Showing results 1 to 4 of 4
Title | Author(s) | Issue Date | Views | |
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A Black–Litterman approach to correlation stress testing Journal:Quantitative Finance | 2014 | 89 | ||
Diagnostic checking of the vector multiplicative error model Journal:Computational Statistics & Data Analysis | 2016 | 50 | ||
Formulating hypothetical scenarios in correlation stress testing via a Bayesian framework Journal:The North American Journal of Economics and Finance | 2014 | |||
The generalized conditional autoregressive Wishart model for multivariate stochastic volatility Journal:Journal of Business and Economic Statistics | 2017 | 65 |