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FOREX Risk: Measurement and Evaluation Using Value‐at‐Risk
12 references·1 citing·39 second hop
FOREX Risk: Measurement and Evaluation Using Value‐at‐Risk (2004)FOREX Risk: Measurement and Evaluation Us…Evaluation of Value-at-Risk Models Using Historical Data (2007)Evaluation of Value-at-Risk M…Principal Component Models for Generating Large GARCH Covariance Matrices (2002)Principal Component Models fo…Theoretical and Empirical properties of Dynamic Conditional Correlation Multivariate GARCH (2001)Theoretical and Empirical pro…Robust conditional variance estimation and value-at-risk (2001)Robust conditional variance e…Dynamic Conditional Correlation - a Simple Class of Multivariate GARCH Models (2000)Dynamic Conditional Correlati…Evaluating Interval Forecasts (1998)Evaluating Interval ForecastsOn the Covariance Matrices Used in Value at Risk Models (1997)On the Covariance Matrices Us…Bank Capital Requirements for Market Risk: The Internal Models Approach (1997)Bank Capital Requirements for…Bank Capital and Value at Risk (1997)Bank Capital and Value at RiskMultivariate Simultaneous Generalized ARCH (1995)Multivariate Simultaneous Gen…Asset Pricing with a FACTOR-ARCH Covariance Structure: Empirical Estimates for Treasury Bills (1995)Asset Pricing with a FACTOR-A…Generalized autoregressive conditional heteroskedasticity (1986)Generalized autoregressive co…APPLICATION OF MONTE CARLO SIMULATION METHODS IN RISK MANAGEMENT (2007)APPLICATION OF MONTE CARLO SI…Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)ARCH modeling in finance (1992)Dynamic Conditional Correlation (2002)Modeling and Forecasting Realized Volatility (2003)Comparing Predictive Accuracy (1994)Answering the Skeptics: Yes, Standard Volatility Models do Provide Accurate Forecasts (1998)CAViaR (2004)CoVaR (2016)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)Generalized autoregressive conditional heteroscedasticity (1986)Using value-at-risk to control risk taking: how wrong can you be? (1998)The Effect of Asymmetries on Stock Index Return Value‐at‐Risk Estimates (2003)The analysis of bank business performance and market risk—Applying Fuzzy DEA (2013)A Capital Asset Pricing Model with Time-Varying Covariances (1988)Modelling the Coherence in Short-Run Nominal Exchange Rates: A Multivariate Generalized Arch Model (1990)Long-Term Global Market Correlations (2001)Modeling and Forecasting Realized Volatility (2001)Dynamic correlation between stock market and oil prices: The case of oil-importing and oil-exporting countries (2011)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)The Econometrics of Financial Markets (1997)Asymmetric Dynamics in the Correlations of Global Equity and Bond Returns (2006)The Copula-GARCH model of conditional dependencies: An international stock market application (2006)The Econometrics of Financial Markets (2012)Alternative estimators for factor garch models—A monte carlo comparison (1992)The Arbitrage Pricing Theory and Multifactor Models of Asset Returns (1993)Volatility Forecasting (2005)Dynamic conditional correlation analysis of financial market interdependence: An application to Thailand and Indonesia (2007)MULTIVARIATE VOLATILITY MODELING OF ELECTRICITY FUTURES (2012)A Score-Driven Conditional Correlation Model for Noisy and Asynchronous Data: An Application to High-Frequency Covariance Dynamics (2020)Practical Volatility and Correlation Modeling for Financial Market Risk Management (2005)AFFECTING FACTORS ON RISK‐ADJUSTED EFFICIENCY IN TAIWAN'S BANKING INDUSTRY (2006)Mean-VaR portfolio optimization: A nonparametric approach (2017)
this work references cited by second hop

References

  • 1986Generalized autoregressive conditional heteroskedasticity22,329 cited
  • 1995Multivariate Simultaneous Generalized ARCH4,510 cited
  • 1998Evaluating Interval Forecasts2,689 cited
  • 2001Theoretical and Empirical properties of Dynamic Conditional Correlation Multivariate GARCH1,401 cited
  • 2000Dynamic Conditional Correlation - a Simple Class of Multivariate GARCH Models1,108 cited
  • 2007Evaluation of Value-at-Risk Models Using Historical Data249 cited
  • 1995Asset Pricing with a FACTOR-ARCH Covariance Structure: Empirical Estimates for Treasury Bills140 cited
  • 1997Bank Capital and Value at Risk124 cited
  • 1997On the Covariance Matrices Used in Value at Risk Models123 cited
  • 2002Principal Component Models for Generating Large GARCH Covariance Matrices89 cited
  • 2001Robust conditional variance estimation and value-at-risk64 cited
  • 1997Bank Capital Requirements for Market Risk: The Internal Models Approach42 cited

Cited by

  • 2007APPLICATION OF MONTE CARLO SIMULATION METHODS IN RISK MANAGEMENT26 cited

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