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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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Tests of cointegrating rank with a trend-break
Inoue, Atsushi - In: Journal of econometrics 90 (1999) 2, pp. 215-237
Persistent link: https://www.econbiz.de/10001382112
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Testing for distributional change in time series
Inoue, Atsushi - In: Econometric theory 17 (2001) 1, pp. 156-187
Persistent link: https://www.econbiz.de/10001556090
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The geometric-VaR backtesting method
Pelletier, Denis; Wei, Wei - In: Journal of financial econometrics : official journal of … 14 (2016) 4, pp. 725-745
Persistent link: https://www.econbiz.de/10011623861
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Short run and long run causality in time series : inference
Dufour, Jean-Marie (contributor);  … - 2003 - [Elektronische Ressource]
Persistent link: https://www.econbiz.de/10001948010
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Evaluating value-at-risk models with desk-level data
Christoffersen, Peter F.; Berkowitz, Jeremy; Pelletier, … - 2009
Persistent link: https://www.econbiz.de/10003865687
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Short run and long run causality in time series : inference
Dufour, Jean-Marie; Pelletier, Denis; Renault, Eric - In: Journal of econometrics 132 (2006) 2, pp. 337-362
Persistent link: https://www.econbiz.de/10003348758
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The reaction of exchange rates to economic news
Hakkio, Craig S.; Pearce, Douglas Kenneth - 1985
Persistent link: https://www.econbiz.de/10000700626
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Exchange rates and discount rate changes
Hakkio, Craig S.; Pearce, Douglas Kenneth - 1986
Persistent link: https://www.econbiz.de/10000723634
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The reaction of exchange rates to economic news
Hakkio, Craig S. - In: Economic inquiry : journal of the Western Economic … 23 (1985) 4, pp. 621-636
Persistent link: https://www.econbiz.de/10001012628