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Volatility spillover effect between Pakistan and Shanghai Stock Exchanges using copula and dynamic conditional correlation model
Afzal, Fahim; Choudhury, Tonmoy; Kamran, Muhammad - In: International journal of Islamic and Middle Eastern … 16 (2023) 1, pp. 59-80
Persistent link: https://www.econbiz.de/10014339621
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Bayesian realized-GARCH models for financial tail risk forecasting incorporating the two-sided Weibull distribution
Wang, Chao; Chen, Qian; Gerlach, Richard - In: Quantitative finance 19 (2019) 6, pp. 1017-1042
Persistent link: https://www.econbiz.de/10012194739
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Semi-parametric dynamic asymmetric Laplace models for tail risk forecasting, incorporating realized measures
Gerlach, Richard; Wang, Chao - In: International journal of forecasting 36 (2020) 2, pp. 489-506
Persistent link: https://www.econbiz.de/10012415185
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Some New Bivariate IG and NIG-Distributions for Modelling Covariate Financial Returns
Lillestol, Jostein - 2007
two approaches for constructing bivariate NIG distribution that take advantage of the correlation between the univariate …
Persistent link: https://www.econbiz.de/10014026284
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Testing financial contagion on heteroskedastic asset returns in time-varying conditional correlation
Choe, Kwang-il; Choi, Pilsun; Nam, Kiseok; Vahid, Farshid - In: Pacific-Basin finance journal 20 (2012) 2, pp. 271-291
Persistent link: https://www.econbiz.de/10009488255
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Correlation shrinkage : implications for risk forecasting
Menchero, Jose; Li, Peng - In: Journal of investment management : JOIM 18 (2020) 3, pp. 92-108
Persistent link: https://www.econbiz.de/10012589102
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Essays on financial econometrics
Marcucci, Juri - 2005
Persistent link: https://www.econbiz.de/10003384566
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Forecasting covariance matrices : a mixed approach
Halbleib, Roxana; Voev, Valeri - In: Journal of financial econometrics : official journal of … 14 (2016) 2, pp. 383-417
Persistent link: https://www.econbiz.de/10011589016
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Dynamics of equity factor returns and asset pricing
Stoyanov, Stoyan V.; Fabozzi, Francesco A. - In: Journal of financial econometrics 19 (2021) 1, pp. 178-201
Persistent link: https://www.econbiz.de/10012504326
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Systematic tail risk
Harris, Richard D. F.; Nguyen, Linh; Stoja, Evarist - 2016
Persistent link: https://www.econbiz.de/10011581609