Narrow search
Showing 1 - 10 of 20
Cover Image
Tail index and quantile estimation with very high frequency data
Vries, Casper G. de - 1996
Persistent link: https://www.econbiz.de/10013408100
Cover Image
Multivariate stochastic volatility models : estimation and a comparison with VGARCH models
Daníelsson, Jón - In: Journal of empirical finance 5 (1998) 2, pp. 155-173
Persistent link: https://www.econbiz.de/10001374884
Cover Image
Estimation of the stochastic volatility models by simulated maximum likelihood : C++ code
Daníelsson, Jón (contributor) - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 1 (1996) 1, pp. 39-34
Persistent link: https://www.econbiz.de/10001769603
Cover Image
Multivariate stochastic volatility : simulated likelihood estimation
Daníelsson, Jón - 1994
Persistent link: https://www.econbiz.de/10000902080
Cover Image
Stochastic volatility in asset prices : estimation with simulated maximum likelihood
Daníelsson, Jón - In: Journal of econometrics 64 (1994) 1, pp. 375-400
Persistent link: https://www.econbiz.de/10001166420
Cover Image
Multivariate stochastic volatility
Daníelsson, Jón - 1995
Persistent link: https://www.econbiz.de/10000913125
Cover Image
Value-at-risk and extreme returns
Daníelsson, Jón; Vries, Casper G. de - 1997
Persistent link: https://www.econbiz.de/10000975058
Cover Image
Value-at-risk and extreme returns
Daníelsson, Jón; Vries, Casper G. de - 1998
Persistent link: https://www.econbiz.de/10000980737
Cover Image
The cost of conservatism : extreme returns, value-at-risk, and the Basle "multiplication factor"
Daníelsson, Jón; Hartmann, Philipp; Vries, Casper G. de - 1998
Persistent link: https://www.econbiz.de/10000981119
Cover Image
Using a bootstrap method to choose the sample fraction in tail index estimation
Daníelsson, Jón (contributor) - 1997
Persistent link: https://www.econbiz.de/10000953451