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Performance of Value at Risk models in the midst of the global financial crisis in selected CEE emerging capital markets
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Performance of Value at Risk models in the midst of the global financial crisis in selected CEE emerging capital markets (2015)Performance of Value at Risk models in th…Evaluating predictive performance of value-at-risk models in emerging markets: a reality check (2006)Evaluating predictive perform…A Review of Backtesting and Backtesting Procedures (2005)A Review of Backtesting and B…Value At Risk: The New Benchmark for Managing Financial Risk (2000)Value At Risk: The New Benchm…Value at Risk (2000)Value at RiskVaR without correlations for portfolios of derivative securities (1999)VaR without correlations for …The Best of Both Worlds: A Hybrid Approach to Calculating Value at Risk (1998)The Best of Both Worlds: A Hy…Incorporating volatility updating into the historical simulation method for value-at-risk (1998)Incorporating volatility upda…Evaluating Interval Forecasts (1998)Evaluating Interval ForecastsOn the Covariance Matrices Used in Value at Risk Models (1997)On the Covariance Matrices Us…An Overview of Value at Risk (1997)An Overview of Value at RiskTechniques for Verifying the Accuracy of Risk Measurement Models (1995)Techniques for Verifying the …Threshold heteroskedastic models (1994)Threshold heteroskedastic mod…Chapter 49 Arch models (1994)Chapter 49 Arch modelsA long memory property of stock market returns and a new model (1993)A long memory property of sto…Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Conditional Heteroskedasticit…Generalized autoregressive conditional heteroskedasticity (1986)Generalized autoregressive co…The Pricing of Options and Corporate Liabilities (1973)Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)Stochastic Volatility: Likelihood Inference and Comparison with ARCH Models (1998)Dynamic Conditional Correlation (2002)Modeling and Forecasting Realized Volatility (2003)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Comparing Predictive Accuracy (1994)Answering the Skeptics: Yes, Standard Volatility Models do Provide Accurate Forecasts (1998)Strictly Proper Scoring Rules, Prediction, and Estimation (2007)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)By Force of Habit: A Consumption‐Based Explanation of Aggregate Stock Market Behavior (1999)Book Review: Time Series Analysis: Forecasting and Control (1977)Time Series Analysis: Forecasting and Control (1977)Multivariate Simultaneous Generalized ARCH (1995)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)Value at risk: the new benchmark for controlling market risk (1996)Extreme value theory for risk managers (1999)The hidden dangers of historical simulation (2005)The impact of sentiment and attention measures on stock market volatility (2019)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)Multivariate GARCH models: a surveyAsymmetric Dynamics in the Correlations of Global Equity and Bond Returns (2006)Multivariate GARCH models: a survey (2006)Global financial crisis, extreme interdependences, and contagion effects: The role of economic structure? (2010)Systemic Risk Measurement: Multivariate GARCH Estimation of CoVaR (2012)Coherent Measures of Risk (1999)
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References

  • 1986Generalized autoregressive conditional heteroskedasticity22,836 cited
  • 1991Conditional Heteroskedasticity in Asset Returns: A New Approach10,268 cited
  • 1993A long memory property of stock market returns and a new model3,257 cited
  • 1998Evaluating Interval Forecasts2,689 cited
  • 2000Value At Risk: The New Benchmark for Managing Financial Risk2,494 cited
  • 1995Techniques for Verifying the Accuracy of Risk Measurement Models2,447 cited
  • 1994Threshold heteroskedastic models2,294 cited
  • 1997An Overview of Value at Risk1,320 cited
  • 1994Chapter 49 Arch models880 cited
  • 1998Incorporating volatility updating into the historical simulation method for value-at-risk352 cited
  • 1999VaR without correlations for portfolios of derivative securities344 cited
  • 2000Value at Risk313 cited
  • 2006Evaluating predictive performance of value-at-risk models in emerging markets: a reality check218 cited
  • 1998The Best of Both Worlds: A Hybrid Approach to Calculating Value at Risk135 cited
  • 2005A Review of Backtesting and Backtesting Procedures126 cited
  • 1997On the Covariance Matrices Used in Value at Risk Models

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