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Broda, Simon; Krause, Jochen; Paolella, Marc (2018). Approximating expected shortfall for heavy-tailed distributions. Econometrics and Statistics, 8:184-203.

Krause, Jochen; Paolella, Marc (2014). A fast, accurate method for value-at-risk and expected shortfall. Econometrics, 2(2):98-122.

Broda, Simon; Haas, Markus; Krause, Jochen; Paolella, Marc S; Steude, Sven C (2013). Stable mixture GARCH models. Journal of Econometrics, 172(2):292-306.

Haas, Markus; Krause, Jochen; Paolella, Marc S; Steude, Sven C (2013). Time-varying mixture GARCH models and asymmetric volatility. North American Journal of Economics and Finance, 26:602-623.

This list was generated on Wed Jul 24 09:31:03 2019 CEST.