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Risk measures and dependence modeling
Embrechts, Paul; Hofert, Marius - In: Handbook of Insurance : Volume II, (pp. 95-126). 2025
Persistent link: https://www.econbiz.de/10015394058
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On asymptotically efficient estimation of conditional heteroskedasticity models
Wirjanto, Tony S. - 1992 - Rev. version
Persistent link: https://www.econbiz.de/10000898935
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An empirical characteristic function approach to VaR under a mixture-of-normal distribution with time-varying volatility
Xu, Dinghai; Wirjanto, Tony S. - In: The journal of derivatives : the official publication … 18 (2010) 1, pp. 39-58
Persistent link: https://www.econbiz.de/10008655519
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An empirical characteristic function approach to VaR under a mixture of normal distribution with time-varying volatility
Xu, Dinghai; Wirjanto, Tony S. - 2008
Persistent link: https://www.econbiz.de/10003975377
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The applications of mixtures of normal distributions in empirical finance : a selected survey
Wirjanto, Tony S.; Xu, Dinghai - 2009
Persistent link: https://www.econbiz.de/10003975425
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Modelling asset returns in the presence of price limits with Markov-switching mixture of truncated normal GARCH distribution : evidence from China
Wang, Donghua; Ding, Jin; Chu, Guoqing; Xu, Dinghai; … - In: Applied economics 53 (2021) 7, pp. 781-804
Persistent link: https://www.econbiz.de/10012416088
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Forecasting value at risk with intra-day return curves
Rice, Gregory; Wirjanto, Tony S.; Zhao, Yuqian - In: International journal of forecasting 36 (2020) 3, pp. 1023-1038
Persistent link: https://www.econbiz.de/10012497181
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Exploring volatility of crude oil intraday return curves : a functional GARCH-X model
Rice, Gregory; Wirjanto, Tony S.; Zhao, Yuqian - In: Journal of commodity markets 32 (2023), pp. 1-20
Persistent link: https://www.econbiz.de/10014495589