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Hassani, Samir Saissi; Dionne, Georges - 2021

Persistent link: https://www.econbiz.de/10012423037

The new international regulation of market risk: roles of VaR and CVaR in model validation

Hassani, Samir Saissi; Dionne, Georges - 2021

Persistent link: https://www.econbiz.de/10012545817

Threshold models in time series analysis : some reflections

Tong, Howell - In: Journal of econometrics 189 (2015) 2, pp. 485-491

Persistent link: https://www.econbiz.de/10011504634

Modeling temporal treatment effects with zero inflated semi-parametric regression models : the case of local development policies in France

Cardot, Hervé; Musolesi, Antonio - In: Econometric reviews 39 (2020) 2, pp. 135-157

Persistent link: https://www.econbiz.de/10012181518

Zero-inflated regression for unobserved effects panel data models and difference-in-differences estimation

Cardot, Hervé; Musolesi, Antonio - 2021

Persistent link: https://www.econbiz.de/10013170795

Mean reversion in US and international short rates

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Persistent link: https://www.econbiz.de/10009267822

Bayesian semi-parametric realized conditional autoregressive expectile models for tail risk forecasting

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Persistent link: https://www.econbiz.de/10012878188

Density and Risk Prediction with Non-Gaussian COMFORT Models

Paolella, Marc S.; Polak, Pawel - 2022

The CCC-GARCH model, and its dynamic correlation extensions, form the most important model class for multivariate asset returns. For multivariate density and portfolio risk forecasting, a drawback of these models is the underlying assumption of Gaussianity. This paper considers the so-called...

Persistent link: https://www.econbiz.de/10014236254

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Skewness and leptokurtosis in GARCH-typed VaR estimation of petroleum and metal asset returns

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