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Factor high-frequency-based volatility (HEAVY) models

Sheppard, Kevin; Xu, Wen - In: Journal of financial econometrics 17 (2019) 1, pp. 33-65

Persistent link: https://www.econbiz.de/10012054425

Forecasting comparison of long term component dynamic models for realized covariance matrices

Bauwens, Luc; Braione, Manuela; Storti, Giuseppe - In: Annals of economics and statistics 123/124 (2016), pp. 103-134

Persistent link: https://www.econbiz.de/10011592738

Conditional correlation models of autoregressive conditional heteroscedasticity with nonstationary GARCH equations

Amado, Cristina; Teräsvirta, Timo - In: Journal of business & economic statistics : JBES ; a … 32 (2014) 1, pp. 69-87

Persistent link: https://www.econbiz.de/10010380478

Forecasting value-at-risk and expected shortfall in large portfolios : a general dynamic factor approach

Hallin, Marc; Trucios, Carlos - 2020

Persistent link: https://www.econbiz.de/10012437084

Return prediction with time varying betas : a research in BIST

Akyatan, Ayca; Çetin, M. Koray - In: International journal of accounting and finance 10 (2020) 1, pp. 64-86

Persistent link: https://www.econbiz.de/10012504722

Isolating the systematic and unsystematic components of a single stock's (or portfolio's) standard deviation : a comment

Pizzutilo, Fabio - In: Applied economics 47 (2015) 58/60, pp. 6277-6283

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Systematic extreme downside risk

Harris, Richard D. F.; Nguyen, Linh; Stoja, Evarist - In: Journal of international financial markets, … 61 (2019), pp. 128-142

Persistent link: https://www.econbiz.de/10012128287

Financial econometrics and systemic risk

Eratalay, M. Hakan - In: Handbook of research on emerging theories, models, and …, (pp. 65-91). 2021

In this chapter, some of the many prominent and recent papers in the systemic risk literature are reviewed. In all these papers, financial econometrics methods are used whether to extract the connections between institutions or assets by analyzing the related data or to construct a measure of...

Persistent link: https://www.econbiz.de/10012604203

Comparing multivariate volatility forecasts by direct and indirect approaches

Amendola, Alessandra; Candila, Vincenzo - In: Journal of risk 19 (2017) 6, pp. 33-57

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Asymmetric jump beta estimation with implications for portfolio risk management

Alexeev, Vitali; Urga, Giovanni; Yao, Wenying - In: International review of economics & finance : IREF 62 (2019), pp. 20-40

Persistent link: https://www.econbiz.de/10012205461