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Kernel conditional quantile estimation for stationary processes with application to conditional value-at-risk
Wu, Wei Biao; Yu, Keming; Mitra, Gautam - In: Journal of financial econometrics : official journal of … 6 (2008) 2, pp. 253-270
Persistent link: https://www.econbiz.de/10003687936
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A regime-switching regression model for hedge funds
Erlwein, Christina; Müller, Marlene - 2011
Persistent link: https://www.econbiz.de/10009688313
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An adaptive regime-switching regression model for hedge funds
Erlwein, Christina; Müller, Marlene - In: IMA journal of management mathematics 25 (2014) 2, pp. 203-231
Persistent link: https://www.econbiz.de/10010347400
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HMM filtering and parameter estimation of an electricity spot price model
Erlwein, Christina; Benth, Fred Espen; Mamon, Rogemar - In: Energy economics 32 (2010) 5, pp. 1034-1043
Persistent link: https://www.econbiz.de/10008934330
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Macroeconomic variables and stock price
Tripathy, Tapas Kumar; Gautam, Mitra - In: Research bulletin / The Institute of Cost Accountants … 41 (2015) 2, pp. 19-28
Persistent link: https://www.econbiz.de/10011487926