Citation map · Study

SZodixStudyAcademic Library

Shelves Open access

Study · an open academic library·Metadata from OpenAlex (CC0)·Shelves·OpenAlex metadata, de-duplicated

Value–at–Risk Models

16 references·12 citing·34 second hop

FromToDepth

this work references cited by second hop

References

1986Generalized autoregressive conditional heteroskedasticity22,329 cited
1982Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation20,684 cited
2002Dynamic Conditional Correlation7,126 cited
1993Measuring and Testing the Impact of News on Volatility3,692 cited
2001Extreme Correlation of International Equity Markets2,608 cited
1987A Conditionally Heteroskedastic Time Series Model for Speculative Prices and Rates of Return2,569 cited
2000Value At Risk: The New Benchmark for Managing Financial Risk2,478 cited
2004CAViaR2,210 cited
2006MODELLING ASYMMETRIC EXCHANGE RATE DEPENDENCE*2,119 cited
n.d.Multivariate GARCH models: a survey2,055 cited
2006Asymmetric Dynamics in the Correlations of Global Equity and Bond Returns1,775 cited
2000Estimation of tail-related risk measures for heteroscedastic financial time series: an extreme value approach1,732 cited
1994Autoregressive Conditional Density Estimation1,580 cited
2001Theoretical and Empirical properties of Dynamic Conditional Correlation Multivariate GARCH1,401 cited
1997An Overview of Value at Risk1,320 cited

Only edges whose both ends are imported exist here. Widen the year window, or show the whole map. Back to the work

2013Handbook of Economic Forecasting1,216 cited

Cited by

2011Merits and Drawbacks of Variance Targeting in GARCH Models92 cited
2013Comparing univariate and multivariate models to forecast portfolio Value-at-Risk83 cited
2014Realized volatility models and alternative Value-at-Risk prediction strategies64 cited
2014The role of the information set for forecasting—with applications to risk management59 cited
2013Assessing dependence between financial market indexes using conditional time-varying copulas: applications to Value at Risk (VaR)41 cited
2015Backtesting Expected Shortfall: Accounting for Tail Risk39 cited
2013Forecasting VaR using analytic higher moments for GARCH processes34 cited
2019Do structural breaks in volatility cause spurious volatility transmission?24 cited
2017Forecasting Value-at-Risk under Temporal and Portfolio Aggregation*23 cited
2018Estimating downside risk in stock returns under structural breaks21 cited
2017Modeling the multivariate dynamic dependence structure of commodity futures portfolios21 cited
2016Dynamic Econometric Models14 cited