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Value at risk: a new methodology for measuring portfolio risk
1 references·5 citing·22 second hop
Value at risk: a new methodology for measuring portfolio risk (1996)Value at risk: a new methodology for meas…The Place of Risk Management in Financial Institutions (1997)The Place of Risk Management …Value‐at‐risk (2010)Value‐at‐riskAsian Pacific Stock Market Volatility Modeling and Value at Risk Analysis (2006)Asian Pacific Stock Market Vo…EXPONENTIAL DURATION: A MORE ACCURATE ESTIMATION OF INTEREST RATE RISK (2005)EXPONENTIAL DURATION: A MORE …Understanding Asset Values: Stock Prices, Exchange Rates, and the ‘Peso Problem,’ (2001)Understanding Asset Values: S…What determines the exchange rate: economic factors or market sentiment? (1997)What determines the exchange …Generalized autoregressive conditional heteroskedasticity (1986)A Conditionally Heteroskedastic Time Series Model for Speculative Prices and Rates of Return (1987)A long memory property of stock market returns and a new model (1993)Comparison between Sukuk and Conventional Bonds: Value at Risk Approach (2013)Theory of the firm: Managerial behavior, agency costs and ownership structure (1976)INFORMATIONAL ASYMMETRIES, FINANCIAL STRUCTURE, AND FINANCIAL INTERMEDIATION (1977)Optimal Hedging Policies (1984)How Relevant is Volatility Forecasting for Financial Risk Management? (1998)The Effect of Enterprise Risk Management Implementation on the Value of Companies Listed in the Nairobi Stock Exchange (2011)The Impact of Corporate Governance on Financial Risk in Vietnamese Commercial Banks (2015)Expectations and Exchange Rate Dynamics (1976)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Investor sentiment and dollar-pound exchange rate returns: Evidence from over a century of data using a cross-quantilogram approach (2020)The Behavior of Stock-Market Prices (1965)Value-at-risk in US stock indices with skewed generalized error distribution (2008)Market Risk of Developed and Emerging Countries During the Global Financial Crisis (2013)On "Duration" and the Optimal Maturity Structure of the Balance Sheet (1974)Fixed Income Markets and their Derivatives. (1997)The Econometrics of Financial Markets (1997)A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle (1989)Long Swings in the Dollar: Are They in the Data and Do Markets Know It? (1990)Puzzles in International Financial Markets (1994)
this work references cited by second hop

References

  • 1997The Place of Risk Management in Financial Institutions72 cited

Cited by

  • 2001Understanding Asset Values: Stock Prices, Exchange Rates, and the ‘Peso Problem,’31 cited
  • 2006Asian Pacific Stock Market Volatility Modeling and Value at Risk Analysis30 cited
  • 1997What determines the exchange rate: economic factors or market sentiment?29 cited
  • 2010Value‐at‐risk27 cited
  • 2005EXPONENTIAL DURATION: A MORE ACCURATE ESTIMATION OF INTEREST RATE RISK20 cited

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