Similar Search Results

Value at risk forecasting for volatility index

Park, Seul-Ki; Choi, Ji-Eun; Shin, Dong-wan - In: Applied economics letters 24 (2017) 21, pp. 1613-1620

Persistent link: https://www.econbiz.de/10011853568

The price of inexactness : convergence properties of relaxation methods for mathematical programs with complementarity constraints revisited

Kanzow, Christian; Schwartz, Alexandra - In: Mathematics of operations research 40 (2015) 2, pp. 253-275

Persistent link: https://www.econbiz.de/10011282714

Semiparametric tests for the order of integration in the possible presence of level breaks

Iacone, Fabrizio; Nielsen, Morten Ørregaard; Taylor, Robert - In: Journal of business & economic statistics : JBES ; a … 40 (2022) 2, pp. 880-896

Persistent link: https://www.econbiz.de/10013534577

Direct versus iterated multiperiod Value-at-Risk forecasts

Ruiz, Esther; Nieto, María Rosa - In: Journal of economic surveys 37 (2023) 3, pp. 915-949

Persistent link: https://www.econbiz.de/10014337985

Inflation and stock returns, [part] II

Azar, Samih Antoine - In: International journal of economics and finance 6 (2014) 1, pp. 208-216

Persistent link: https://www.econbiz.de/10010237306

On the origins of conditional heteroscedasticity in time series

Ashley, Richard A. - In: The Korean economic review 28 (2012) 1, pp. 5-25

Persistent link: https://www.econbiz.de/10010192152

A dynamic econometric model for inflationary inertia in Brazil

Laurini, Márcio Poletti - In: Journal of statistical and econometric methods 2 (2013) 2, pp. 51-83

In this article we model the inflationary inertia in Brazil, as measured by the monthly series of IPCA (Aggregate Consumer Prices Index), for the period of inflationary transition from August of 1994 until January of 2003. The concept of inflationary inertia is defined as the value of the first...

Persistent link: https://www.econbiz.de/10009769896

Principal volatility component analysis

Hu, Yu-Pin; Tsay, Ruey S. - In: Journal of business & economic statistics : JBES ; a … 32 (2014) 2, pp. 153-177

Persistent link: https://www.econbiz.de/10010410764

Investigating the nature of nonlinearity in Indian Exchange Traded Funds (ETFs)

Madhavan, Vinodh - In: Managerial finance 40 (2014) 4, pp. 395-415

Persistent link: https://www.econbiz.de/10010344093

Weighted composite quantile regression estimation of DTARCH models

Jiang, Jiancheng; Jiang, Xuejun; Song, Xinyuan - In: The econometrics journal 17 (2014) 1, pp. 1-23

Persistent link: https://www.econbiz.de/10010498763