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Time varying adaptive copulae and dynamic semiparametric factor models with applications in finance
Giacomini, Enzo - 2009
Persistent link: https://www.econbiz.de/10003931427
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Determining the number of regimes in Markov-switching VAR and VMA models
Cavicchioli, Maddalena - 2013
Persistent link: https://www.econbiz.de/10011629915
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Computational intelligence applications to option pricing, volatility forecasting and value at risk
Mostafa, Fahed; Dillon, Tharam; Chang, Elizabeth - 2017
Persistent link: https://www.econbiz.de/10011638731
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A comparison of methods for forecasting value at risk and expected shortfall of cryptocurrencies
Trucíos, Carlos; Taylor, James W. - In: Journal of forecasting 42 (2023) 4, pp. 989-1007
Persistent link: https://www.econbiz.de/10014292894
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GARCH Models with Long Memory and Nonparametric Specifications
Conrad, Christian - 2006
Persistent link: https://www.econbiz.de/10003402366
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Out-of-sample comparison of copula specifications in multivariate density forecasts
Diks, Cees G. H. (contributor);  … - 2008
Persistent link: https://www.econbiz.de/10003798233
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Semiparametric regression estimation in null recurrent nonlinear time series
Chen, Jia (contributor); Gao, Jiti (contributor);  … - 2009
Persistent link: https://www.econbiz.de/10003813909
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Nonparametric specification testing for nonlinear time series with nonstationarity
Gao, Jiti; King, Maxwell L.; Lu, Zu-di; Tjøstheim, Dag - 2009
Persistent link: https://www.econbiz.de/10003813943
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Out-of-sample comparison of Copula specifications in multivariate density forecasts
Diks, Cees G. H.; Panchenko, Valentyn; Dijk, Dick van - 2008
Persistent link: https://www.econbiz.de/10003787159
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Additive modeling of realized variance : tests for parametric specifications and structural breaks
Fengler, Matthias; Mammen, Enno; Vogt, Michael - 2013
Persistent link: https://www.econbiz.de/10010244914