SZodixStudyAcademic Library
ShelvesOpen access
Study · an open academic library·Metadata from OpenAlex (CC0)·Shelves·OpenAlex metadata, de-duplicated
Skewness and leptokurtosis in GARCH-typed VaR estimation of petroleum and metal asset returns
16 references·7 citing·36 second hop
Skewness and leptokurtosis in GARCH-typed VaR estimation of petroleum and metal asset returns (2010)Skewness and leptokurtosis in GARCH-typed…A Test for Superior Predictive Ability (2005)A Test for Superior Predictiv…A forecast comparison of volatility models: does anything beat a GARCH(1,1)? (2005)A forecast comparison of vola…CAViaR (2004)CAViaROil price shocks and stock market activity (1999)Oil price shocks and stock ma…Nonparametric Estimation of State‐Price Densities Implicit in Financial Asset Prices (1998)Nonparametric Estimation of S…Evaluating Interval Forecasts (1998)Evaluating Interval ForecastsBeyond Value at Risk: The New Science of Risk Management (1998)Beyond Value at Risk: The New…Value at risk: the new benchmark for controlling market risk (1996)Value at risk: the new benchm…Oil price volatility and the macroeconomy (1996)Oil price volatility and the …Techniques for Verifying the Accuracy of Risk Measurement Models (1995)Techniques for Verifying the …Oil Shocks and the Macroeconomy: The Role of Price Variability* (1995)Oil Shocks and the Macroecono…Chapter 49 Arch models (1994)Chapter 49 Arch modelsAutoregressive Conditional Density Estimation (1994)Autoregressive Conditional De…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…Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Autoregressive Conditional He…Crude oil price forecasting based on a novel hybrid long memory GARCH-M and wavelet analysis model (2020)Crude oil price forecasting b…Value-at-risk methodologies for effective energy portfolio risk management (2019)Value-at-risk methodologies f…Modeling and forecasting extreme commodity prices: A Markov-Switching based extreme value model (2017)Modeling and forecasting extr…The frequency of regime switching in financial market volatility (2015)The frequency of regime switc…Downside/upside price spillovers between precious metals: A vine copula approach (2015)Downside/upside price spillov…Non-linear volatility dynamics and risk management of precious metals (2014)Non-linear volatility dynamic…The Role of High‐Frequency Intra‐daily Data, Daily Range and Implied Volatility in Multi‐period Value‐at‐Risk Forecasting (2013)The Role of High‐Frequency In…Comparing Predictive Accuracy (1994)Answering the Skeptics: Yes, Standard Volatility Models do Provide Accurate Forecasts (1998)CoVaR (2016)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Simple Technical Trading Rules and the Stochastic Properties of Stock Returns (1992)Fractionally integrated generalized autoregressive conditional heteroskedasticity (1996)Stochastic Volatility: Likelihood Inference and Comparison with ARCH Models (1998)Time Series Analysis: Forecasting and Control (1977)Time Series Analysis: Forecasting and Control (1977)On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)Multivariate Simultaneous Generalized ARCH (1995)Testing the equality of prediction mean squared errors (1997)Tests of Conditional Predictive Ability (2006)Forecasting the Equity Risk Premium: The Role of Technical Indicators (2014)Forecasting: theory and practice (2022)Estimating Time Varying Risk Premia in the Term Structure: The Arch-M Model (1987)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Modeling and pricing long memory in stock market volatility (1996)The econometrics of financial markets (1996)GENERALIZED AUTOREGRESSIVE SCORE MODELS WITH APPLICATIONS (2012)Distribution of the Estimators for Autoregressive Time Series with a Unit Root (1979)Testing for a Unit Root in Time Series Regression (1988)Oil price shocks and stock markets in the U.S. and 13 European countries (2008)THE IMPACT OF OIL PRICE SHOCKS ON THE U.S. STOCK MARKET* (2009)Oil prices, US stock return, and the dependence between their quantiles (2015)Why Does Stock Market Volatility Change Over Time? (1989)Measuring and Testing the Impact of News on Volatility (1993)GARCH 101: The Use of ARCH/GARCH Models in Applied Econometrics (2001)MODELLING ASYMMETRIC EXCHANGE RATE DEPENDENCE* (2006)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)Is All That Talk Just Noise? The Information Content of Internet Stock Message Boards (2004)Asymmetric Dynamics in the Correlations of Global Equity and Bond Returns (2006)Volatility forecast comparison using imperfect volatility proxies (2010)
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
  • 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
  • 2004CAViaR2,210 cited
  • 1999Oil price shocks and stock market activity1,798 cited
  • 2005A forecast comparison of volatility models: does anything beat a GARCH(1,1)?1,783 cited
  • 1994Autoregressive Conditional Density Estimation1,580 cited
  • 2005A Test for Superior Predictive Ability1,227 cited
  • 1998Nonparametric Estimation of State‐Price Densities Implicit in Financial Asset Prices1,060 cited
  • 1996Value at risk: the new benchmark for controlling market risk1,018 cited
  • 1995Oil Shocks and the Macroeconomy: The Role of Price Variability*914 cited
  • 1994Chapter 49 Arch models880 cited
  • 1996Oil price volatility and the macroeconomy765 cited
  • 1998

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

Beyond Value at Risk: The New Science of Risk Management
489 cited

Cited by

  • 2020Crude oil price forecasting based on a novel hybrid long memory GARCH-M and wavelet analysis model63 cited
  • 2015Downside/upside price spillovers between precious metals: A vine copula approach57 cited
  • 2013The Role of High‐Frequency Intra‐daily Data, Daily Range and Implied Volatility in Multi‐period Value‐at‐Risk Forecasting33 cited
  • 2017Modeling and forecasting extreme commodity prices: A Markov-Switching based extreme value model33 cited
  • 2019Value-at-risk methodologies for effective energy portfolio risk management31 cited
  • 2014Non-linear volatility dynamics and risk management of precious metals28 cited
  • 2015The frequency of regime switching in financial market volatility27 cited