent link: https://www.econbiz.de/10003738381