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Evaluating Value-at-Risk Model...
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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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2
Short run and long run causality in time series : inference
Dufour, Jean-Marie
(
contributor
); …
-
2003
-
[Elektronische Ressource]
Persistent link: https://www.econbiz.de/10001948010
Saved in:
3
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
Saved in:
4
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
Saved in:
5
Practical methods for modeling weak VARMA processes : identification, estimation and specification with a macroeconomic application
Dufour, Jean-Marie
;
Pelletier, Denis
- In:
Journal of business & economic statistics : JBES ; a …
40
(
2022
)
3
,
pp. 1140-1152
Persistent link: https://www.econbiz.de/10013539468
Saved in:
6
A stochastic price duration model for estimating high-frequency volatility
Pelletier, Denis
;
Wei, Wei
-
2024
Persistent link: https://www.econbiz.de/10015338802
Saved in:
7
Recent developments in bootstrapping time series
Berkowitz, Jeremy
;
Kilian, Lutz
- In:
Econometric reviews
19
(
2000
)
1
,
pp. 1-48
Persistent link: https://www.econbiz.de/10001455651
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8
Comment on "Recent developments in bootstrapping time series"
Davidson, Russell
- In:
Econometric reviews
19
(
2000
)
1
,
pp. 49-54
Persistent link: https://www.econbiz.de/10001455658
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9
Recent developments in bootstrapping time series
Berkowitz, Jeremy
-
1996
Persistent link: https://www.econbiz.de/10000952874
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10
On the finite-sample accuracy of nonparametric resampling algorithms for economic time series
Berkowitz, Jeremy
;
Birgean, Ionel
;
Kilian, Lutz
-
1999
Persistent link: https://www.econbiz.de/10001366231
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