SZodixStudyAcademic Library
ShelvesOpen access
Study · an open academic library·Metadata from OpenAlex (CC0)·Shelves·OpenAlex metadata, de-duplicated
Empirical analysis of jump dynamics, heavy-tails and skewness on value-at-risk estimation
16 references·4 citing·39 second hop
Empirical analysis of jump dynamics, heavy-tails and skewness on value-at-risk estimation (2011)Empirical analysis of jump dynamics, heav…A Test for Superior Predictive Ability (2005)A Test for Superior Predictiv…A forecast comparison of volatility models: does anything beat a GARCH(1,1)? (2005)A forecast comparison of vola…The use of GARCH models in VaR estimation (2004)The use of GARCH models in Va…CAViaR (2004)CAViaRValue‐at‐risk for long and short trading positions (2003)Value‐at‐risk for long and sh…Conditional Jump Dynamics in Stock Market Returns (2002)Conditional Jump Dynamics in …An Empirical Investigation of Continuous‐Time Equity Return Models (2002)An Empirical Investigation of…Value At Risk: The New Benchmark for Managing Financial Risk (2000)Value At Risk: The New Benchm…Evaluating Interval Forecasts (1998)Evaluating Interval ForecastsDistributional Characteristics of Emerging Market Returns and Asset Allocation (1998)Distributional Characteristic…Estimation of stochastic volatility models with diagnostics (1997)Estimation of stochastic vola…Techniques for Verifying the Accuracy of Risk Measurement Models (1995)Techniques for Verifying the …Autoregressive Conditional Density Estimation (1994)Autoregressive Conditional De…The Crash of ʼ87: Was It Expected? The Evidence from Options Markets (1991)The Crash of ʼ87: Was It Expe…A Conditionally Heteroskedastic Time Series Model for Speculative Prices and Rates of Return (1987)A Conditionally Heteroskedast…Generalized autoregressive conditional heteroskedasticity (1986)Generalized autoregressive co…Risk spillover effects from global crude oil market to China’s commodity sectors (2020)Risk spillover effects from g…Impact of foreign exchange rate on oil companies risk in stock market: A Markov-switching approach (2016)Impact of foreign exchange ra…The Role of High‐Frequency Intra‐daily Data, Daily Range and Implied Volatility in Multi‐period Value‐at‐Risk Forecasting (2013)The Role of High‐Frequency In…Does crude oil price play an important role in explaining stock return behavior? (2013)Does crude oil price play an …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)CoVaR (2016)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Simple Technical Trading Rules and the Stochastic Properties of Stock Returns (1992)Fractionally integrated generalized autoregressive conditional heteroskedasticity (1996)Stochastic Volatility: Likelihood Inference and Comparison with ARCH Models (1998)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)Testing the equality of prediction mean squared errors (1997)Tests of Conditional Predictive Ability (2006)Forecasting the Equity Risk Premium: The Role of Technical Indicators (2014)Forecasting: theory and practice (2022)Estimating Time Varying Risk Premia in the Term Structure: The Arch-M Model (1987)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Modeling and pricing long memory in stock market volatility (1996)The econometrics of financial markets (1996)GENERALIZED AUTOREGRESSIVE SCORE MODELS WITH APPLICATIONS (2012)Why Does Stock Market Volatility Change Over Time? (1989)Measuring and Testing the Impact of News on Volatility (1993)GARCH 101: The Use of ARCH/GARCH Models in Applied Econometrics (2001)MODELLING ASYMMETRIC EXCHANGE RATE DEPENDENCE* (2006)Option pricing when underlying stock returns are discontinuous (1976)A Theory of the Term Structure of Interest Rates (1985)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)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)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)Is All That Talk Just Noise? The Information Content of Internet Stock Message Boards (2004)Asymmetric Dynamics in the Correlations of Global Equity and Bond Returns (2006)Volatility forecast comparison using imperfect volatility proxies (2010)
this work references cited by second hop

References

  • 1986Generalized autoregressive conditional heteroskedasticity22,329 cited
  • 1998Evaluating Interval Forecasts2,689 cited
  • 1987A Conditionally Heteroskedastic Time Series Model for Speculative Prices and Rates of Return2,569 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
  • 2005A forecast comparison of volatility models: does anything beat a GARCH(1,1)?1,783 cited
  • 1994Autoregressive Conditional Density Estimation1,580 cited
  • 2005A Test for Superior Predictive Ability1,227 cited
  • 1991The Crash of ʼ87: Was It Expected? The Evidence from Options Markets874 cited
  • 2002An Empirical Investigation of Continuous‐Time Equity Return Models868 cited
  • 1998Distributional Characteristics of Emerging Market Returns and Asset Allocation397 cited
  • 2003Value‐at‐risk for long and short trading positions373 cited
  • 2002Conditional Jump Dynamics in Stock Market Returns358 cited
  • 2004The use of GARCH models in VaR estimation291 cited
  • 1997

Only edges whose both ends are imported exist here. Widen the year window, or show the whole map. Back to the work

Estimation of stochastic volatility models with diagnostics
287 cited

Cited by

  • 2020Risk spillover effects from global crude oil market to China’s commodity sectors97 cited
  • 2013Does crude oil price play an important role in explaining stock return behavior?73 cited
  • 2013The Role of High‐Frequency Intra‐daily Data, Daily Range and Implied Volatility in Multi‐period Value‐at‐Risk Forecasting33 cited
  • 2016Impact of foreign exchange rate on oil companies risk in stock market: A Markov-switching approach31 cited