Showing results 1 to 4 of 4
| Title | Author(s) | Issue Date | |
|---|---|---|---|
A Black–Litterman approach to correlation stress testing Journal:Quantitative Finance | 2014 | ||
Diagnostic checking of the vector multiplicative error model Journal:Computational Statistics & Data Analysis | 2016 | ||
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 |