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Forecasting value-at-risk with time-varying variance, skewness and kurtosis in an exponential weighted moving average framework
Gabrielsen, Alexandros; Kirchner, Axel; Liu, Zhuoshi; … - In: Annals of financial economics 10 (2015) 1, pp. 1-29
Persistent link: https://www.econbiz.de/10011382540
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The informational content of market-based measures of inflation expectations derived from government bonds and inflation swaps in the United Kingdom
Liu, Zhuoshi; Vangelista, Elisabetta; Kaminska, Iryna; … - 2015
Persistent link: https://www.econbiz.de/10011402735
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What do the prices of UK inflation-linked securities say on inflation expectations, risk premia and liquidity risks?
Kaminska, Iryna; Liu, Zhuoshi; Relleen, Jon; … - In: Journal of banking & finance 88 (2018), pp. 76-96
Persistent link: https://www.econbiz.de/10011962585
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A forecast evaluation of expected equity return measures
Chin, Michael; Polk, Christopher - 2015
Persistent link: https://www.econbiz.de/10010497568
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Financial market volatility, macroeconomic fundamentals and investor sentiment
Chiu, Ching Wai Jeremy; Harris, Richard D. F.; Stoja, … - 2016
Persistent link: https://www.econbiz.de/10011557381
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Financial market volatility, macroeconomic fundamentals and investor sentiment
Chiu, Ching Wai Jeremy; Harris, Richard D. F.; Stoja, … - In: Journal of banking & finance 92 (2018), pp. 130-145
Persistent link: https://www.econbiz.de/10011964550
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Understanding international long-term interest rate comovement
Chin, Michael; De Graeve, Ferre; Filippeli, Thomai; … - In: Essays in honour of Fabio Canova, (pp. 147-189). 2022
Persistent link: https://www.econbiz.de/10013443916