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Implementing Value at Risk
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Implementing Value at Risk (1998)Implementing Value at RiskCarbon trading amidst global uncertainty: The role of policy and geopolitical uncertainty (2023)Carbon trading amidst global …Measurement of extreme market risk: Insights from a comprehensive literature review (2021)Measurement of extreme market…On the volatility of daily stock returns of Total Nigeria Plc: evidence from GARCH models, value-at-risk and backtesting (2020)On the volatility of daily st…Mark to market value at risk (2018)Mark to market value at riskExtreme dependence and risk spillovers between oil and Islamic stock markets (2017)Extreme dependence and risk s…Estimation of Downside Risks in Project Portfolio Selection (2017)Estimation of Downside Risks …Emerging markets and portfolio foreign exchange risk: An empirical investigation using a value-at-risk decomposition technique (2011)Emerging markets and portfoli…A high-order Markov-switching model for risk measurement (2009)A high-order Markov-switching…El modelo logístico: una herramienta estadística para evaluar el riesgo de crédito (2005)El modelo logístico: una herr…Risk Capital and VaR (1999)Risk Capital and VaRIntroduction to Operations Research (1968)Mathematical Methods in Risk Theory (1970)Stochastic Simulation (1987)Portfolio Selection: Efficient Diversification of Investments (1959)Multivariate Simultaneous Generalized ARCH (1995)Coherent Measures of Risk (1999)Conditional Pricing of Currency Risk in Africa's Equity Markets (2014)The Pricing of Options and Corporate Liabilities (1973)On the Pricing of Corporate Debt: The Risk Structure of Interest Rates (1974)ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)Risk Management, Derivatives, and Financial Analysis under SFAS No. 133 (2001)Improved estimation of portfolio value‐at‐risk under copula models with mixed marginals (2006)Estimating hedged portfolio value-at-risk using the conditional copula: An illustration of model risk (2013)A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle (1989)On the coherence of expected shortfall (2002)Parameter estimation of an asset price model driven by a weak hidden Markov chain (2010)Capturing the Regime-Switching and Memory Properties of Interest Rates (2013)Safety First and the Holding of Assets (1952)Calibration of probabilities: The state of the art to 1980 (1982)Foundations of Portfolio Theory (1991)Project Evaluation and Selection with Task Failures (2019)Project portfolio risk management: a structured literature review with future directions for research (2021)Distribution of the Estimators for Autoregressive Time Series with a Unit Root (1979)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Testing for a Unit Root in Time Series Regression (1988)Can economic policy uncertainty, oil prices, and investor sentiment predict Islamic stock returns? A multi-scale perspective (2018)Spillovers from oil to precious metals: Quantile approaches (2018)Implied volatility relationships between crude oil and the U.S. stock markets: Dynamic correlation and spillover effects (2020)Correlation and Dependence in Risk Management: Properties and Pitfalls (2002)CAViaR (2004)Investor Sentiment and the Cross‐Section of Stock Returns (2006)Recognition and analysis of potential risks in China's carbon emission trading markets (2019)On studying extreme values and systematic risks with nonlinear time series models and tail dependence measures (2020)Tail dependence structure and extreme risk spillover effects between the international agricultural futures and spot markets (2023)Generalized autoregressive conditional heteroskedasticity (1986)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)A long memory property of stock market returns and a new model (1993)Effects of the COVID-19 pandemic on stock market returns and volatilities: evidence from selected emerging economies (2021)Forecasting the volatility of EUA futures with economic policy uncertainty using the GARCH-MIDAS model (2021)The impact of green finance, economic growth and energy usage on CO2 emission in Vietnam – a multivariate time series analysis (2021)Modelling of extremal events in insurance and finance (1994)Modelling Extremal Events (1997)Financial markets under the global pandemic of COVID-19 (2020)Comparing Predictive Accuracy (1995)The Impact of Uncertainty Shocks (2009)Measuring Economic Policy Uncertainty* (2016)Unveiling the environmental efficiency puzzle: Insights from global green innovations (2023)Determinants of local communities’ intentions to adopt carbon trading: evidence from Tanzania (2024)Geopolitical risk and energy markets in China (2025)
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  • 2017Extreme dependence and risk spillovers between oil and Islamic stock markets128 cited
  • 2023Carbon trading amidst global uncertainty: The role of policy and geopolitical uncertainty79 cited
  • 2020On the volatility of daily stock returns of Total Nigeria Plc: evidence from GARCH models, value-at-risk and backtesting48 cited
  • 1999Risk Capital and VaR39 cited
  • 2018Mark to market value at risk31 cited
  • 2017Estimation of Downside Risks in Project Portfolio Selection26 cited
  • 2009A high-order Markov-switching model for risk measurement23 cited
  • 2011Emerging markets and portfolio foreign exchange risk: An empirical investigation using a value-at-risk decomposition technique19 cited
  • 2021Measurement of extreme market risk: Insights from a comprehensive literature review16 cited
  • 2005El modelo logístico: una herramienta estadística para evaluar el riesgo de crédito14 cited

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