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Evaluating Covariance Matrix Forecasts in a Value-at-Risk Framework
16 references·0 citing·22 second hop
Evaluating Covariance Matrix Forecasts in a Value-at-Risk Framework (2002)Evaluating Covariance Matrix Forecasts in…Modeling Asymmetric Comovements of Asset Returns (1998)Modeling Asymmetric Comovemen…Evaluating Interval Forecasts (1998)Evaluating Interval ForecastsEvaluating Density Forecasts with Applications to Financial Risk Management (1998)Evaluating Density Forecasts …The variation of certain speculative prices (1997)The variation of certain spec…An Overview of Value at Risk (1997)An Overview of Value at RiskModeling and pricing long memory in stock market volatility (1996)Modeling and pricing long mem…Techniques for Verifying the Accuracy of Risk Measurement Models (1995)Techniques for Verifying the …Multivariate Simultaneous Generalized ARCH (1995)Multivariate Simultaneous Gen…Comparing Predictive Accuracy (1994)Comparing Predictive AccuracyTime-Varying Distributions and Dynamic Hedging with Foreign Currency Futures (1993)Time-Varying Distributions an…Measuring and Testing the Impact of News on Volatility (1993)Measuring and Testing the Imp…Alternative models for conditional stock volatility (1990)Alternative models for condit…A Capital Asset Pricing Model with Time-Varying Covariances (1988)A Capital Asset Pricing Model…Generalized autoregressive conditional heteroskedasticity (1986)Generalized autoregressive co…Foreign currency option values (1983)Foreign currency option valuesAutoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Autoregressive Conditional He…ARCH modeling in finance (1992)Dynamic Conditional Correlation (2002)Modeling and Forecasting Realized Volatility (2003)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)Book Review: Time Series Analysis: Forecasting and Control (1977)Time Series Analysis: Forecasting and Control (1977)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)Introductory Econometrics for Finance (2008)A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle (1989)Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation (1991)Forecasting Economic Time Series (2000)A Comprehensive Look at The Empirical Performance of Equity Premium Prediction (2007)Answering the Skeptics: Yes, Standard Volatility Models do Provide Accurate Forecasts (1998)Strictly Proper Scoring Rules, Prediction, and Estimation (2007)CoVaR (2016)Econometric Analysis of Cross Section and Panel Data (2001)THE PERFORMANCE OF MUTUAL FUNDS IN THE PERIOD 1945–1964 (1968)Option pricing when underlying stock returns are discontinuous (1976)Systemic Risk Measurement: Multivariate GARCH Estimation of CoVaR (2012)Financial Network Systemic Risk Contributions (2014)A long memory property of stock market returns and a new model (1993)
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References

  • 1986Generalized autoregressive conditional heteroskedasticity23,378 cited
  • 1982Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation21,185 cited
  • 1994Comparing Predictive Accuracy5,578 cited
  • 1997The variation of certain speculative prices4,513 cited
  • 1995Multivariate Simultaneous Generalized ARCH4,510 cited
  • 1993Measuring and Testing the Impact of News on Volatility3,692 cited
  • 1988A Capital Asset Pricing Model with Time-Varying Covariances3,145 cited
  • 1998Evaluating Interval Forecasts2,689 cited
  • 1995Techniques for Verifying the Accuracy of Risk Measurement Models2,489 cited
  • 1998Modeling Asymmetric Comovements of Asset Returns1,588 cited
  • 1993Time-Varying Distributions and Dynamic Hedging with Foreign Currency Futures1,529 cited
  • 1998Evaluating Density Forecasts with Applications to Financial Risk Management1,452 cited
  • 1997An Overview of Value at Risk1,320 cited
  • 1990Alternative models for conditional stock volatility1,272 cited
  • 1996Modeling and pricing long memory in stock market volatility1,208 cited
  • 1983

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Foreign currency option values
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