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ChapterValue–at–Risk Models

Peter Christoffersen2009

Chapter2009

Value–at–Risk Models

Peter Christoffersen

106 citations·0/0 files stored·Springer eBooks

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Financial Risk and Volatility Modeling Stochastic processes and financial applications Risk and Portfolio Optimization

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References

1986Generalized autoregressive conditional heteroskedasticity 1982Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation 2002Dynamic Conditional Correlation 1993Measuring and Testing the Impact of News on Volatility 2001Extreme Correlation of International Equity Markets 1987A Conditionally Heteroskedastic Time Series Model for Speculative Prices and Rates of Return 2000Value At Risk: The New Benchmark for Managing Financial Risk 2004CAViaR

Cited by

2011Merits and Drawbacks of Variance Targeting in GARCH Models 2013Comparing univariate and multivariate models to forecast portfolio Value-at-Risk 2014Realized volatility models and alternative Value-at-Risk prediction strategies 2014The role of the information set for forecasting—with applications to risk management 2013Assessing dependence between financial market indexes using conditional time-varying copulas: applications to Value at Risk (VaR)

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2013Financial Risk Measurement for Financial Risk Managementchapter · 20 shared references 2006Chapter 15 Volatility and Correlation Forecastingchapter · 18 shared references 2005Volatility Forecastingreport · 18 shared references 2012Financial Risk Measurement for Financial Risk Managementreport · 18 shared references 2008Glossary to ARCH (GARCH)preprint · 17 shared references 2006VOLATILITY AND CORRELATION FORECASTINGarticle · 16 shared references

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Year2009

Typechapter

Published2009-01-01

VenueSpringer eBooks

Languageen

Citations106

Files0 public / 0

ShelfFinancial Risk and Volatility Modeling

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doi10.1007/978-3-540-71297-8_33

openalex_workW1592935674

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2015

Backtesting Expected Shortfall: Accounting for Tail Risk

2013Forecasting VaR using analytic higher moments for GARCH processes

2019Do structural breaks in volatility cause spurious volatility transmission?