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1
Tail-dependence in stock-return pairs
Fortin, Ines
;
Kuzmics, Christoph
-
2002
Persistent link: https://www.econbiz.de/10001736255
Saved in:
2
Multivariate normal mixture GARCH
Haas, Markus
(
contributor
);
Mittnik, Stefan
(
contributor
); …
-
2006
Persistent link: https://www.econbiz.de/10003351679
Saved in:
3
Asymmetric and leptokurtic distribution for heteroscedastic asset returns : the S[U]-normal distribution
Choi, Pilsun
;
Nam, Kiseok
- In:
Journal of empirical finance
15
(
2008
)
1
,
pp. 41-63
Persistent link: https://www.econbiz.de/10003692974
Saved in:
4
Dynamic tail risk forecasting : what do realized skewness and kurtosis add?
Gallo, Giampiero M.
;
Okhrin, Ostap
;
Storti, Giuseppe
-
2024
-
Prima edizione
Persistent link: https://www.econbiz.de/10015099208
Saved in:
5
Has the interaction between skewness and kurtosis of asset returns information content for risk forecasting?
Jiménez, Inés
;
Mora-Valencia, Andrés
;
Perote, Javier
- In:
Finance research letters
49
(
2022
),
pp. 1-6
Persistent link: https://www.econbiz.de/10013478838
Saved in:
6
Modeling extreme events : time-varying extreme tail shape
D'Innocenzo, Enzo
;
Lucas, André
;
Schwaab, Bernd
;
Zhang, Xin
- In:
Journal of business & economic statistics : JBES ; a …
42
(
2024
)
3
,
pp. 903-917
Persistent link: https://www.econbiz.de/10015053506
Saved in:
7
Improving quantile forecasts via realized double hysteretic GARCH model in stock markets
Chen, Cathy W. S.
;
Chien, Cindy T. H.
- In:
Computational economics
64
(
2024
)
6
,
pp. 3447-3471
Persistent link: https://www.econbiz.de/10015144246
Saved in:
8
Forecasting tail risk of skewed financial returns having exponential-polynomial tails
Antwi, Albert
;
Gyamfi, Emmanuel Numapau
;
Adam, Anokye M.
- In:
Journal of forecasting
43
(
2024
)
7
,
pp. 2731-2748
Persistent link: https://www.econbiz.de/10015110551
Saved in:
9
A RGARCH-CARR-SK model : a new high-frequency volatility forecasting and risk measurement model based on dynamic higher moments and generalized realized measures
Liu, Junjie
;
Zhou, Qingnan
;
Chen, Zhenlong
- In:
The North American journal of economics and finance : a …
77
(
2025
),
pp. 1-16
Persistent link: https://www.econbiz.de/10015374491
Saved in:
10
Forecasting extreme financial risk : a score-driven approach
Fuentes, Fernanda
;
Herrera, Rodrigo
;
Clements, Adam
- In:
International journal of forecasting
39
(
2023
)
2
,
pp. 720-735
Persistent link: https://www.econbiz.de/10014465107
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