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Value-at-risk estimates of the stock indices in developed and emerging markets including the spillover effects of currency market
16 references·0 citing·29 second hop
Value-at-risk estimates of the stock indices in developed and emerging markets including the spillover effects of currency market (2015)Value-at-risk estimates of the stock indi…CAViaR (2004)CAViaRForecasting Volatility in Financial Markets: A Review (2003)Forecasting Volatility in Fin…Conditional volatility, skewness, and kurtosis: existence, persistence, and comovements (2003)Conditional volatility, skewn…What good is a volatility model? (2001)What good is a volatility mod…Value At Risk: The New Benchmark for Managing Financial Risk (2000)Value At Risk: The New Benchm…A bivariate causality between stock prices and exchange rates: evidence from recent Asianflu☆ (2000)A bivariate causality between…Coherent Measures of Risk (1999)Coherent Measures of RiskEvaluating Interval Forecasts (1998)Evaluating Interval ForecastsThe variation of certain speculative prices (1997)The variation of certain spec…THE GARCH OPTION PRICING MODEL (1995)THE GARCH OPTION PRICING MODELTechniques for Verifying the Accuracy of Risk Measurement Models (1995)Techniques for Verifying the …Measuring and Testing the Impact of News on Volatility (1993)Measuring and Testing the Imp…Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Conditional Heteroskedasticit…Exchange Rates and the Current Account. (1980)Exchange Rates and the Curren…The Behavior of Stock-Market Prices (1965)The Behavior of Stock-Market …The Variation of Certain Speculative Prices (1963)The Variation of Certain Spec…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)ARCH modeling in finance (1992)On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)Risks for the Long Run: A Potential Resolution of Asset Pricing Puzzles (2000)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)Why Does Stock Market Volatility Change Over Time? (1989)GARCH 101: The Use of ARCH/GARCH Models in Applied Econometrics (2001)MODELLING ASYMMETRIC EXCHANGE RATE DEPENDENCE* (2006)Backtesting Value-at-Risk: A Duration-Based Approach (2004)Is gold a safe haven or a hedge for the US dollar? Implications for risk management (2013)Machine Learning in Banking Risk Management: A Literature Review (2019)Conditional value-at-risk for general loss distributions (2002)Modeling and Forecasting Realized Volatility (2003)Theory and Applications of Robust Optimization (2010)THE PERFORMANCE OF MUTUAL FUNDS IN THE PERIOD 1945–1964 (1968)Option pricing when underlying stock returns are discontinuous (1976)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)A long memory property of stock market returns and a new model (1993)Introductory Econometrics for Finance (2008)
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References

  • 1991Conditional Heteroskedasticity in Asset Returns: A New Approach10,268 cited
  • 1999Coherent Measures of Risk8,849 cited
  • 1965The Behavior of Stock-Market Prices8,707 cited
  • 1963The Variation of Certain Speculative Prices4,851 cited
  • 1997The variation of certain speculative prices4,468 cited
  • 1993Measuring and Testing the Impact of News on Volatility3,692 cited
  • 1998Evaluating Interval Forecasts2,689 cited
  • 2000Value At Risk: The New Benchmark for Managing Financial Risk2,478 cited
  • 1995Techniques for Verifying the Accuracy of Risk Measurement Models2,447 cited
  • 2004CAViaR2,210 cited
  • 2003Forecasting Volatility in Financial Markets: A Review1,373 cited
  • 1995THE GARCH OPTION PRICING MODEL1,131 cited
  • 1980Exchange Rates and the Current Account.1,042 cited
  • 2000A bivariate causality between stock prices and exchange rates: evidence from recent Asianflu☆785 cited
  • 2001What good is a volatility model?691 cited
  • 2003Conditional volatility, skewness, and kurtosis: existence, persistence, and comovements

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