Similar Search Results

VAR for VaR : measuring tail dependence using multivariate regression quantiles

White, Halbert; Kim, Tae-hwan; Manganelli, Simone - 2015

Persistent link: https://www.econbiz.de/10011288642

Regression-based tests for a change in persistence

Leybourne, Stephen James; Kim, Tae-hwan; Taylor, Robert - In: Oxford bulletin of economics and statistics 68 (2006) 5, pp. 595-621

Persistent link: https://www.econbiz.de/10003379177

Forecasting volatility of futures market : the S&P 500 and FTSE 100 futures using high frequency returns and implied volatility

Noh, Jaesun; Kim, Tae-hwan - In: Applied economics 38 (2006) 4, pp. 395-413

Persistent link: https://www.econbiz.de/10003298646

Modeling autoregressive conditional skewness and kurtosis with multi-quantile CAViaR

White, Halbert; Kim, Tae-hwan; Manganelli, Simone - 2008

Engle and Manganelli (2004) propose CAViaR, a class of models suitable for estimating conditional quantiles in dynamic settings. Engle and Manganelli apply their approach to the estimation of Value at Risk, but this is only one of many possible applications. Here we extend CAViaR models to...

Persistent link: https://www.econbiz.de/10003803300

Forecasting changes in UK interest rates

Chevapatrakul, Thanaset (contributor); … - 2007

Persistent link: https://www.econbiz.de/10003579838

On more robust estimation of skewness and kurtosis

Kim, Tae-hwan; White, Halbert - In: Finance research letters 1 (2004) 1, pp. 56-73

Persistent link: https://www.econbiz.de/10003307251

More powerpul panel data unit root tests with an application to mean reversion in real exchange rates

Smith, L. Vanessa; Leybourne, Stephen James; Kim, Tae-hwan - In: Journal of applied econometrics 19 (2004) 2, pp. 147-170

Persistent link: https://www.econbiz.de/10002010349

Forecasting changes in UK interest rates

Kim, Tae-hwan; Mizen, Paul; Chevapatrakul, Thanaset - In: Journal of forecasting 27 (2008) 1, pp. 53-74

Persistent link: https://www.econbiz.de/10003738384

VAR for VaR: measuring tail dependence using multivariate regression quantiles

White, Halbert; Kim, Tae-hwan; Manganelli, Simone - In: Journal of econometrics 187 (2015) 1, pp. 169-188

Persistent link: https://www.econbiz.de/10011498808

Quantile cointegration in the autoregressive distributed-lag modeling framework

Cho, Jin Seo; Kim, Tae-hwan; Shin, Yongcheol - In: Journal of econometrics 188 (2015) 1, pp. 281-300

Persistent link: https://www.econbiz.de/10011500352