Backtesting Value-at-Risk and Expected Shortfall in the Presence of Estimation Error*.
- Published in:
- Journal of Financial Econometrics, 2023, v. 21, n. 2, p. 528, doi. 10.1093/jjfinec/nbab008
- By:
- Publication type:
- Article
Works matching IS 14798409 AND DT 2023 AND VI 21 AND IP 2
Results: 12
1
2
Intraday Market Predictability: A Machine Learning Approach.
- Published in:
- Journal of Financial Econometrics, 2023, v. 21, n. 2, p. 485, doi. 10.1093/jjfinec/nbab007
- By:
- Publication type:
- Article
3
Discussion of Identification Robust Testing of Risk Premia in Finite Samples.
- Published in:
- Journal of Financial Econometrics, 2023, v. 21, n. 2, p. 306, doi. 10.1093/jjfinec/nbac014
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- Publication type:
- Article
4
Comment on: Identification Robust Testing of Risk Premia in Finite Samples.
- Published in:
- Journal of Financial Econometrics, 2023, v. 21, n. 2, p. 303, doi. 10.1093/jjfinec/nbac012
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- Publication type:
- Article
5
Identification Robust Testing of Risk Premia in Finite Samples.
- Published in:
- Journal of Financial Econometrics, 2023, v. 21, n. 2, p. 263, doi. 10.1093/jjfinec/nbac010
- By:
- Publication type:
- Article
6
Rejoinder on: Identification Robust Testing of Risk Premia in Finite Samples*.
- Published in:
- Journal of Financial Econometrics, 2023, v. 21, n. 2, p. 311, doi. 10.1093/jjfinec/nbac009
- By:
- Publication type:
- Article
7
Comment on: Identification Robust Testing of Risk Premia in Finite Samples.
- Published in:
- Journal of Financial Econometrics, 2023, v. 21, n. 2, p. 298, doi. 10.1093/jjfinec/nbab024
- By:
- Publication type:
- Article
8
Forecasting Loan Default in Europe with Machine Learning*.
- Published in:
- Journal of Financial Econometrics, 2023, v. 21, n. 2, p. 569, doi. 10.1093/jjfinec/nbab010
- By:
- Publication type:
- Article
9
Smooth-Transition Regression Models for Non-Stationary Extremes.
- Published in:
- Journal of Financial Econometrics, 2023, v. 21, n. 2, p. 445, doi. 10.1093/jjfinec/nbab005
- By:
- Publication type:
- Article
10
Encompassing Tests for Value at Risk and Expected Shortfall Multistep Forecasts Based on Inference on the Boundary*.
- Published in:
- Journal of Financial Econometrics, 2023, v. 21, n. 2, p. 412, doi. 10.1093/jjfinec/nbab004
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- Publication type:
- Article
11
Asset Pricing with Endogenous Beliefs-Dependent Risk Aversion*.
- Published in:
- Journal of Financial Econometrics, 2023, v. 21, n. 2, p. 368, doi. 10.1093/jjfinec/nbab003
- By:
- Publication type:
- Article
12
Testing for Regime Changes in Portfolios with a Large Number of Assets: A Robust Approach to Factor Heteroskedasticity*.
- Published in:
- Journal of Financial Econometrics, 2023, v. 21, n. 2, p. 316, doi. 10.1093/jjfinec/nbaa046
- By:
- Publication type:
- Article