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Evaluating Covariance Matrix Forecasts in a Value-at-Risk Framework · Study

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PreprintEvaluating Covariance Matrix Forecasts in a Value-at-Risk Framework

Jose A. Lopez2002

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Preprintgreen2002

Evaluating Covariance Matrix Forecasts in a Value-at-Risk Framework

Jose A. Lopez · Christian A. Walter

19 citations·0/0 files stored·SSRN Electronic Journal

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Financial Risk and Volatility Modeling Stochastic processes and financial applications Risk and Portfolio Optimization

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References

1986Generalized autoregressive conditional heteroskedasticity 1982Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation 1994Comparing Predictive Accuracy 1995Multivariate Simultaneous Generalized ARCH 1997The variation of certain speculative prices 1993Measuring and Testing the Impact of News on Volatility 1988A Capital Asset Pricing Model with Time-Varying Covariances 1998Evaluating Interval Forecasts

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2000Evaluating Covariance Matrix Forecasts in a Value-at-Risk Frameworkarticle · 41 shared references 2005Evaluating Interest Rate Covariance Models Within a Value-at-Risk Frameworkarticle · 20 shared references 2007Volatility modelling and forecasting in financechapter · 17 shared references 2006Chapter 15 Volatility and Correlation Forecastingchapter · 16 shared references 2005Volatility Forecastingreport · 16 shared references 2006VOLATILITY AND CORRELATION FORECASTINGarticle · 15 shared references

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Year2002

Typepreprint

Published2002-01-01

VenueSSRN Electronic Journal

ISSN-L1556-5068

Languageen

Citations19

Files0 public / 0

ShelfFinancial Risk and Volatility Modeling

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doi10.2139/ssrn.305279

openalex_workW1505638102

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