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A conditional-SGT-VaR approach with alternative GARCH models
16 references·16 citing·22 second hopsampled
A conditional-SGT-VaR approach with alternative GARCH models (2006)A conditional-SGT-VaR approach with alter…CAViaR (2004)CAViaROptimization of conditional value-at-risk (2000)Optimization of conditional v…Coherent Measures of Risk (1999)Coherent Measures of RiskEvaluating Interval Forecasts (1998)Evaluating Interval ForecastsTechniques for Verifying the Accuracy of Risk Measurement Models (1995)Techniques for Verifying the …Threshold heteroskedastic models (1994)Threshold heteroskedastic mod…On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)On the Relation between the E…Measuring and Testing the Impact of News on Volatility (1993)Measuring and Testing the Imp…A long memory property of stock market returns and a new model (1993)A long memory property of sto…ARCH modeling in finance (1992)ARCH modeling in financeConditional Heteroskedasticity in Asset Returns: A New Approach (1991)Conditional Heteroskedasticit…Why Does Stock Market Volatility Change Over Time? (1989)Why Does Stock Market Volatil…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…A Theory of the Term Structure of Interest Rates (1985)A Theory of the Term Structur…Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Autoregressive Conditional He…Monitoring Value-at-Risk and Expected Shortfall Forecasts (2022)Monitoring Value-at-Risk and …Implications of clean energy, oil and emissions pricing for the GCC energy sector stock (2022)Implications of clean energy,…Information-Theoretic Measures and Modeling Stock Market Volatility: A Comparative Approach (2021)Information-Theoretic Measure…Frontiers in VaR forecasting and backtesting (2016)Frontiers in VaR forecasting …The frequency of regime switching in financial market volatility (2015)The frequency of regime switc…Tail risk and systemic risk of US and Eurozone financial institutions in the wake of the global financial crisis (2015)Tail risk and systemic risk o…Forecasting the return distribution using high-frequency volatility measures (2013)Forecasting the return distri…Parametric Value-at-Risk analysis: Evidence from stock indices (2012)Parametric Value-at-Risk anal…Alternative statistical distributions for estimating value-at-risk: theory and evidence (2011)Alternative statistical distr…Skewness and leptokurtosis in GARCH-typed VaR estimation of petroleum and metal asset returns (2010)Skewness and leptokurtosis in…The role of autoregressive conditional skewness and kurtosis in the estimation of conditional VaR (2007)The role of autoregressive co…Backtesting VaR models:a two-stage procedure (2007)Backtesting VaR models:a two-…A Generalized Extreme Value Approach to Financial Risk Measurement (2007)A Generalized Extreme Value A…Cyclicality in catastrophic and operational risk measurements (2006)Cyclicality in catastrophic a…A robust VaR model under different time periods and weighting schemes (2006)A robust VaR model under diff…Cyclicality in Catastrophic and Operational Risk Measurements (2004)Cyclicality in Catastrophic a…The Pricing of Options and Corporate Liabilities (1973)Multivariate Simultaneous Generalized ARCH (1995)Dynamic Conditional Correlation (2002)Time Series Analysis: Forecasting and Control (1977)Time Series Analysis: Forecasting and Control (1977)Optimum consumption and portfolio rules in a continuous-time model (1971)An equilibrium characterization of the term structure (1977)Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation (1992)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)Dynamic Asset Pricing Theory. (1993)Theory of rational option pricing (2005)Do Stock Prices Move Too Much to be Justified by Subsequent Changes in Dividends? (1980)Expected stock returns and volatility (1987)Conditional value-at-risk for general loss distributions (2002)Distributionally Robust Optimization Under Moment Uncertainty with Application to Data-Driven Problems (2010)Data-Driven Distributionally Robust Optimization Using the Wasserstein Metric: Performance Guarantees and Tractable Reformulations (2015)Econometric Analysis of Cross Section and Panel Data (2001)Risks for the Long Run: A Potential Resolution of Asset Pricing Puzzles (2000)Modeling and Forecasting Realized Volatility (2003)Theory and Applications of Robust Optimization (2010)The Cross‐Section of Volatility and Expected Returns (2006)Introductory Econometrics for Finance (2008)
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References

  • 1986Generalized autoregressive conditional heteroskedasticity22,329 cited
  • 1982Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation20,684 cited
  • 1991Conditional Heteroskedasticity in Asset Returns: A New Approach10,268 cited
  • 1993On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks9,041 cited
  • 1999Coherent Measures of Risk8,849 cited
  • 1985A Theory of the Term Structure of Interest Rates8,333 cited
  • 2000Optimization of conditional value-at-risk6,711 cited
  • 1992ARCH modeling in finance4,288 cited
  • 1993Measuring and Testing the Impact of News on Volatility3,692 cited
  • 1989Why Does Stock Market Volatility Change Over Time?3,433 cited
  • 1993A long memory property of stock market returns and a new model3,257 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

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Cited by

  • 2016Frontiers in VaR forecasting and backtesting126 cited
  • 2007The role of autoregressive conditional skewness and kurtosis in the estimation of conditional VaR123 cited
  • 2006Cyclicality in catastrophic and operational risk measurements118 cited
  • 2010Skewness and leptokurtosis in GARCH-typed VaR estimation of petroleum and metal asset returns67 cited
  • 2007A Generalized Extreme Value Approach to Financial Risk Measurement66 cited
  • 2006A robust VaR model under different time periods and weighting schemes63 cited
  • 2022Implications of clean energy, oil and emissions pricing for the GCC energy sector stock60 cited
  • 2015Tail risk and systemic risk of US and Eurozone financial institutions in the wake of the global financial crisis51 cited
  • 2012Parametric Value-at-Risk analysis: Evidence from stock indices48 cited
  • 2007Backtesting VaR models:a two-stage procedure39 cited
  • 2022Monitoring Value-at-Risk and Expected Shortfall Forecasts35 cited
  • 2004Cyclicality in Catastrophic and Operational Risk Measurements34 cited
  • 2011Alternative statistical distributions for estimating value-at-risk: theory and evidence33 cited
  • 2013Forecasting the return distribution using high-frequency volatility measures30 cited
  • 2021Information-Theoretic Measures and Modeling Stock Market Volatility: A Comparative Approach28 cited
  • 2015The frequency of regime switching in financial market volatility27 cited