Browsing Τμήμα Οικονομικών / Department of Economics by Subject "Risk assessment"
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Article
On the use of high frequency measures of volatility in MIDAS regressions
(2016)Many empirical studies link mixed data frequency variables such as low frequency macroeconomic or financial variables with high frequency financial indicators’ volatilities, especially within a predictive regression model ...
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Article
Quality control for structural credit risk models
(2008)Over the last four decades, a large number of structural models have been developed to estimate and price credit risk. The focus of the paper is on a neglected issue pertaining to fundamental shifts in the structural ...