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Evaluating Value-at-Risk Model...
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Backtesting value-at-risk : a duration-based approach
Christoffersen, Peter F.
;
Pelletier, Denis
- In:
Journal of financial econometrics : official journal of …
2
(
2004
)
1
,
pp. 84-108
Persistent link: https://www.econbiz.de/10002214210
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2
Generalized spectral estimation
Berkowitz, Jeremy
-
1996
Persistent link: https://www.econbiz.de/10000948550
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3
Generalized spectral estimation of the consumption-based asset pricing model
Berkowitz, Jeremy
- In:
Journal of econometrics
104
(
2001
)
2
,
pp. 269-288
Persistent link: https://www.econbiz.de/10001606582
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Nonnested testing in models estimated via generalized method of moments
Hall, Alastair R.
;
Pelletier, Denis
- In:
Econometric theory
27
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2011
)
2
,
pp. 443-456
Persistent link: https://www.econbiz.de/10009310703
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5
Local-linear estimation of time-varying-parameter garch models and associated risk measures
Inoue, Atsushi
;
Lu, Jin
;
Pelletier, Denis
- In:
Journal of financial econometrics
19
(
2021
)
1
,
pp. 202-234
Persistent link: https://www.econbiz.de/10012504329
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6
Practical methods for modeling weak VARMA processes : identification, estimation and specification with a macroeconomic application
Dufour, Jean-Marie
;
Pelletier, Denis
- In:
Journal of business & economic statistics : JBES ; a …
40
(
2022
)
3
,
pp. 1140-1152
Persistent link: https://www.econbiz.de/10013539468
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A stochastic price duration model for estimating high-frequency volatility
Pelletier, Denis
;
Wei, Wei
-
2024
Persistent link: https://www.econbiz.de/10015338802
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8
Dynamic equilibrium economies : a framework for comparing models and data
Diebold, Francis X.
;
Ohanian, Lee E.
;
Berkowitz, Jeremy
-
1995
Persistent link: https://www.econbiz.de/10000920966
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9
Dynamic equilibrium economies : a framework for comparing models and data
Diebold, Francis X.
;
Ohanian, Lee E.
;
Berkowitz, Jeremy
-
1997
Persistent link: https://www.econbiz.de/10000971924
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10
Dynamic equilibrium economies : a framework for comparing models and data
Diebold, Francis X.
;
Ohanian, Lee E.
;
Berkowitz, Jeremy
-
1998
Persistent link: https://www.econbiz.de/10000981020
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