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Value at Risk When Daily Changes in Market Variables are not Normally Distributed
1 references·16 citing·49 second hopsampled
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References

  • 1997An Overview of Value at Risk1,320 cited

Cited by

  • 2006Normal mixture GARCH(1,1): applications to exchange rate modelling205 cited
  • 2003An Extreme Value Approach to Estimating Volatility and Value at Risk*188 cited
  • 2001Modelling Time-Varying Exchange Rate Dependence Using the Conditional Copula180 cited
  • 2001The Risk Management Process: Business Strategy and Tactics143 cited
  • 1999A Quantile Regression Approach to Estimating the Distribution of Multiperiod Returns137 cited
  • 2004Simple Tests for Models of Dependence between Multiple Financial Time Series, with Applications to U.S. Equity Returns and Exchange Rates120 cited
  • 2005Multi-Period VaR-Constrained Portfolio Optimization with Applications to the Electric Power Sector99 cited
  • 2001Margin exceedences for European stock index futures using extreme value theory95 cited
  • 2014An integrated inventory model with variable lead time, defective units and delay in payments93 cited
  • 2014Copulas in Econometrics92 cited
  • 2006Portfolio optimization when asset returns have the Gaussian mixture distribution85 cited
  • 2012Quantile Uncertainty and Value‐at‐Risk Model Risk80 cited
  • 2003The Effect of Asymmetries on Stock Index Return Value‐at‐Risk Estimates80 cited

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  • 2003Non-Parametric Pricing of Multivariate Contingent Claims79 cited
  • 2012Multi-stock portfolio optimization under prospect theory76 cited
  • 2003Portfolio Performance Evaluation Using Value at Risk74 cited