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Modelling and forecasting value at risk and expected shortfall for GCC stock markets: Do long memory, structural breaks, asymmetry, and fat-tails matter?
16 references·1 citing·36 second hop
Modelling and forecasting value at risk and expected shortfall for GCC stock markets: Do long memory, structural breaks, asymmetry, and fat-tails matter? (2014)Modelling and forecasting value at risk a…A Test for Superior Predictive Ability (2005)A Test for Superior Predictiv…CAViaR (2004)CAViaROn the coherence of expected shortfall (2002)On the coherence of expected …Fractionally integrated generalized autoregressive conditional heteroskedasticity (1996)Fractionally integrated gener…Techniques for Verifying the Accuracy of Risk Measurement Models (1995)Techniques for Verifying the …Log-Periodogram Regression of Time Series with Long Range Dependence (1995)Log-Periodogram Regression of…Use of Cumulative Sums of Squares for Retrospective Detection of Changes of Variance (1994)Use of Cumulative Sums of Squ…A long memory property of stock market returns and a new model (1993)A long memory property of sto…Long-Term Memory in Stock Market Prices (1991)Long-Term Memory in Stock Mar…Persistence in Variance, Structural Change, and the GARCH Model (1990)Persistence in Variance, Stru…Long-term Memory in Stock Market Prices (1989)Long-term Memory in Stock Mar…Testing for a Unit Root in Time Series Regression (1988)Testing for a Unit Root in Ti…THE ESTIMATION AND APPLICATION OF LONG MEMORY TIME SERIES MODELS (1983)THE ESTIMATION AND APPLICATIO…Fractional Differencing (1981)Fractional DifferencingAN INTRODUCTION TO LONG‐MEMORY TIME SERIES MODELS AND FRACTIONAL DIFFERENCING (1980)AN INTRODUCTION TO LONG‐MEMOR…Distribution of the Estimators for Autoregressive Time Series with a Unit Root (1979)Distribution of the Estimator…Long range dependence in an emerging stock market’s sectors: volatility modelling and VaR forecasting (2017)Long range dependence in an e…Multivariate GARCH models: a surveyAutoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Generalized autoregressive conditional heteroskedasticity (1986)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)The distribution of realized stock return volatility (2001)Roughing It Up: Including Jump Components in the Measurement, Modeling, and Forecasting of Return Volatility (2007)Fractional Brownian Motions, Fractional Noises and Applications (1968)Modeling and Forecasting Realized Volatility (2003)Is All That Talk Just Noise? The Information Content of Internet Stock Message Boards (2004)A Monetary History of the United States 1867-1960 (1964)Time Series Analysis Forecasting and Control. (1971)Time Series Analysis: Forecasting and Control (1977)Statistical analysis of cointegration vectors (1988)Bounds testing approaches to the analysis of level relationships (2001)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)A Simple Approximate Long-Memory Model of Realized Volatility (2008)Introductory Econometrics for Finance (2008)Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root (1981)Trends and random walks in macroeconmic time series (1982)Testing the null hypothesis of stationarity against the alternative of a unit root (1992)Unit root tests in panel data: asymptotic and finite-sample properties (2002)A simple panel unit root test in the presence of cross‐section dependence (2007)Why Does Stock Market Volatility Change Over Time? (1989)Measuring and Testing the Impact of News on Volatility (1993)Evaluating Interval Forecasts (1998)GARCH 101: The Use of ARCH/GARCH Models in Applied Econometrics (2001)MODELLING ASYMMETRIC EXCHANGE RATE DEPENDENCE* (2006)CoVaR (2016)Maximum likelihood estimation of stationary univariate fractionally integrated time series models (1992)Modeling and pricing long memory in stock market volatility (1996)Random matrix approach to cross correlations in financial data (2002)Some properties of time series data and their use in econometric model specification (1981)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)Long memory processes and fractional integration in econometrics (1996)
this work references cited by second hop

References

  • 1979Distribution of the Estimators for Autoregressive Time Series with a Unit Root23,183 cited
  • 1988Testing for a Unit Root in Time Series Regression19,288 cited
  • 1980AN INTRODUCTION TO LONG‐MEMORY TIME SERIES MODELS AND FRACTIONAL DIFFERENCING3,376 cited
  • 1993A long memory property of stock market returns and a new model3,257 cited
  • 1983THE ESTIMATION AND APPLICATION OF LONG MEMORY TIME SERIES MODELS2,936 cited
  • 1981Fractional Differencing2,720 cited
  • 1995Techniques for Verifying the Accuracy of Risk Measurement Models2,447 cited
  • 1996Fractionally integrated generalized autoregressive conditional heteroskedasticity2,290 cited
  • 2004CAViaR2,210 cited
  • 1991Long-Term Memory in Stock Market Prices1,743 cited
  • 2002On the coherence of expected shortfall1,596 cited
  • 1989Long-term Memory in Stock Market Prices1,433 cited
  • 2005A Test for Superior Predictive Ability1,227 cited
  • 1995Log-Periodogram Regression of Time Series with Long Range Dependence1,224 cited
  • 1990Persistence in Variance, Structural Change, and the GARCH Model1,188 cited
  • 1994

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Use of Cumulative Sums of Squares for Retrospective Detection of Changes of Variance
1,180 cited

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  • 2017Long range dependence in an emerging stock market’s sectors: volatility modelling and VaR forecasting21 cited