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Journal of forecasting
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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
Saved in:
2
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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3
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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4
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
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5
Single-index and portfolio models for forecasting value-at-risk thresholds
McAleer, Michael
;
Da Veiga, Bernardo
- In:
Journal of forecasting
27
(
2008
)
3
,
pp. 217-235
Persistent link: https://www.econbiz.de/10003738590
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6
Lead-lag relationship between spot index and futures price of the Nikkei Stock Average
Tse, Yiu Kuen
- In:
Journal of forecasting
14
(
1995
)
7
,
pp. 553-563
Persistent link: https://www.econbiz.de/10001192928
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7
Forecasting the Nikkei Spot Index with fractional cointegartion
Lien, Da-hsiang Donald
;
Tse, Yiu Kuen
- In:
Journal of forecasting
18
(
1999
)
4
,
pp. 259-273
Persistent link: https://www.econbiz.de/10001434450
Saved in:
8
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
Saved in:
9
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
Saved in:
10
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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