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Systemic risk, financial markets, and performance of financial institutions.
- Published in:
- Annals of Operations Research, 2018, v. 262, n. 2, p. 579, doi. 10.1007/s10479-016-2113-8
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- Article
A bootstrap test for threshold effects in a diffusion process.
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- Computational Statistics, 2024, v. 39, n. 5, p. 2859, doi. 10.1007/s00180-023-01375-z
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- Article
Bayesian quantile forecasting via the realized hysteretic GARCH model.
- Published in:
- Journal of Forecasting, 2022, v. 41, n. 7, p. 1317, doi. 10.1002/for.2876
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- Article
Bayesian Assessment of Dynamic Quantile Forecasts.
- Published in:
- Journal of Forecasting, 2016, v. 35, n. 8, p. 751, doi. 10.1002/for.2408
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- Article
Bayesian Forecasting for Financial Risk Management, Pre and Post the Global Financial Crisis.
- Published in:
- Journal of Forecasting, 2012, v. 31, n. 8, p. 661, doi. 10.1002/for.1237
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- Article
Volatility forecasting with double Markov switching GARCH models.
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- Journal of Forecasting, 2009, v. 28, n. 8, p. 681, doi. 10.1002/for.1119
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- Article