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Exponentially Smoothing the Skewed Laplace Distribution for Value‐at‐Risk Forecasting
16 references·1 citing·42 second hop
Exponentially Smoothing the Skewed Laplace Distribution for Value‐at‐Risk Forecasting (2013)Exponentially Smoothing the Skewed Laplac…RiskMetrics Technical Document (2015)RiskMetrics Technical DocumentValue-at-Risk Prediction: A Comparison of Alternative Strategies (2005)Value-at-Risk Prediction: A C…CAViaR (2004)CAViaRForecasting Volatility in Financial Markets: A Review (2003)Forecasting Volatility in Fin…Conditional Skewness in Asset Pricing Tests (2000)Conditional Skewness in Asset…Coherent Measures of Risk (1999)Coherent Measures of RiskAutoregressive Conditional Skewness (1999)Autoregressive Conditional Sk…Evaluating Interval Forecasts (1998)Evaluating Interval ForecastsAn Overview of Value at Risk (1997)An Overview of Value at RiskTechniques for Verifying the Accuracy of Risk Measurement Models (1995)Techniques for Verifying the …Threshold heteroskedastic models (1994)Threshold heteroskedastic mod…Autoregressive Conditional Density Estimation (1994)Autoregressive Conditional De…Stationarity and Persistence in the GARCH(1,1) Model (1990)Stationarity and Persistence …A Conditionally Heteroskedastic Time Series Model for Speculative Prices and Rates of Return (1987)A Conditionally Heteroskedast…Generalized autoregressive conditional heteroskedasticity (1986)Generalized autoregressive co…The pricing of commodity contracts (1976)The pricing of commodity cont…Conditional Value-at-Risk: Semiparametric estimation and inference (2016)Conditional Value-at-Risk: Se…Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Comparing Predictive Accuracy (1994)Answering the Skeptics: Yes, Standard Volatility Models do Provide Accurate Forecasts (1998)CoVaR (2016)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Simple Technical Trading Rules and the Stochastic Properties of Stock Returns (1992)Fractionally integrated generalized autoregressive conditional heteroskedasticity (1996)Stochastic Volatility: Likelihood Inference and Comparison with ARCH Models (1998)Time Series Analysis: Forecasting and Control (1977)Time Series Analysis: Forecasting and Control (1977)On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)Multivariate Simultaneous Generalized ARCH (1995)Multivariate GARCH models: a surveyConditional Heteroskedasticity in Asset Returns: A New Approach (1991)Emerging equity market volatility (1997)Asymmetric Dynamics in the Correlations of Global Equity and Bond Returns (2006)The Pricing of Options and Corporate Liabilities (1973)Theory of Rational Option Pricing (1973)THE VALUE OF AN OPTION TO EXCHANGE ONE ASSET FOR ANOTHER (1978)Pricing Interest-Rate-Derivative Securities (1990)A Jump-Diffusion Model for Option Pricing (2002)Theory of rational option pricing (2005)Estimating Time Varying Risk Premia in the Term Structure: The Arch-M Model (1987)Modeling and pricing long memory in stock market volatility (1996)The econometrics of financial markets (1996)GENERALIZED AUTOREGRESSIVE SCORE MODELS WITH APPLICATIONS (2012)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)The Cross-Section of Expected Stock Returns (1992)On Persistence in Mutual Fund Performance (1997)The Cross‐Section of Volatility and Expected Returns (2006)Introductory Econometrics for Finance (2008)… and the Cross-Section of Expected Returns (2015)Why Does Stock Market Volatility Change Over Time? (1989)Measuring and Testing the Impact of News on Volatility (1993)GARCH 101: The Use of ARCH/GARCH Models in Applied Econometrics (2001)MODELLING ASYMMETRIC EXCHANGE RATE DEPENDENCE* (2006)Conditional value-at-risk for general loss distributions (2002)Modeling and Forecasting Realized Volatility (2003)Theory and Applications of Robust Optimization (2010)Global financial crisis, extreme interdependences, and contagion effects: The role of economic structure? (2010)Systemic Risk Measurement: Multivariate GARCH Estimation of CoVaR (2012)Financial Network Systemic Risk Contributions (2014)
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References

  • 1986Generalized autoregressive conditional heteroskedasticity22,329 cited
  • 1999Coherent Measures of Risk8,849 cited
  • 1976The pricing of commodity contracts2,859 cited
  • 2000Conditional Skewness in Asset Pricing Tests2,837 cited
  • 1998Evaluating Interval Forecasts2,689 cited
  • 1987A Conditionally Heteroskedastic Time Series Model for Speculative Prices and Rates of Return2,569 cited
  • 1995Techniques for Verifying the Accuracy of Risk Measurement Models2,447 cited
  • 1994Threshold heteroskedastic models2,294 cited
  • 2004CAViaR2,210 cited
  • 1994Autoregressive Conditional Density Estimation1,580 cited
  • 2003Forecasting Volatility in Financial Markets: A Review1,373 cited
  • 1997An Overview of Value at Risk1,320 cited
  • 1990Stationarity and Persistence in the GARCH(1,1) Model1,093 cited
  • 1999Autoregressive Conditional Skewness761 cited
  • 2015RiskMetrics Technical Document661 cited
  • 2005Value-at-Risk Prediction: A Comparison of Alternative Strategies635 cited

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Cited by

  • 2016Conditional Value-at-Risk: Semiparametric estimation and inference28 cited