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Value‐at‐risk
16 references·2 citing·41 second hop
Value‐at‐risk (2010)Value‐at‐riskA Long Memory Property of Stock Market Returns and a New Model (2010)A Long Memory Property of Sto…Portfolio value-at-risk forecasting with GA-based extreme value theory (2008)Portfolio value-at-risk forec…Evaluation of Value-at-Risk Models Using Historical Data (2007)Evaluation of Value-at-Risk M…An Application of Extreme Value Theory for Measuring Financial Risk (2006)An Application of Extreme Val…Overnight borrowing, interest rates and extreme value theory (2005)Overnight borrowing, interest…Value-at-Risk Analysis for Taiwan Stock Index Futures: Fat Tails and Conditional Asymmetries in Return Innovations (2004)Value-at-Risk Analysis for Ta…Asymmetric risk measures when modelling emerging markets equities: evidence for regional and timing effects (2004)Asymmetric risk measures when…Estimating Beta (2002)Estimating BetaFrom value at risk to stress testing: The extreme value approach (2000)From value at risk to stress …Value at risk: a new methodology for measuring portfolio risk (1996)Value at risk: a new methodol…The Microstructure of Foreign Exchange Markets (1996)The Microstructure of Foreign…Risk and Turnover in the Foreign Exchange Market (1996)Risk and Turnover in the Fore…A long memory property of stock market returns and a new model (1993)A long memory property of sto…A Conditionally Heteroskedastic Time Series Model for Speculative Prices and Rates of Return (1987)A Conditionally Heteroskedast…Generalized autoregressive conditional heteroskedasticity (1986)Generalized autoregressive co…Residual Life Time at Great Age (1974)Residual Life Time at Great A…Comparison between Sukuk and Conventional Bonds: Value at Risk Approach (2013)Comparison between Sukuk and …Anybody can do Value at Risk: A Teaching Study using Parametric Computation and Monte Carlo Simulation (2012)Anybody can do Value at Risk:…Estimating Continuous-Time Processes Subject to Time Deformation (1988)How Markets Process Information: News Releases and Volatility (1993)Trading volumes and transaction costs in the foreign exchange market (1999)Government Intervention and Adverse Selection Costs in Foreign Exchange Markets (2000)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Volatilities of different time resolutions — Analyzing the dynamics of market components (1997)Long memory in continuous‐time stochastic volatility models (1998)Modeling and Forecasting Realized Volatility (2001)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)Multivariate Simultaneous Generalized ARCH (1995)Modelling of extremal events in insurance and finance (1994)Coherent Measures of Risk (1999)An Introduction to Statistical Modeling of Extreme Values (2001)Kriging-based adaptive Importance Sampling algorithms for rare event estimation (2013)Insurability of Cyber Risk: An Empirical Analysis (2014)Tail risk and systemic risk of finance and technology (FinTech) firms (2021)Portfolio Selection: Efficient Diversification of Investments (1959)The Behavior of Stock-Market Prices (1965)Evaluating Value at Risk Methodologies: Accuracy versus Computational Time (1997)Estimating oil price ‘Value at Risk’ using the historical simulation approach (2003)Exploring the sources of default clustering (2018)Techniques for Verifying the Accuracy of Risk Measurement Models (1995)Extreme Value Theory as a Risk Management Tool (1999)Inference for Clusters of Extreme Values (2003)Measuring Market Risk (2005)Simple Technical Trading Rules and the Stochastic Properties of Stock Returns (1992)Fractionally integrated generalized autoregressive conditional heteroskedasticity (1996)Stochastic Volatility: Likelihood Inference and Comparison with ARCH Models (1998)Modeling and Forecasting Realized Volatility (2003)A Simple Approximate Long-Memory Model of Realized Volatility (2008)Introductory Econometrics for Finance (2008)Estimating the Tails of Loss Severity Distributions Using Extreme Value Theory (1997)Estimation of tail-related risk measures for heteroscedastic financial time series: an extreme value approach (2000)Extreme Correlation of International Equity Markets (2001)FX Trading and Exchange Rate Dynamics (2002)Liquidity in the Futures Pits: Inferring Market Dynamics from Incomplete Data (2004)Y2K fears and safe haven trading of the U.S. dollar (2006)
this work references cited by second hop

References

  • 1986Generalized autoregressive conditional heteroskedasticity22,329 cited
  • 1993A long memory property of stock market returns and a new model3,257 cited
  • 1987A Conditionally Heteroskedastic Time Series Model for Speculative Prices and Rates of Return2,569 cited
  • 1974Residual Life Time at Great Age1,484 cited
  • 2010A Long Memory Property of Stock Market Returns and a New Model981 cited
  • 2000From value at risk to stress testing: The extreme value approach517 cited
  • 2006An Application of Extreme Value Theory for Measuring Financial Risk425 cited
  • 2007Evaluation of Value-at-Risk Models Using Historical Data249 cited
  • 1996The Microstructure of Foreign Exchange Markets181 cited
  • 1996Risk and Turnover in the Foreign Exchange Market97 cited
  • 2004Value-at-Risk Analysis for Taiwan Stock Index Futures: Fat Tails and Conditional Asymmetries in Return Innovations91 cited
  • 2008Portfolio value-at-risk forecasting with GA-based extreme value theory54 cited
  • 2005Overnight borrowing, interest rates and extreme value theory41 cited
  • 2002Estimating Beta39 cited
  • 1996Value at risk: a new methodology for measuring portfolio risk35 cited

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  • 2004Asymmetric risk measures when modelling emerging markets equities: evidence for regional and timing effects31 cited
  • Cited by

    • 2012Anybody can do Value at Risk: A Teaching Study using Parametric Computation and Monte Carlo Simulation23 cited
    • 2013Comparison between Sukuk and Conventional Bonds: Value at Risk Approach20 cited