Similar Search Results

Multivariate stochastic volatility models : estimation and a comparison with VGARCH models

Daníelsson, Jón - In: Journal of empirical finance 5 (1998) 2, pp. 155-173

Persistent link: https://www.econbiz.de/10001374884

Estimation of the stochastic volatility models by simulated maximum likelihood : C++ code

Daníelsson, Jón (contributor) - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 1 (1996) 1, pp. 39-34

Persistent link: https://www.econbiz.de/10001769603

The emperor has no clothes: limits to risk modelling

Daníelsson, Jón - In: Journal of banking & finance 26 (2002) 7, pp. 1273-1296

Persistent link: https://www.econbiz.de/10001688470

The emperor has no clothes : limits to risk modelling

Daníelsson, Jón - 2000

Persistent link: https://www.econbiz.de/10001535401

Forecasting extreme financial risk : a critical analysis of practical methods for the Japanese market

Daníelsson, Jón; Morimoto, Yuji - 2000

Persistent link: https://www.econbiz.de/10001468860

Multivariate stochastic volatility

Daníelsson, Jón - 1995

Persistent link: https://www.econbiz.de/10000913125

Value-at-risk and extreme returns

Daníelsson, Jón; Vries, Casper G. de - 1997

Persistent link: https://www.econbiz.de/10000975058

Value-at-risk and extreme returns

Daníelsson, Jón; Vries, Casper G. de - 1998

Persistent link: https://www.econbiz.de/10000980737

Value-at-risk and extreme returns

Daníelsson, Jón; Vries, Casper G. de - In: Annales d'économie et de statistique (2000), pp. 239-270

Persistent link: https://www.econbiz.de/10001543557

Regime Switches in the Volatility and Correlation of Financial Institutions

Boudt, Kris - 2012

We propose a parsimonious regime switching model to characterize the dynamics in the volatilities and correlations of US deposit banks' stock returns over 1994-2011. A first innovative feature of the model is that the within-regime dynamics in the volatilities and correlation depend on the shape...

Persistent link: https://www.econbiz.de/10013099440