SZodixStudyAcademic Library
ShelvesOpen access
Study · an open academic library·Metadata from OpenAlex (CC0)·Shelves·OpenAlex metadata, de-duplicated
Asian Pacific Stock Market Volatility Modeling and Value at Risk Analysis
16 references·2 citing·30 second hop
Asian Pacific Stock Market Volatility Modeling and Value at Risk Analysis (2006)Asian Pacific Stock Market Volatility Mod…The Econometrics of Financial Markets (2012)The Econometrics of Financial…The Econometrics of Financial Markets (1997)The Econometrics of Financial…An 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 2 : Measuring the Risk in Value at Risk (1996)Risk 2 : Measuring the Risk i…Techniques for Verifying the Accuracy of Risk Measurement Models (1995)Techniques for Verifying the …Quasi-maximum likelihood estimation and inference in dynamic models with time-varying covariances (1992)Quasi-maximum likelihood esti…Seminonparametric Estimation of Conditionally Constrained Heterogeneous Processes: Asset Pricing Applications (1989)Seminonparametric Estimation …Estimating Time Varying Risk Premia in the Term Structure: The Arch-M Model (1987)Estimating Time Varying Risk …Modeling The persistence Of Conditional Variances: A Comment (1986)Modeling The persistence Of C…Generalized autoregressive conditional heteroskedasticity (1986)Generalized autoregressive co…Asymptotic Theory for ARCH Models: Estimation and Testing (1986)Asymptotic Theory for ARCH Mo…Conditional variance and the risk premium in the foreign exchange market (1985)Conditional variance and the …Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Autoregressive Conditional He…A Comparison of the Stable and Student Distributions as Statistical Models for Stock Prices (1974)A Comparison of the Stable an…The Behavior of Stock-Market Prices (1965)The Behavior of Stock-Market …Market Risk of Developed and Emerging Countries During the Global Financial Crisis (2013)Market Risk of Developed and …Value-at-risk in US stock indices with skewed generalized error distribution (2008)Value-at-risk in US stock ind…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)The Volatility of Long-Term Interest Rates and Expectations Models of the Term Structure (1979)Stock Returns and the Term Structure (1985)Simple Technical Trading Rules and the Stochastic Properties of Stock Returns (1992)Threshold heteroskedastic models (1994)The variation of certain speculative prices (1997)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)ARCH modeling in finance (1992)DISTRIBUTION OF INCOMES OF CORPORATIONS AMONG DIVIDENDS, RETAINED EARNINGS AND TAXES (1956)Portfolio Selection: Efficient Diversification of Investments (1959)Dividend Policy, Growth, and the Valuation of Shares (1961)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Risk, Return, and Equilibrium: Empirical Tests (1973)The Pricing of Options and Corporate Liabilities (1973)Modeling and Forecasting Realized Volatility (2001)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)Econometric Analysis of Cross Section and Panel Data (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)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)Predicting Excess Stock Returns Out of Sample: Can Anything Beat the Historical Average? (2007)Introductory Econometrics for Finance (2008)
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
  • 1965The Behavior of Stock-Market Prices8,707 cited
  • 2012The Econometrics of Financial Markets5,875 cited
  • 1997The Econometrics of Financial Markets5,007 cited
  • 1992Quasi-maximum likelihood estimation and inference in dynamic models with time-varying covariances3,220 cited
  • 1987Estimating Time Varying Risk Premia in the Term Structure: The Arch-M Model2,469 cited
  • 1995Techniques for Verifying the Accuracy of Risk Measurement Models2,447 cited
  • 1997An Overview of Value at Risk1,320 cited
  • 1996Value at risk: the new benchmark for controlling market risk1,018 cited
  • 1974A Comparison of the Stable and Student Distributions as Statistical Models for Stock Prices903 cited
  • 1986Asymptotic Theory for ARCH Models: Estimation and Testing520 cited
  • 1985Conditional variance and the risk premium in the foreign exchange market485 cited
  • 1989Seminonparametric Estimation of Conditionally Constrained Heterogeneous Processes: Asset Pricing Applications440 cited
  • 1986Modeling The persistence Of Conditional Variances: A Comment

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

437 cited
  • 1996Risk 2 : Measuring the Risk in Value at Risk349 cited
  • Cited by

    • 2008Value-at-risk in US stock indices with skewed generalized error distribution26 cited
    • 2013Market Risk of Developed and Emerging Countries During the Global Financial Crisis26 cited