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Through-the-cycle to point-in-time probabilities of default conversion : inconsistencies in the Vasicek approach
Basson, L. J.; Van Vuuren, Gary - In: International journal of economics and financial issues … 13 (2023) 6, pp. 42-52
Persistent link: https://www.econbiz.de/10014431298
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Attribution of hedge fund returns using a Kalman filter
Thomson, Daniel; Van Vuuren, Gary - In: Applied economics 50 (2018) 9, pp. 1043-1058
Persistent link: https://www.econbiz.de/10011848239
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Identifying the drivers of trade finance in South Africa
Boshoff, S.; Van Vuuren, Gary; Viviers, Wilma - In: Tydskrif vir studies in ekonomie en ekonometrie : SEE 44 (2020) 3, pp. 139-162
Persistent link: https://www.econbiz.de/10012613711
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Estimating Value at Risk and expected shortfall : a Kalman filter approach
Lecq, Max van der; Van Vuuren, Gary - In: International journal of economics and financial issues … 14 (2024) 1, pp. 1-14
Persistent link: https://www.econbiz.de/10014567063
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Duration analysis in South Africa : the search for superior measures
Vuuren, Gary van; Styger, Paul - In: The South African journal of economics 74 (2006) 2, pp. 266-293
Persistent link: https://www.econbiz.de/10003348653