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Modeling and forecasting dynamic conditional correlations with opening, high, low, and closing prices
Fiszeder, Piotr; Fałdziński, Marcin; Molnár, Peter - In: Journal of empirical finance 70 (2023), pp. 308-321
Persistent link: https://www.econbiz.de/10014423712
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Testing for systemic risk using stock returns
Kupiec, Paul H.; Güntay, Levent - In: Journal of financial services research : JFSR 49 (2016) 2/3, pp. 203-227
Persistent link: https://www.econbiz.de/10011592075
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Volatility prediction using a realized-measure-based component model
Noureldin, Diaa - In: Journal of financial econometrics 20 (2022) 1, pp. 76-104
Persistent link: https://www.econbiz.de/10012878187
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Measuring risk in fixed income portfolios using yield curve models
Caldeira, João F.; Moura, Guilherme Valle; Santos, … - In: Computational economics 46 (2015) 1, pp. 65-82
Persistent link: https://www.econbiz.de/10011441011
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Regime switching dynamic correlations for asymmetric and fat-tailed conditional returns
Paolella, Marc S.; Polak, Pawel; Walker, Patrick S. - In: Journal of econometrics 213 (2019) 2, pp. 493-515
Persistent link: https://www.econbiz.de/10012304579
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Evaluation of multivariate GARCH models in an optimal asset allocation framework
Nor Syahilla Abdul Aziz; Vrontos, Spyridon; Hasim, … - In: The North American journal of economics and finance : a … 47 (2019), pp. 568-596
Persistent link: https://www.econbiz.de/10012120131
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Financial crisis, Value-at-Risk forecasts and the puzzle of dependency modeling
Berger, Theo; Missong, Martin - In: International review of financial analysis 33 (2014), pp. 33-38
Persistent link: https://www.econbiz.de/10010520086
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Analysis of stock markets risk spillover with copula models under the background of Chinese financial opening
Du, Jiangze; Chen, Xizhuo; Gong, Jincheng; Lin, Xiao; … - In: International journal of finance & economics : IJFE 28 (2023) 4, pp. 3997-4019
Persistent link: https://www.econbiz.de/10014429264
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Multi-dimensional portfolio risk and its diversification : a note
Kim, Woohwan; Kim, Youngmin; Kim, Tae-hwan; Bang, Seungbeom - In: Global finance journal 35 (2018), pp. 147-156
Persistent link: https://www.econbiz.de/10012124807
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Factor state-space models for high-dimensional realized covariance matrices of asset returns
Gribisch, Bastian; Hartkopf, Jan Patrick; Liesenfeld, Roman - In: Journal of empirical finance 55 (2020), pp. 1-20
Persistent link: https://www.econbiz.de/10012175249