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A robust VaR model under different time periods and weighting schemes · Study

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A robust VaR model under different time periods and weighting schemes

Timotheos Angelidis, Alexandros Benos, Stavros Antonios Degiannakis

2006-12-28articleReview of Quantitative Finance and Accounting63 citationsgreen

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Financial Risk and Volatility Modeling Financial Markets and Investment Strategies Risk and Portfolio Optimization

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References

1986Generalized autoregressive conditional heteroskedasticity

1982Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation

1991Conditional Heteroskedasticity in Asset Returns: A New Approach

1994Comparing Predictive Accuracy

1995Comparing Predictive Accuracy

1989Why Does Stock Market Volatility Change Over Time?

1993A long memory property of stock market returns and a new model

1998Evaluating Interval Forecasts

Cited by

2011Effectiveness of copula-extreme value theory in estimating value-at-risk: empirical evidence from Asian emerging markets

2007Value relevance of value-at-risk disclosure

Details

Year2006

Typearticle

VenueReview of Quantitative Finance and Accounting

Languageen

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Identifiers

doi10.1007/s11156-006-0010-y

openalex_workW2010598788

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