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New extreme-value dependance measures and finance applications
Poon, Ser-Huang; Rockinger, Michael; Tawn, Jonathan - 2001
Persistent link: https://www.econbiz.de/10001564644
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New extreme-value dependence measures and finance applications
Poon, Ser-Huang; Rockinger, Michael; Tawn, Jonathan - 2001
Persistent link: https://www.econbiz.de/10013423369
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Do input quality and structural productivity estimates drive measured differences in firm productivity?
Fox, Jeremy T. (contributor); Smeets, Valérie (contributor) - 2007
Persistent link: https://www.econbiz.de/10003439979
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On structural labor supply estimation when budget constraints are nonlinear
Heim, Bradley T. - 2002
Persistent link: https://www.econbiz.de/10003779966
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The sources of change in labour's relative share in the Singapore manufacturing sector : a neo-classical analysis
Toh Mun Heng - In: Asian economic journal : journal of the East Asian … 1 (1987) 2, pp. 41-56
Persistent link: https://www.econbiz.de/10001098253
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Thin-trading effects in beta: bias v. estimation error
Sercu, Piet; Vandebroek, Martina; Vinaimont, Tom - In: Journal of business finance & accounting : JBFA 35 (2008) 9/10, pp. 1196-1219
Persistent link: https://www.econbiz.de/10003786714
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Thin-trading effects in beta : bias v. estimation error
Sercu, Piet (contributor); Vandebroek, Martina (contributor) - 2007
Persistent link: https://www.econbiz.de/10003611579
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Volatility Measures as Predictors of Extreme Returns
Switzer, Lorne N. - 2017
This paper examines the relationship between volatility and the probability of occurrence of expected extreme returns in the Canadian market. Four measures of volatility are examined: implied volatility from firm option prices, conditional volatility calculated using an EGARCH model,...
Persistent link: https://www.econbiz.de/10012959255
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Combinations of High Order Gaussian Kernel Estimator with Simulation Historical of Value at Risk (VaR) Return Portfolio Measurement
2014
risk of taking the measurements. For it is necessary to develop methods of risk measurement, VaR on asset returns … approach. This method implements the VaR measurement and VaR sensitivity of the asset return data are first estimated using a …
Persistent link: https://www.econbiz.de/10013056260
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High-dimensional multivariate realized volatility estimation
Bollerslev, Tim; Meddahi, Nour; Nyawa, Serge - In: Journal of econometrics 212 (2019) 1, pp. 116-136
Persistent link: https://www.econbiz.de/10012303903