Works matching IS 14798409 AND DT 2011 AND VI 9 AND IP 1

Results: 7

When is a Copula Constant? A Test for Changing Relationships.

Published in:

Journal of Financial Econometrics, 2011, v. 9, n. 1, p. 106, doi. 10.1093/jjfinec/nbq020

By:

Busetti, Fabio;
Harvey, Andrew

Publication type:

Article

Modeling Multivariate Interest Rates Using Time-Varying Copulas and Reducible Nonlinear Stochastic Differential Equations.

Published in:

Journal of Financial Econometrics, 2011, v. 9, n. 1, p. 198

By:

Bu, Ruijun;
Giet, Ludovic;
Hadri, Kaddour;
Lubrano, Michel

Publication type:

Article

Robust Backtesting Tests for Value-at-risk Models.

Published in:

Journal of Financial Econometrics, 2011, v. 9, n. 1, p. 132, doi. 10.1093/jjfinec/nbq021

By:

Escanciano, J. Carlos;
Olmo, Jose

Publication type:

Article

The JFEC Invited Lecture at the 2009 SoFiE Conference.

Published in:

Journal of Financial Econometrics, 2011, v. 9, n. 1, p. 1, doi. 10.1093/jjfinec/nbq036

By:

Renault, René Garcia, Eric Ghysels and Eric

Publication type:

Article

Yield Curve and Volatility: Lessons from Eurodollar Futures and Options.

Published in:

Journal of Financial Econometrics, 2011, v. 9, n. 1, p. 66, doi. 10.1093/jjfinec/nbq019

By:

Bikbov, Ruslan;
Chernov, Mikhail

Publication type:

Article

Risk-Price Dynamics.

Published in:

Journal of Financial Econometrics, 2011, v. 9, n. 1, p. 3, doi. 10.1093/jjfinec/nbq030

By:

Borovička, Jaroslav;
Hansen, Lars Peter;
Hendricks, Mark;
Scheinkman, José A.

Publication type:

Article

GARCH Parameter Estimation Using High-Frequency Data.

Published in:

Journal of Financial Econometrics, 2011, v. 9, n. 1, p. 162, doi. 10.1093/jjfinec/nbq017

By:

Visser, Marcel P.

Publication type:

Article