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Value‐at‐risk under extreme values: the relative performance in MENA emerging stock markets
16 references·0 citing·34 second hop
Value‐at‐risk under extreme values: the relative performance in MENA emerging stock markets (2006)Value‐at‐risk under extreme values: the r…Analysis of Financial Time Series (2006)Analysis of Financial Time Se…Modelling daily Value-at-Risk using realized volatility and ARCH type models (2004)Modelling daily Value-at-Risk…Extreme value theory and Value-at-Risk: Relative performance in emerging markets (2004)Extreme value theory and Valu…World Development Indicators 2003 (2003)World Development Indicators …Analysis of Financial Time Series (2002)Analysis of Financial Time Se…Value at Risk (2001)Value at RiskAn Introduction to High-Frequency Finance (2001)An Introduction to High-Frequ…Estimation of tail-related risk measures for heteroscedastic financial time series: an extreme value approach (2000)Estimation of tail-related ri…A Practical Guide to Heavy Tails: Statistical Techniques and Applications (1999)A Practical Guide to Heavy Ta…Value at risk: the new benchmark for controlling market risk (1996)Value at risk: the new benchm…Techniques for Verifying the Accuracy of Risk Measurement Models (1995)Techniques for Verifying the …Testing the covariance stationarity of heavy-tailed time series: An overview of the theory with applications to several financial datasets (1994)Testing the covariance statio…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…Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Autoregressive Conditional He…Generalized autoregressive conditional heteroskedasticity (1986)On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)Risks for the Long Run: A Potential Resolution of Asset Pricing Puzzles (2000)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Modeling and Forecasting Realized Volatility (2003)A Simple Approximate Long-Memory Model of Realized Volatility (2008)Introductory Econometrics for Finance (2008)A Capital Asset Pricing Model with Time-Varying Covariances (1988)Dynamic Conditional Correlation (2002)Multivariate GARCH models: a surveyThe Pricing of Options and Corporate Liabilities (1973)Distribution of the Estimators for Autoregressive Time Series with a Unit Root (1979)Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)Modeling Ordered Choices (2010)THE EVOLUTION OF STOCK MARKET EFFICIENCY OVER TIME: A SURVEY OF THE EMPIRICAL LITERATURE (2010)ARCH modeling in finance (1992)Modelling of extremal events in insurance and finance (1994)Coherent Measures of Risk (1999)Value-at-Risk Prediction: A Comparison of Alternative Strategies (2005)Tails, Fears, and Risk Premia (2011)Quantile Connectedness: Modeling Tail Behavior in the Topology of Financial Networks (2022)Portfolio optimization with conditional value-at-risk objective and constraints (2001)Testing Density Forecasts, With Applications to Risk Management (2001)Value-at-Risk-Based Risk Management: Optimal Policies and Asset Prices (2001)Econometric Analysis of Cross Section and Panel Data (2001)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)Econometric Analysis of Realized Covariation: High Frequency Based Covariance, Regression, and Correlation in Financial Economics (2004)Microstructure noise in the continuous case: The pre-averaging approach (2008)Realized kernels in practice: trades and quotes (2009)Multivariate Stochastic Volatility: A Review (2006)Metal volatility in presence of oil and interest rate shocks (2007)Modelling Nonlinear Economic Time Series (2010)
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References

  • 1982Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation20,684 cited
  • 1991Conditional Heteroskedasticity in Asset Returns: A New Approach10,268 cited
  • 1990Modelling the Coherence in Short-Run Nominal Exchange Rates: A Multivariate Generalized Arch Model3,519 cited
  • 1993A long memory property of stock market returns and a new model3,257 cited
  • 1995Techniques for Verifying the Accuracy of Risk Measurement Models2,447 cited
  • 2006Analysis of Financial Time Series2,348 cited
  • 2000Estimation of tail-related risk measures for heteroscedastic financial time series: an extreme value approach1,732 cited
  • 1996Value at risk: the new benchmark for controlling market risk1,018 cited
  • 2001An Introduction to High-Frequency Finance956 cited
  • 2002Analysis of Financial Time Series902 cited
  • 2001Value at Risk846 cited
  • 1999A Practical Guide to Heavy Tails: Statistical Techniques and Applications639 cited
  • 1994Testing the covariance stationarity of heavy-tailed time series: An overview of the theory with applications to several financial datasets517 cited
  • 2003World Development Indicators 2003433 cited
  • 2004Extreme value theory and Value-at-Risk: Relative performance in emerging markets

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420 cited
  • 2004Modelling daily Value-at-Risk using realized volatility and ARCH type models399 cited
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