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Forecasting financial returns under non-elliptical distributions with applications to portfolio allocation and risk management

Polak, Pawel - 2013

Persistent link: https://www.econbiz.de/10011497848

A conditional distribution model for limited stock index returns

Friedmann, Ralph; Sanddorf-Köhle, Walter G. - In: Journal of economic dynamics & control 31 (2007) 3, pp. 721-740

Persistent link: https://www.econbiz.de/10003421384

Estimation of flexible fuzzy GARCH models for conditional density estimation

Almeida, Rui Jorge; Baştűrk, Nalan; Kaymak, Uzay; … - 2013

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Asymptotic theory for Beta-t-GARCH

Ito, Ryoko - 2016

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Volatility of stock market and exchange rate returns in Peru : long memory or short memory with level shifts?

Herrera Aramburú, Andrés; Rodriguez, Gabriel - In: International journal of monetary economics and finance 9 (2016) 1, pp. 45-66

Persistent link: https://www.econbiz.de/10011548319

Extreme value theory : an application to the Peruvian stock market returns

Rodriguez, Gabriel - In: Revista de métodos cuantitativos para la economía y … 23 (2017), pp. 48-74

Using daily observations of the index and stock market returns for the Peruvian case from January 3, 1990 to May 31, 2013, this paper models the distribution of daily loss probability, estimates maximum quantiles and tail probabilities of this distribution, and models the extremes through a...

Persistent link: https://www.econbiz.de/10011689643