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Value-at-risk estimation with the optimal dynamic biofuel portfolio
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Value-at-risk estimation with the optimal dynamic biofuel portfolio (2010)Value-at-risk estimation with the optimal…Merton, Robert C. (2010)Merton, Robert C.Extreme Value Theory and Value at Risk: Application to oil market (2009)Extreme Value Theory and Valu…Modeling and forecasting petroleum futures volatility (2006)Modeling and forecasting petr…Market risk in commodity markets: a VaR approach (2003)Market risk in commodity mark…Estimating oil price ‘Value at Risk’ using the historical simulation approach (2003)Estimating oil price ‘Value a…Conditional Jump Dynamics in Stock Market Returns (2002)Conditional Jump Dynamics in …Evaluating Interval Forecasts (1998)Evaluating Interval ForecastsValue at risk: the new benchmark for controlling market risk (1996)Value at risk: the new benchm…Techniques for Verifying the Accuracy of Risk Measurement Models (1995)Techniques for Verifying the …The Crash of ʼ87: Was It Expected? The Evidence from Options Markets (1991)The Crash of ʼ87: Was It Expe…The Crash of '87: Was It Expected? The Evidence from Options Markets (1991)The Crash of '87: Was It Expe…On Jump Processes in the Foreign Exchange and Stock Markets (1988)On Jump Processes in the Fore…Generalized autoregressive conditional heteroskedasticity (1986)Generalized autoregressive co…On Jumps in Common Stock Prices and Their Impact on Call Option Pricing (1985)On Jumps in Common Stock Pric…Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Autoregressive Conditional He…Option pricing when underlying stock returns are discontinuous (1976)Option pricing when underlyin…The Pricing of Options and Corporate Liabilities (1973)Theory of Rational Option Pricing (1973)ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)Bank competition and financial stability in Asia Pacific (2013)Financial distress and bankruptcy prediction among listed companies using accounting, market and macroeconomic variables (2013)How does competition affect bank systemic risk? (2013)Comparing Predictive Accuracy (1994)Answering the Skeptics: Yes, Standard Volatility Models do Provide Accurate Forecasts (1998)CAViaR (2004)CoVaR (2016)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)Distribution of the Estimators for Autoregressive Time Series with a Unit Root (1979)Carbon futures and macroeconomic risk factors: A view from the EU ETS (2009)Crude oil and stock markets: Stability, instability, and bubbles (2009)Speculation and volatility spillover in the crude oil and agricultural commodity markets: A Bayesian analysis (2011)Modelling the persistence of conditional variances (1986)A Markov Model of Switching-Regime ARCH (1994)News Arrival, Jump Dynamics, and Volatility Components for Individual Stock Returns (2004)On more robust estimation of skewness and kurtosis (2004)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Option pricing: A simplified approach (1979)The Value of Waiting to Invest (1982)The Pricing of Options on Assets with Stochastic Volatilities (1987)A Theory of the Term Structure of Interest Rates (1985)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Ex Ante Skewness and Expected Stock Returns (2012)News implied volatility and disaster concerns (2016)The Price of Political Uncertainty: Theory and Evidence from the Option Market (2016)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)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)
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References

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  • 1988On Jump Processes in the Foreign Exchange and Stock Markets625 cited
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  • 1985On Jumps in Common Stock Prices and Their Impact on Call Option Pricing409 cited
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  • 2003Market risk in commodity markets: a VaR approach263 cited
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  • 2003Estimating oil price ‘Value at Risk’ using the historical simulation approach212 cited
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