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Duration, volume and volatility impact of trades

Manganelli, Simone - In: Journal of financial markets 8 (2005) 4, pp. 377-399

Persistent link: https://www.econbiz.de/10003177613

Forecasting with judgment

Manganelli, Simone - In: Journal of business & economic statistics : JBES ; a … 27 (2009) 4, pp. 553-563

Persistent link: https://www.econbiz.de/10003913446

Asset allocation with judgment

Manganelli, Simone - 2016

Persistent link: https://www.econbiz.de/10011618839

Value at risk models in finance

Manganelli, Simone; Engle, Robert F. - 2001

Persistent link: https://www.econbiz.de/10001626397

CAViaR : conditional value at risk by quantile regression

Engle, Robert F.; Manganelli, Simone - 1999

Persistent link: https://www.econbiz.de/10001415135

CAViaR : conditional autoregressive value at risk by regression quantiles

Engle, Robert F.; Manganelli, Simone - 1999

Persistent link: https://www.econbiz.de/10001441337

The central bank as a risk manager : quantifying and forecasting inflation risks

Kilian, Lutz (contributor); Manganelli, Simone (contributor) - 2003

Persistent link: https://www.econbiz.de/10001762889

Sensitivity analysis of volatility : a new tool for risk management

Manganelli, Simone (contributor); … - 2002

Persistent link: https://www.econbiz.de/10001735709

A comparison of value-at-risk models in finance

Manganelli, Simone; Engle, Robert F. - In: Risk measures for the 21st century, (pp. 123-144). 2004

Persistent link: https://www.econbiz.de/10002081530

Measuring comovements by regression quantiles

Cappiello, Lorenzo (contributor); Gérard, Bruno (contributor) - 2005

This paper develops a rigorous econometric framework to investigate the structure of codependence between random variables and to test whether it changes over time. Our approach is based on the computation - over both a test and a benchmark period - of the conditional probability that a random...

Persistent link: https://www.econbiz.de/10003023449