Similar Search Results - EconBiz

A Semiparametric Approach to Value-at-Risk, Expected Shortfall and Optimum Asset Allocation in Stock-Bond Portfolios Before and After the Global Financial Crisis

Silvapulle, Param - 2012

This paper investigates a stock-bond portfolio s tail risks such as value-at-risk (VaR) and expected shortfall (ES) and the optimum asset allocation, and the way in which these measures have been a¤ected by the recent global financial crisis (GFC). The semiparametric method is used to estimate...

Persistent link: https://www.econbiz.de/10013115773

Unit root tests and structural breaks

Silvapulle, Paramsothy - 1995

Persistent link: https://www.econbiz.de/10000947713

Testing stationary nonnested short memory against long memory processes

Silvapulle, Paramsothy - 1995

Persistent link: https://www.econbiz.de/10000947716

A lagrange multiplier test for seasonal fractional integration

Silvapulle, Paramsothy - 1995

Persistent link: https://www.econbiz.de/10000947717

A score test for seasonal fractional integration and cointegration

Silvapulle, Paramsothy - 1996

Persistent link: https://www.econbiz.de/10000948478

Testing for linear and nonlinear granger causality in the stock price-volume relation : Korean evidence

Silvapulle, Paramsothy; Choi, Jong-seo - In: The quarterly review of economics and finance : journal … 39 (1999) 1, pp. 59-76

Persistent link: https://www.econbiz.de/10001433858

Testing AR(1) against MA(1) disturbances in the dynamic linear regression model

Silvapulle, Paramsothy - 1992

Persistent link: https://www.econbiz.de/10000837423

Unit root testing : AR(1) against IMA(1,1) disturbances in the linear regression model

Silvapulle, Paramsothy - 1992

Persistent link: https://www.econbiz.de/10000837471

Testing for seasonal stability in unemployment series : international evidence

Banik, Shipra - 1997

Persistent link: https://www.econbiz.de/10000976090

The effect of non-normal disturbances and conditional heteroskedasticity on multiple cointegration tests

Silvapulle, Paramsothy - 1995

Persistent link: https://www.econbiz.de/10000947718

A service of the