SZodixStudyAcademic Library
ShelvesOpen access
Study · an open academic library·Metadata from OpenAlex (CC0)·Shelves·OpenAlex metadata, de-duplicated
Dynamic quantile models
13 references·15 citing·47 second hop
Dynamic quantile models (2008)Dynamic quantile modelsTests of Conditional Predictive Ability (2006)Tests of Conditional Predicti…Evaluation and Combination of Conditional Quantile Forecasts (2005)Evaluation and Combination of…Unit Root Quantile Autoregression Inference (2004)Unit Root Quantile Autoregres…CAViaR (2004)CAViaRFinancial Econometrics (2002)Financial EconometricsA Class of Distortion Operators for Pricing Financial and Insurance Risks (2000)A Class of Distortion Operato…CAViaR: Conditional Autoregressive Value at Risk by Regression Quantiles (1999)CAViaR: Conditional Autoregre…Ordering risks: Expected utility theory versus Yaari's dual theory of risk (1998)Ordering risks: Expected util…Evaluating Interval Forecasts (1998)Evaluating Interval ForecastsAutoregressive Conditional Duration: A New Model for Irregularly Spaced Transaction Data (1998)Autoregressive Conditional Du…Value at risk: the new benchmark for controlling market risk (1996)Value at risk: the new benchm…Conditional Quantile Estimation and Inference for Arch Models (1996)Conditional Quantile Estimati…Interval forecasting (1989)Interval forecastingNetwork-based estimation of systematic and idiosyncratic contagion: The case of Chinese financial institutions (2019)Network-based estimation of s…Quantile autoregression neural network model with applications to evaluating value at risk (2016)Quantile autoregression neura…Nonlinear panel data estimation via quantile regressions (2016)Nonlinear panel data estimati…Conditional quantiles and tail dependence (2015)Conditional quantiles and tai…Bayesian Tail Risk Interdependence Using Quantile Regression (2015)Bayesian Tail Risk Interdepen…Conditional Skewness with Quantile Regression Models: SoFiE Presidential Address and a Tribute to Hal White (2014)Conditional Skewness with Qua…A dynamic autoregressive expectile for time-invariant portfolio protection strategies (2014)A dynamic autoregressive expe…Pitfalls in backtesting Historical Simulation VaR models (2012)Pitfalls in backtesting Histo…Optimally Harnessing Inter-Day and Intra-Day Information for Daily Value-at-Risk Prediction (2012)Optimally Harnessing Inter-Da…Kernel density estimation for time series data (2011)Kernel density estimation for…Conditional Skewness of Stock Market Returns in Developed and Emerging Markets and its Economic Fundamentals (2011)Conditional Skewness of Stock…Robust Backtesting Tests for Value-at-risk Models (2010)Robust Backtesting Tests for …L-performance with an application to hedge funds (2009)L-performance with an applica…CAViaR-based forecast for oil price risk (2009)CAViaR-based forecast for oil…Bayesian causal effects in quantiles: Accounting for heteroscedasticity (2009)Bayesian causal effects in qu…Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Generalized autoregressive conditional heteroskedasticity (1986)Comparing Predictive Accuracy (1994)Answering the Skeptics: Yes, Standard Volatility Models do Provide Accurate Forecasts (1998)CoVaR (2016)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)ARCH modeling in finance (1992)The quantilogram: With an application to evaluating directional predictability (2007)Evaluating Value-at-Risk Models via Quantile Regression (2010)Distribution of the Estimators for Autoregressive Time Series with a Unit Root (1979)Trends and random walks in macroeconmic time series (1982)Statistical Inference in Instrumental Variables Regression with I(1) Processes (1990)Quantile cointegration in the autoregressive distributed-lag modeling framework (2015)Revisiting the role of renewable and non-renewable energy consumption on Turkey’s ecological footprint: Evidence from Quantile ARDL approach (2020)The role of green finance in reducing CO2 emissions: An empirical analysis (2021)Continuous Auctions and Insider Trading (1985)Forecasting Volatility in Financial Markets: A Review (2003)Analysis of Financial Time Series (2006)GENERALIZED AUTOREGRESSIVE SCORE MODELS WITH APPLICATIONS (2012)An Intertemporal Capital Asset Pricing Model (1973)The Pricing of Options and Corporate Liabilities (1973)The valuation of options for alternative stochastic processes (1976)Pricing Death: Frameworks for the Valuation and Securitization of Mortality Risk (2006)Risk measures and comonotonicity (2006)Constructing Uncertainty Sets for Robust Linear Optimization (2009)Risk Aversion in the Small and in the Large (1964)Equilibrium in Competitive Insurance Markets: An Essay on the Economics of Imperfect Information (1976)Empirical Estimation of Risk Measures and Related Quantities (2003)Stochastic orders and risk measures: Consistency and bounds (2005)Static portfolio choice under cumulative prospect theory (2010)Theory of games and economic behavior (2019)Risk, Return, and Equilibrium: Empirical Tests (1973)Macroeconomic Forecasting Using Diffusion Indexes (2002)A Test for Superior Predictive Ability (2005)Large Bayesian vector auto regressions (2009)Volatility forecast comparison using imperfect volatility proxies (2010)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)The Combination of Forecasts (1969)Forecasting volatility: A reality check based on option pricing, utility function, value-at-risk, and predictive likelihood (2004)Evaluating predictive performance of value-at-risk models in emerging markets: a reality check (2006)Forecasting Value at Risk and Expected Shortfall Using a Semiparametric Approach Based on the Asymmetric Laplace Distribution (2017)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)
this work references cited by second hop

References

  • 1998Evaluating Interval Forecasts2,689 cited
  • 2004CAViaR2,210 cited
  • 1998Autoregressive Conditional Duration: A New Model for Irregularly Spaced Transaction Data1,817 cited
  • 2006Tests of Conditional Predictive Ability1,667 cited
  • 1996Value at risk: the new benchmark for controlling market risk1,018 cited
  • 2000A Class of Distortion Operators for Pricing Financial and Insurance Risks650 cited
  • 2004Unit Root Quantile Autoregression Inference514 cited
  • 2005Evaluation and Combination of Conditional Quantile Forecasts279 cited
  • 1996Conditional Quantile Estimation and Inference for Arch Models264 cited
  • 1998Ordering risks: Expected utility theory versus Yaari's dual theory of risk170 cited
  • 1999CAViaR: Conditional Autoregressive Value at Risk by Regression Quantiles166 cited
  • 2002Financial Econometrics142 cited
  • 1989Interval forecasting118 cited

Cited by

  • 2016Nonlinear panel data estimation via quantile regressions100 cited
  • 2015Conditional quantiles and tail dependence74 cited
  • 2011Kernel density estimation for time series data

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

63 cited
  • 2016Quantile autoregression neural network model with applications to evaluating value at risk56 cited
  • 2012Pitfalls in backtesting Historical Simulation VaR models56 cited
  • 2010Robust Backtesting Tests for Value-at-risk Models53 cited
  • 2009CAViaR-based forecast for oil price risk51 cited
  • 2012Optimally Harnessing Inter-Day and Intra-Day Information for Daily Value-at-Risk Prediction48 cited
  • 2015Bayesian Tail Risk Interdependence Using Quantile Regression46 cited
  • 2011Conditional Skewness of Stock Market Returns in Developed and Emerging Markets and its Economic Fundamentals45 cited
  • 2014A dynamic autoregressive expectile for time-invariant portfolio protection strategies44 cited
  • 2019Network-based estimation of systematic and idiosyncratic contagion: The case of Chinese financial institutions38 cited
  • 2009L-performance with an application to hedge funds37 cited
  • 2009Bayesian causal effects in quantiles: Accounting for heteroscedasticity34 cited
  • 2014Conditional Skewness with Quantile Regression Models: SoFiE Presidential Address and a Tribute to Hal White27 cited