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GEL estimation for heavy-tailed GARCH models with robust empirical likelihood inference
Hill, Jonathan B.; Prokhorov, Artem - In: Journal of econometrics 190 (2016) 1, pp. 18-45
Persistent link: https://www.econbiz.de/10011591613
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Forecasting tail risk measures for financial time series : an extreme value approach with covariates
James, Robert; Leung, Henry; Leung, Jessica Wai Yin; … - In: Journal of empirical finance 71 (2023), pp. 29-50
Persistent link: https://www.econbiz.de/10014292519
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A new approach to credit ratings
Pertaia, Giorgi; Prokhorov, Artem; Uryasev, Stan - In: Journal of banking & finance 140 (2022), pp. 1-12
Persistent link: https://www.econbiz.de/10013463125