Similar Search Results

Yield spread selection in predicting recession probabilities

Choi, Jaehyuk; Ge, Desheng; Kang, Kyu Ho; Sohn, Sungbin - In: Journal of forecasting 42 (2023) 7, pp. 1772-1785

Persistent link: https://www.econbiz.de/10014432757

VIX dynamics with stochastic volatility of volatility

Kaeck, Andreas; Alexander, Carol - 2010

Persistent link: https://www.econbiz.de/10009375857

Endogenizing model risk to quantile estimates

Alexander, Carol; Sarabia, José María - 2010

Persistent link: https://www.econbiz.de/10009375863

A general approach to real option valuation with applications to real estate investments

Alexander, Carol; Chen, Xi - 2012

Persistent link: https://www.econbiz.de/10009722151

Forecasting VaR using analytic higher moments for GARCH processes

Alexander, Carol; Lazar, Emese; Stanescu, Silvia - In: International review of financial analysis 30 (2013), pp. 36-45

Persistent link: https://www.econbiz.de/10010460001

Assessing the accuracy of exponentially weighted moving average models for value-at-risk and expected shortfall of crypto portfolios

Alexander, Carol; Dakos, Michael - In: Quantitative finance 23 (2023) 3, pp. 393-427

Persistent link: https://www.econbiz.de/10014232660

A parsimonious parametric model for generating margin requirements for futures

Alexander, Carol; Kaeck, Andreas; Sumawong, Anannit - In: European journal of operational research : EJOR 273 (2019) 1, pp. 31-43

Persistent link: https://www.econbiz.de/10011979406

Assessing the Accuracy of Exponentially Weighted Moving Average Models for Value-at-Risk and Expected Shortfall of Crypto Portfolios

Alexander, Carol; Dakos, Michael - 2022

A plethora of academic papers on generalized autoregressive conditional heteroscedasticity (GARCH) models for bitcoin and other cryptocurrencies have been published in academic journals. Yet few, if indeed any, of these are employed by practitioners. Previous academic studies produce results...

Persistent link: https://www.econbiz.de/10013292091

Could the extended trading of CSI 300 Index futures facilitate its role of price discovery?

Sohn, Sungbin; Zhang, Xiaofeng - In: The journal of futures markets 37 (2017) 7, pp. 717-740

Persistent link: https://www.econbiz.de/10011950872

Stock market uncertainty and economic fundamentals : an entropy-based approach

Ahn, Kwangwon; Lee, Daeyong; Sohn, Sungbin; Yang, B. - In: Quantitative finance 19 (2019) 7, pp. 1151-1163

Persistent link: https://www.econbiz.de/10012194751