Using Exponentially Weighted Quantile Regression to Estimate Value at Risk and Expected Shortfall.
- Published in:
- Journal of Financial Econometrics, 2008, v. 6, n. 3, p. 382, doi. 10.1093/jjfinec/nbn007
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- Publication type:
- Article
Works matching IS 14798409 AND DT 2008 AND VI 6 AND IP 3
Results: 5
1
2
VAR Modeling for Dynamic Loadings Driving Volatility Strings.
- Published in:
- Journal of Financial Econometrics, 2008, v. 6, n. 3, p. 361, doi. 10.1093/jjfinec/nbn004
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- Publication type:
- Article
3
Are There Structural Breaks in Realized Volatility?
- Published in:
- Journal of Financial Econometrics, 2008, v. 6, n. 3, p. 326, doi. 10.1093/jjfinec/nbn006
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- Publication type:
- Article
4
Periodic Dynamic Conditional Correlations between Stock Markets in Europe and the US.
- Published in:
- Journal of Financial Econometrics, 2008, v. 6, n. 3, p. 307, doi. 10.1093/jjfinec/nbn005
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- Publication type:
- Article
5
A Simple Test for GARCH Against a Stochastic Volatility Model.
- Published in:
- Journal of Financial Econometrics, 2008, v. 6, n. 3, p. 291, doi. 10.1093/jjfinec/nbn008
- By:
- Publication type:
- Article