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On the Accuracy of VaR Estimates Based on the Variance-Covariance Approach

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2007Dynamic Integration of Time- and State-Domain Methods for Volatility Estimation34 cited
2018Mark to market value at risk31 cited
2001Safety-first analysis and stable paretian approach to portfolio choice theory25 cited
2000Evaluating Covariance Matrix Forecasts in a Value-at-Risk Framework23 cited

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2014

VaR without Correlations for Portfolios of Derivative Securities

21 cited

2002Evaluating Covariance Matrix Forecasts in a Value-at-Risk Framework19 cited

2009Asset allocation and value at risk in shipping equity portfolios18 cited