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Market risk and the cattle feeding margin: An application of Value‐at‐Risk
16 references·3 citing·33 second hop
Market risk and the cattle feeding margin: An application of Value‐at‐Risk (2001)Market risk and the cattle feeding margin…The Econometrics of Financial Markets (2012)The Econometrics of Financial…Evaluation of Value-at-Risk Models Using Historical Data (2007)Evaluation of Value-at-Risk M…The Econometrics of Financial Markets (1997)The Econometrics of Financial…Forecasting Volatility (1997)Forecasting VolatilityBank Capital and Value at Risk (1997)Bank Capital and Value at RiskAn Overview of Value at Risk (1997)An Overview of Value at RiskValue at risk: the new benchmark for controlling market risk (1996)Value at risk: the new benchm…Risk measurement: an introduction to value at risk (1996)Risk measurement: an introduc…Risk 2 : Measuring the Risk in Value at Risk (1996)Risk 2 : Measuring the Risk i…Predicting Volatility in the Foreign Exchange Market (1995)Predicting Volatility in the …Implied Volatility (1995)Implied VolatilityARCH modeling in finance (1992)ARCH modeling in financeModelling the Coherence in Short-Run Nominal Exchange Rates: A Multivariate Generalized Arch Model (1990)Modelling the Coherence in Sh…Combining forecasts: A review and annotated bibliography (1990)Combining forecasts: A review…Combining forecasts: A review and annotated bibliography (1989)Combining forecasts: A review…The pricing of commodity contracts (1976)The pricing of commodity cont…Extreme Measures of Agricultural Financial Risk (2011)Extreme Measures of Agricultu…The forecasting performance of implied volatility from live cattle options contracts: Implications for agribusiness risk management (2004)The forecasting performance o…Using extreme value theory to estimate value‐at‐risk (2002)Using extreme value theory to…The Pricing of Options and Corporate Liabilities (1973)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Generalized autoregressive conditional heteroskedasticity (1986)On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)Multivariate Simultaneous Generalized ARCH (1995)Dynamic Conditional Correlation (2002)Expert judgment: Some necessary conditions and an example. (1974)The M3-Competition: results, conclusions and implications (2000)25 years of time series forecasting (2006)Chapter 4 Forecast Combinations (2006)Theory of Rational Option Pricing (1973)THE VALUE OF AN OPTION TO EXCHANGE ONE ASSET FOR ANOTHER (1978)Pricing Interest-Rate-Derivative Securities (1990)A Jump-Diffusion Model for Option Pricing (2002)Theory of rational option pricing (2005)A Capital Asset Pricing Model with Time-Varying Covariances (1988)Introductory Econometrics for Finance (2008)Distribution of the Estimators for Autoregressive Time Series with a Unit Root (1979)Forecasting S&P 100 volatility: the incremental information content of implied volatilities and high-frequency index returns (2001)Application of neural networks to an emerging financial market: forecasting and trading the Taiwan Stock Index (2002)Conditional volatility, skewness, and kurtosis: existence, persistence, and comovements (2003)The Combination of Forecasts (1969)The accuracy of extrapolation (time series) methods: Results of a forecasting competition (1982)Combination forecasts of output growth in a seven‐country data set (2004)Handbook of Economic Forecasting (2013)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)The Economic Costs of Conflict: A Case Study of the Basque Country (2003)Giving Content to Investor Sentiment: The Role of Media in the Stock Market (2007)Market Liquidity and Funding Liquidity (2008)Modeling and Forecasting Realized Volatility (2001)Predicting Excess Stock Returns Out of Sample: Can Anything Beat the Historical Average? (2007)
this work references cited by second hop

References

  • 2012The Econometrics of Financial Markets5,875 cited
  • 1997The Econometrics of Financial Markets5,007 cited
  • 1992ARCH modeling in finance4,288 cited
  • 1990Modelling the Coherence in Short-Run Nominal Exchange Rates: A Multivariate Generalized Arch Model3,519 cited
  • 1976The pricing of commodity contracts2,859 cited
  • 1989Combining forecasts: A review and annotated bibliography2,170 cited
  • 1990Combining forecasts: A review and annotated bibliography1,465 cited
  • 1997An Overview of Value at Risk1,320 cited
  • 1996Value at risk: the new benchmark for controlling market risk1,018 cited
  • 1995Predicting Volatility in the Foreign Exchange Market723 cited
  • 1996Risk 2 : Measuring the Risk in Value at Risk349 cited
  • 1997Forecasting Volatility283 cited
  • 2007Evaluation of Value-at-Risk Models Using Historical Data249 cited
  • 1996Risk measurement: an introduction to value at risk166 cited
  • 1995Implied Volatility139 cited
  • 1997Bank Capital and Value at Risk124 cited

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Cited by

  • 2002Using extreme value theory to estimate value‐at‐risk31 cited
  • 2011Extreme Measures of Agricultural Financial Risk30 cited
  • 2004The forecasting performance of implied volatility from live cattle options contracts: Implications for agribusiness risk management24 cited