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The Riskmetrics 2006 Methodology · Study

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PreprintThe Riskmetrics 2006 Methodology

Gilles Zumbach2009

OA

Preprintgreen2009

The Riskmetrics 2006 Methodology

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

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Financial Risk and Volatility Modeling Financial Markets and Investment Strategies Risk and Portfolio Optimization

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References

2000Estimation of tail-related risk measures for heteroscedastic financial time series: an extreme value approach 1998Evaluating Density Forecasts with Applications to Financial Risk Management 1990Stationarity and Persistence in the GARCH(1,1) Model 1993Temporal Aggregation of Garch Processes 2001Return to RiskMetrics: The Evolution of a Standard 2004Volatility processes and volatility forecast with long memory

Cited by

2013Do High-Frequency Data Improve High-Dimensional Portfolio Allocations?2010Modelling and forecasting multivariate realized volatility 2020The Power of (Non-)Linear Shrinking: A Review and Guide to Covariance Matrix Estimation 2020Forecasting Value-at-Risk of Cryptocurrencies with RiskMetrics type models 2009A Gentle Introduction to the RM2006 Methodology 2013GFC-Robust Risk Management Under the Basel Accord 2013Do High-Frequency Data Improve High-Dimensional Portfolio Allocations?2020

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2006Chapter 15 Volatility and Correlation Forecastingchapter · 4 shared references 2005Volatility Forecastingreport · 4 shared references 2006VOLATILITY AND CORRELATION FORECASTINGarticle · 4 shared references 2008Glossary to ARCH (GARCH)preprint · 3 shared references 2008Financial Risk Management with Bayesian Estimation of GARCH Models: Theory and Applicationsarticle · 3 shared references 2002Parametric and Nonparametric Volatility Measurementpreprint · 3 shared references

Details

Year2009

Typepreprint

Published2009-01-01

VenueSSRN Electronic Journal

ISSN-L1556-5068

Languageen

Citations93

Files0 public / 0

ShelfFinancial Risk and Volatility Modeling

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doi10.2139/ssrn.1420185

openalex_workW1520340355

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Comparing high-dimensional conditional covariance matrices: Implications for portfolio selection