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Comparing Univariate and Multivariate Models to Forecast Portfolio Value-at-Risk
16 references·1 citing·25 second hop
Comparing Univariate and Multivariate Models to Forecast Portfolio Value-at-Risk (2012)Comparing Univariate and Multivariate Mod…Optimal Versus Naive Diversification: How Inefficient is the 1/ N Portfolio Strategy? (2007)Optimal Versus Naive Diversif…Tests of Conditional Predictive Ability (2006)Tests of Conditional Predicti…Asymmetric Dynamics in the Correlations of Global Equity and Bond Returns (2006)Asymmetric Dynamics in the Co…CAViaR (2004)CAViaRDynamic Conditional Correlation (2002)Dynamic Conditional Correlati…A Multivariate Generalized Autoregressive Conditional Heteroscedasticity Model With Time-Varying Correlations (2002)A Multivariate Generalized Au…Evaluating Interval Forecasts (1998)Evaluating Interval ForecastsTechniques for Verifying the Accuracy of Risk Measurement Models (1995)Techniques for Verifying the …Multivariate Stochastic Variance Models (1994)Multivariate Stochastic Varia…On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)On the Relation between the E…A long memory property of stock market returns and a new model (1993)A long memory property of sto…Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Conditional Heteroskedasticit…Modelling the Coherence in Short-Run Nominal Exchange Rates: A Multivariate Generalized Arch Model (1990)Modelling the Coherence in Sh…A Capital Asset Pricing Model with Time-Varying Covariances (1988)A Capital Asset Pricing Model…Generalized autoregressive conditional heteroskedasticity (1986)Generalized autoregressive co…Multivariate GARCH models: a surveyMultivariate GARCH models: a …Testing for Structural Breaks in Correlations: Does it Improve Value-at-Risk Forecasting? (2013)Testing for Structural Breaks…ARCH modeling in finance (1992)Multivariate Simultaneous Generalized ARCH (1995)Modeling and Forecasting Realized Volatility (2003)Introductory Econometrics for Finance (2008)Better to give than to receive: Predictive directional measurement of volatility spillovers (2011)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)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)Time Series Analysis: Forecasting and Control (1977)Time Series Analysis: Forecasting and Control (1977)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)A Simple Approximate Long-Memory Model of Realized Volatility (2008)PORTFOLIO SELECTION* (1952)Common risk factors in the returns on stocks and bonds (1993)On Persistence in Mutual Fund Performance (1997)Robust performance hypothesis testing with the Sharpe ratio (2008)A Generalized Approach to Portfolio Optimization: Improving Performance by Constraining Portfolio Norms (2009)Investor Sentiment Aligned: A Powerful Predictor of Stock Returns (2014)Risks for the Long Run: A Potential Resolution of Asset Pricing Puzzles (2000)The Cross‐Section of Volatility and Expected Returns (2006)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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2002
A Multivariate Generalized Autoregressive Conditional Heteroscedasticity Model With Time-Varying Correlations
1,198 cited

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  • 2013Testing for Structural Breaks in Correlations: Does it Improve Value-at-Risk Forecasting?24 cited