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The Riskmetrics 2006 Methodology

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References

2000Estimation of tail-related risk measures for heteroscedastic financial time series: an extreme value approach1,732 cited
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1990Stationarity and Persistence in the GARCH(1,1) Model1,093 cited
1993Temporal Aggregation of Garch Processes678 cited
2001Return to RiskMetrics: The Evolution of a Standard174 cited
2004Volatility processes and volatility forecast with long memory104 cited

Cited by

2013Do High-Frequency Data Improve High-Dimensional Portfolio Allocations?75 cited
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2020Forecasting Value-at-Risk of Cryptocurrencies with RiskMetrics type models56 cited
2009A Gentle Introduction to the RM2006 Methodology37 cited
2013GFC-Robust Risk Management Under the Basel Accord32 cited
2013Do High-Frequency Data Improve High-Dimensional Portfolio Allocations?29 cited
2020Comparing high-dimensional conditional covariance matrices: Implications for portfolio selection27 cited
2011

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Risk management of risk under the Basel Accord: forecasting value‐at‐risk of VIX futures

26 cited

2006Measuring and Forecasting Financial Market Volatility using High-Frequency Data26 cited