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Empirical Study of Value-at-Risk and Expected Shortfall Models With Heavy Tails
16 references·2 citing·29 second hop
Empirical Study of Value-at-Risk and Expected Shortfall Models With Heavy Tails (2005)Empirical Study of Value-at-Risk and Expe…On the coherence of expected shortfall (2002)On the coherence of expected …How Accurate Are Value‐at‐Risk Models at Commercial Banks? (2002)How Accurate Are Value‐at‐Ris…Convex measures of risk and trading constraints (2002)Convex measures of risk and t…Value-at-Risk-Based Risk Management: Optimal Policies and Asset Prices (2001)Value-at-Risk-Based Risk Mana…An Introduction to Statistical Modeling of Extreme Values (2001)An Introduction to Statistica…Stable Paretian Models in Finance (2000)Stable Paretian Models in Fin…Estimation of tail-related risk measures for heteroscedastic financial time series: an extreme value approach (2000)Estimation of tail-related ri…Coherent Measures of Risk (1999)Coherent Measures of RiskThe variation of certain speculative prices (1997)The variation of certain spec…Modelling Extremal Events (1997)Modelling Extremal EventsFractals and Scaling in Finance (1997)Fractals and Scaling in Finan…Estimating the Tails of Loss Severity Distributions Using Extreme Value Theory (1997)Estimating the Tails of Loss …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…Modelling of extremal events in insurance and finance (1994)Modelling of extremal events …The Variation of Certain Speculative Prices (1963)The Variation of Certain Spec…Carbon credit futures as an emerging asset: Hedging, diversification and downside risks (2022)Carbon credit futures as an e…Multiple-period market risk prediction under long memory: when VaR is higher than expected (2014)Multiple-period market risk p…Extreme Values, Regular Variation and Point Processes (1987)Correlation and Dependence in Risk Management: Properties and Pitfalls (2002)Top Incomes in the Long Run of History (2011)Optimization of conditional value-at-risk (2000)Conditional value-at-risk for general loss distributions (2002)Spectral measures of risk: A coherent representation of subjective risk aversion (2002)Lectures on Stochastic Programming: Modeling and Theory (2009)ARCH modeling in finance (1992)Value-at-Risk Prediction: A Comparison of Alternative Strategies (2005)Tails, Fears, and Risk Premia (2011)Quantile Connectedness: Modeling Tail Behavior in the Topology of Financial Networks (2022)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)Modeling and Forecasting Realized Volatility (2001)Portfolio optimization with conditional value-at-risk objective and constraints (2001)Idea Generation and the Quality of the Best Idea (2010)Quantitative Risk Management (2011)Modeling and Forecasting Realized Volatility (2003)Theory and Applications of Robust Optimization (2010)Putting order in risk measures (2002)Distributionally Robust Optimization and Its Tractable Approximations (2010)Distributionally Robust Convex Optimization (2014)THE PERFORMANCE OF MUTUAL FUNDS IN THE PERIOD 1945–1964 (1968)Option pricing when underlying stock returns are discontinuous (1976)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Empirical properties of asset returns: stylized facts and statistical issues (2001)Extreme Correlation of International Equity Markets (2001)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)
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References

  • 1999Coherent Measures of Risk8,849 cited
  • 2001An Introduction to Statistical Modeling of Extreme Values7,338 cited
  • 1963The Variation of Certain Speculative Prices4,851 cited
  • 1997The variation of certain speculative prices4,468 cited
  • 1997Modelling Extremal Events4,397 cited
  • 1994Modelling of extremal events in insurance and finance3,519 cited
  • 2000Estimation of tail-related risk measures for heteroscedastic financial time series: an extreme value approach1,732 cited
  • 2002On the coherence of expected shortfall1,596 cited
  • 2002Convex measures of risk and trading constraints1,452 cited
  • 1997An Overview of Value at Risk1,320 cited
  • 1997Fractals and Scaling in Finance1,299 cited
  • 1996Value at risk: the new benchmark for controlling market risk1,018 cited
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  • 2000Stable Paretian Models in Finance718 cited
  • 1997Estimating the Tails of Loss Severity Distributions Using Extreme Value Theory543 cited
  • 2002How Accurate Are Value‐at‐Risk Models at Commercial Banks?

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Cited by

  • 2022Carbon credit futures as an emerging asset: Hedging, diversification and downside risks73 cited
  • 2014Multiple-period market risk prediction under long memory: when VaR is higher than expected26 cited