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Structural volatility impulse response function and asymptotic inference

Liu, Xiaochun - In: Journal of financial econometrics : official journal of … 16 (2018) 2, pp. 316-339

Persistent link: https://www.econbiz.de/10011987769

On tail fatness of macroeconomic dynamics

Liu, Xiaochun - In: Journal of macroeconomics 62 (2019), pp. 1-18

Persistent link: https://www.econbiz.de/10012243478

Quantile-based asymmetric dynamics of real GDP growth

Liu, Xiaochun - In: Macroeconomic dynamics 24 (2020) 8, pp. 1960-1988

Persistent link: https://www.econbiz.de/10012404222

On fiscal and monetary policy-induced macroeconomic volatility dynamics

Liu, Xiaochun - In: Journal of economic dynamics & control 127 (2021), pp. 1-21

Persistent link: https://www.econbiz.de/10012668875

Structural sources of oil market volatility and correlation dynamics

Harrison, Andre; Liu, Xiaochun; Stewart, Shamar L. - In: Energy economics 121 (2023), pp. 1-14

Persistent link: https://www.econbiz.de/10014438691

Modeling time-varying skewness via decomposition for out-of-sample forecast

Liu, Xiaochun - In: International journal of forecasting 31 (2015) 2, pp. 296-311

Persistent link: https://www.econbiz.de/10011474059

Markov-switching quantile autoregression : a Gibbs sampling approach

Liu, Xiaochun; Luger, Richard - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 22 (2018) 2, pp. 1-33

Persistent link: https://www.econbiz.de/10011897360

Forecast Encompassing Tests for the Expected Shortfall

Dimitriadis, Timo - 2019

We introduce new forecast encompassing tests for the risk measure Expected Shortfall (ES). The ES currently receives much attention through its introduction into the Basel III Accords, which stipulate its use as the primary market risk measure for the international banking regulation. We utilize...

Persistent link: https://www.econbiz.de/10012864715

Forecast encompassing tests for the expected shortfall

Dimitriadis, Timo; Schnaitmann, Julie - In: International journal of forecasting 37 (2021) 2, pp. 604-621

Persistent link: https://www.econbiz.de/10012792857

Essays in modern time series econometrics with applications in macroeconomics and finance

Schnaitmann, Julie - 2021

Persistent link: https://www.econbiz.de/10013333042