Similar Search Results - EconBiz

Robust forecasting of dynamic conditional correlation GARCH models

Boudt, Kris; Daníelsson, Jón; Laurent, Sébastien - 2010

Persistent link: https://www.econbiz.de/10009126801

Robust forecasting of dynamic conditional correlation GARCH models

Boudt, Kris; Daníelsson, Jón; Laurent, Sébastien - In: International journal of forecasting 29 (2013) 2, pp. 244-257

Persistent link: https://www.econbiz.de/10009743433

Regime Switches in the Volatility and Correlation of Financial Institutions

Boudt, Kris - 2012

We propose a parsimonious regime switching model to characterize the dynamics in the volatilities and correlations of US deposit banks' stock returns over 1994-2011. A first innovative feature of the model is that the within-regime dynamics in the volatilities and correlation depend on the shape...

Persistent link: https://www.econbiz.de/10013099440

Regime switches in the volatility and correlation of financial institutions

Boudt, Kris; Daníelsson, Jón; Koopman, Siem Jan; … - 2012

Persistent link: https://www.econbiz.de/10009665042

Regime switches in the volatility and correlation of financial institutions

Boudt, Kris; Daníelsson, Jón; Koopman, Siem Jan; … - 2012

We propose a parsimonious regime switching model to characterize the dynamics in the volatilities and correlations of US deposit banks' stock returns over 1994-2011. A first innovative feature of the model is that the within-regime dynamics in the volatilities and correlation depend on the shape...

Persistent link: https://www.econbiz.de/10011592541

Tail index and quantile estimation with very high frequency data

Vries, Casper G. de - 1996

Persistent link: https://www.econbiz.de/10013408100

Multivariate stochastic volatility models : estimation and a comparison with VGARCH models

Daníelsson, Jón - In: Journal of empirical finance 5 (1998) 2, pp. 155-173

Persistent link: https://www.econbiz.de/10001374884

Estimation of the stochastic volatility models by simulated maximum likelihood : C++ code

Daníelsson, Jón (contributor) - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 1 (1996) 1, pp. 39-34

Persistent link: https://www.econbiz.de/10001769603

The emperor has no clothes: limits to risk modelling

Daníelsson, Jón - In: Journal of banking & finance 26 (2002) 7, pp. 1273-1296

Persistent link: https://www.econbiz.de/10001688470

On the efficacy of financial regulations

Daníelsson, Jón - In: Financial stability review : FSR 13 (2009), pp. 53-63

Persistent link: https://www.econbiz.de/10003889444

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