SZodixStudyAcademic Library
ShelvesOpen access
Study · an open academic library·Metadata from OpenAlex (CC0)·Shelves·OpenAlex metadata, de-duplicated
Estimation and Testing of Dynamic Models with Generalized Hyperbolic Innovations
5 references·1 citing·24 second hop
Estimation and Testing of Dynamic Models with Generalized Hyperbolic Innovations (2005)Estimation and Testing of Dynamic Models …Risk estimation using the multivariate normal inverse Gaussian distribution (2006)Risk estimation using the mul…Factor representing portfolios in large asset markets (2003)Factor representing portfolio…A New Class of Multivariate Skew Densities, with Application to GARCH Models (2002)A New Class of Multivariate S…Volatiltiy and Links Between National Stock Markets (1990)Volatiltiy and Links Between …Principles of Random Variate Generation (1990)Principles of Random Variate …CREDIT RISK MODELS IV: UNDERSTANDING AND PRICING CDOs (2006)CREDIT RISK MODELS IV: UNDERS…The Pricing of Options and Corporate Liabilities (1973)ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)An Introduction to Copulas (1999)FROM BASEL I TO BASEL II: AN ANALYSIS OF THE THREE PILLARS (2007)Utility Valuation of Credit Derivatives: Single and Two-Name Cases (2007)Generalized autoregressive conditional heteroskedasticity (1986)On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)Multivariate Simultaneous Generalized ARCH (1995)Dynamic Copula Modelling for Value at Risk (2008)The Four‐moment Capital Asset Pricing Model: Between Asset Pricing and Asset Allocation (2012)The arbitrage theory of capital asset pricing (1976)ARCH modeling in finance (1992)Quasi-maximum likelihood estimation and inference in dynamic models with time-varying covariances (1992)Indirect estimation of large conditionally heteroskedastic factor models, with an application to the Dow 30 stocks (2008)Measuring uncertainty in the stock market (2016)Distributional Tests in Multivariate Dynamic Models with Normal and Student T Innovations (2009)Multivariate Location-Scale Mixtures of Normals and Mean-Variance-Skewness Portfolio Allocation (2009)Measuring financial risk and portfolio optimization with a non-Gaussian multivariate model (2012)Statistical aspects of ARCH and stochastic volatility (1996)A New Approach to Measuring Financial Contagion (2000)Volatility spillover effects from Japan and the US to the Pacific–Basin (2000)Robustness properties of multivariate EWMA control charts (2002)Valuing path-dependent options in the variance-gamma model by Monte Carlo with a gamma bridge (2003)Empirical likelihood for value-at-risk and expected shortfall (2008)
this work references cited by second hop

References

  • 1990Volatiltiy and Links Between National Stock Markets709 cited
  • 1990Principles of Random Variate Generation173 cited
  • 2003Factor representing portfolios in large asset markets66 cited
  • 2006Risk estimation using the multivariate normal inverse Gaussian distribution55 cited
  • 2002A New Class of Multivariate Skew Densities, with Application to GARCH Models36 cited

Cited by

  • 2006CREDIT RISK MODELS IV: UNDERSTANDING AND PRICING CDOs22 cited

Only edges whose both ends are imported exist here. Widen the year window, or show the whole map. Back to the work