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Direct versus iterated multiperiod Value-at-Risk forecasts
Ruiz, Esther; Nieto, María Rosa - In: Journal of economic surveys 37 (2023) 3, pp. 915-949
Persistent link: https://www.econbiz.de/10014337985
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Frontiers in VaR forecasting and backtesting
Nieto, Maria Rosa; Ruiz, Esther - In: International journal of forecasting 32 (2016) 2, pp. 474-501
Persistent link: https://www.econbiz.de/10011597163
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Estimating non-stationary common factors : implications for risk sharing
Corona, Francisco; Poncela, Pilar; Ruiz, Esther - In: Computational economics 55 (2020) 1, pp. 37-60
Persistent link: https://www.econbiz.de/10012222591
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Dynamic asset pricing and statistical properties of risk
González-Rivera, Gloria - In: Journal of economics & business 50 (1998) 5, pp. 461-470
Persistent link: https://www.econbiz.de/10001252971
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Predicting rare events evaluating systemic and idiosyncratic risk
González-Rivera, Gloria (contributor) - In: International journal of forecasting 30 (2014) 3, pp. 688-690
Persistent link: https://www.econbiz.de/10010515595
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A multilevel factor approach for the analysis of CDS commonality and risk contribution
Rodríguez-Caballero, Carlos Vladimir; Caporin, Massimiliano - 2018
Persistent link: https://www.econbiz.de/10011946466
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A multilevel factor approach for the analysis of CDS commonality and risk contribution
Rodríguez-Caballero, Carlos Vladimir; Caporin, Massimiliano - In: Journal of international financial markets, … 63 (2019), pp. 1-18
Persistent link: https://www.econbiz.de/10012263344