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Modelling Daily Value-at-Risk Using Realized Volatility and Arch Type Models
16 references·6 citing·26 second hop
Modelling Daily Value-at-Risk Using Realized Volatility and Arch Type Models (2003)Modelling Daily Value-at-Risk Using Reali…The Econometrics of Financial Markets (2012)The Econometrics of Financial…The distribution of realized stock return volatility (2001)The distribution of realized …The Distribution of Realized Exchange Rate Volatility (2001)The Distribution of Realized …Value At Risk: The New Benchmark for Managing Financial Risk (2000)Value At Risk: The New Benchm…Answering the Skeptics: Yes, Standard Volatility Models do Provide Accurate Forecasts (1998)Answering the Skeptics: Yes, …Fractionally integrated generalized autoregressive conditional heteroskedasticity (1996)Fractionally integrated gener…Techniques for Verifying the Accuracy of Risk Measurement Models (1995)Techniques for Verifying the …Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1995)Autoregressive Conditional He…A long memory property of stock market returns and a new model (1993)A long memory property of sto…Expected stock returns and volatility (1987)Expected stock returns and vo…Generalized autoregressive conditional heteroskedasticity (1986)Generalized autoregressive co…THE ESTIMATION AND APPLICATION OF LONG MEMORY TIME SERIES MODELS (1983)THE ESTIMATION AND APPLICATIO…Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Autoregressive Conditional He…Fractional Differencing (1981)Fractional DifferencingOn estimating the expected return on the market (1980)On estimating the expected re…AN INTRODUCTION TO LONG‐MEMORY TIME SERIES MODELS AND FRACTIONAL DIFFERENCING (1980)AN INTRODUCTION TO LONG‐MEMOR…Asymmetric Volatility in Equity Markets Around the World (2018)Asymmetric Volatility in Equi…Risk and uncertainty (2016)Risk and uncertaintyA comparison of GARCH models for VaR estimation (2011)A comparison of GARCH models …Explaining asymmetric volatility around the world (2010)Explaining asymmetric volatil…Backtesting value-at-risk based on tail losses (2009)Backtesting value-at-risk bas…Autoregressive Conditional Heteroscedasticity (ARCH) Models: A Review (2004)Autoregressive Conditional He…Specification Tests in Econometrics (1978)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)Illiquidity and stock returns: cross-section and time-series effects (2002)Fractional Brownian Motions, Fractional Noises and Applications (1968)Modeling and Forecasting Realized Volatility (2003)Is All That Talk Just Noise? The Information Content of Internet Stock Message Boards (2004)Time Series Analysis: Forecasting and Control (1977)Time Series Analysis: Forecasting and Control (1977)Multivariate Simultaneous Generalized ARCH (1995)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)A Simple Approximate Long-Memory Model of Realized Volatility (2008)Introductory Econometrics for Finance (2008)The Behavior of Stock-Market Prices (1965)The Cross‐Section of Volatility and Expected Returns (2006)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)The Pricing of Options and Corporate Liabilities (1973)A Theory of the Term Structure of Interest Rates (1985)Common risk factors in the returns on stocks and bonds (1993)Industry costs of equity (1997)Econometric Analysis of Cross Section and Panel Data (2001)The Economic Costs of Conflict: A Case Study of the Basque Country (2003)Giving Content to Investor Sentiment: The Role of Media in the Stock Market (2007)Market Liquidity and Funding Liquidity (2008)Some properties of time series data and their use in econometric model specification (1981)Long memory processes and fractional integration in econometrics (1996)
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References

  • 1986Generalized autoregressive conditional heteroskedasticity22,329 cited
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  • 2012The Econometrics of Financial Markets5,875 cited
  • 1987Expected stock returns and volatility4,147 cited
  • 1998Answering the Skeptics: Yes, Standard Volatility Models do Provide Accurate Forecasts3,380 cited
  • 1980AN INTRODUCTION TO LONG‐MEMORY TIME SERIES MODELS AND FRACTIONAL DIFFERENCING3,376 cited
  • 1993A long memory property of stock market returns and a new model3,257 cited
  • 1983THE ESTIMATION AND APPLICATION OF LONG MEMORY TIME SERIES MODELS2,936 cited
  • 1980On estimating the expected return on the market2,818 cited
  • 1981Fractional Differencing2,720 cited
  • 2000Value At Risk: The New Benchmark for Managing Financial Risk2,478 cited
  • 1995Techniques for Verifying the Accuracy of Risk Measurement Models2,447 cited
  • 1996Fractionally integrated generalized autoregressive conditional heteroskedasticity2,290 cited
  • 2001The distribution of realized stock return volatility2,264 cited
  • 2001The Distribution of Realized Exchange Rate Volatility

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2,108 cited
  • 1995Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation1,960 cited
  • Cited by

    • 2011A comparison of GARCH models for VaR estimation66 cited
    • 2018Asymmetric Volatility in Equity Markets Around the World60 cited
    • 2009Backtesting value-at-risk based on tail losses56 cited
    • 2004Autoregressive Conditional Heteroscedasticity (ARCH) Models: A Review52 cited
    • 2010Explaining asymmetric volatility around the world45 cited
    • 2016Risk and uncertainty0 cited