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Tail index and quantile estimation with very high frequency data
Vries, Casper G. de - 1996
Persistent link: https://www.econbiz.de/10013408100
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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
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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
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Multivariate stochastic volatility : simulated likelihood estimation
Daníelsson, Jón - 1994
Persistent link: https://www.econbiz.de/10000902080
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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
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Multivariate stochastic volatility
Daníelsson, Jón - 1995
Persistent link: https://www.econbiz.de/10000913125
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Value-at-risk and extreme returns
Daníelsson, Jón; Vries, Casper G. de - 1997
Persistent link: https://www.econbiz.de/10000975058
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Value-at-risk and extreme returns
Daníelsson, Jón; Vries, Casper G. de - 1998
Persistent link: https://www.econbiz.de/10000980737
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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
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Using a bootstrap method to choose the sample fraction in tail index estimation
Daníelsson, Jón (contributor) - 1997
Persistent link: https://www.econbiz.de/10000953451