Realized Semi(co)variation: Signs That All Volatilities are Not Created Equal.
- Published in:
- Journal of Financial Econometrics, 2022, v. 20, n. 2, p. 219, doi. 10.1093/jjfinec/nbab025
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- Publication type:
- Article
Works matching IS 14798409 AND DT 2022 AND VI 20 AND IP 2
Results: 6
1
2
Single-Index Expectile Models for Estimating Conditional Value at Risk and Expected Shortfall.
- Published in:
- Journal of Financial Econometrics, 2022, v. 20, n. 2, p. 345, doi. 10.1093/jjfinec/nbaa016
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- Article
3
What Affects the Relationship Between Oil Prices and the U.S. Stock Market? A Mixed-Data Sampling Copula Approach.
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- Journal of Financial Econometrics, 2022, v. 20, n. 2, p. 253, doi. 10.1093/jjfinec/nbz043
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- Article
4
Covariance Matrix Estimation under Total Positivity for Portfolio Selection.
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- Journal of Financial Econometrics, 2022, v. 20, n. 2, p. 367, doi. 10.1093/jjfinec/nbaa018
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- Article
5
Risk Estimation with a Time-Varying Probability of Zero Returns.
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- Journal of Financial Econometrics, 2022, v. 20, n. 2, p. 278, doi. 10.1093/jjfinec/nbaa014
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- Publication type:
- Article
6
Estimating Loss Given Default from CDS under Weak Identification.
- Published in:
- Journal of Financial Econometrics, 2022, v. 20, n. 2, p. 310, doi. 10.1093/jjfinec/nbaa012
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- Publication type:
- Article