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Asymmetric power distribution: Theory and applications to risk measurement
16 references·3 citing·25 second hop
Asymmetric power distribution: Theory and applications to risk measurement (2007)Asymmetric power distribution: Theory and…Value-at-Risk Prediction: A Comparison of Alternative Strategies (2005)Value-at-Risk Prediction: A C…On the Out-of-Sample Importance of Skewness and Asymmetric Dependence for Asset Allocation (2004)On the Out-of-Sample Importan…Modelling daily Value-at-Risk using realized volatility and ARCH type models (2004)Modelling daily Value-at-Risk…Convex measures of risk and trading constraints (2002)Convex measures of risk and t…Estimation of tail-related risk measures for heteroscedastic financial time series: an extreme value approach (2000)Estimation of tail-related ri…Coherent Measures of Risk (1999)Coherent Measures of RiskTechniques for Verifying the Accuracy of Risk Measurement Models (1995)Techniques for Verifying the …Autoregressive Conditional Density Estimation (1994)Autoregressive Conditional De…Quasi-maximum likelihood estimation and inference in dynamic models with time-varying covariances (1992)Quasi-maximum likelihood esti…Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Conditional Heteroskedasticit…Generalized autoregressive conditional heteroskedasticity (1986)Generalized autoregressive co…Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Autoregressive Conditional He…Capital market equilibrium in a mean-lower partial moment framework (1977)Capital market equilibrium in…The Efficiency Analysis of Choices Involving Risk (1969)The Efficiency Analysis of Ch…Mean-Variance Analysis in the Theory of Liquidity Preference and Portfolio Selection (1969)Mean-Variance Analysis in the…Portfolio Selection (1952)Portfolio SelectionImpulse response analysis in conditional quantile models with an application to monetary policy (2021)Impulse response analysis in …Modeling and forecasting expected shortfall with the generalized asymmetric Student-t and asymmetric exponential power distributions (2011)Modeling and forecasting expe…The tail risk of emerging stock markets (2009)The tail risk of emerging sto…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)Time Series Analysis: Forecasting and Control (1977)Time Series Analysis: Forecasting and Control (1977)Multivariate Simultaneous Generalized ARCH (1995)Estimating Time Varying Risk Premia in the Term Structure: The Arch-M Model (1987)Modeling and pricing long memory in stock market volatility (1996)The econometrics of financial markets (1996)GENERALIZED AUTOREGRESSIVE SCORE MODELS WITH APPLICATIONS (2012)ARCH modeling in finance (1992)Modelling of extremal events in insurance and finance (1994)Tails, Fears, and Risk Premia (2011)Quantile Connectedness: Modeling Tail Behavior in the Topology of Financial Networks (2022)Econometric Analysis of Cross Section and Panel Data (2001)Conditional value-at-risk for general loss distributions (2002)Modeling and Forecasting Realized Volatility (2003)Theory and Applications of Robust Optimization (2010)Putting order in risk measures (2002)Distributionally Robust Optimization and Its Tractable Approximations (2010)Distributionally Robust Convex Optimization (2014)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)An intertemporal asset pricing model with stochastic consumption and investment opportunities (1979)The Capital Asset Pricing Model: Theory and Evidence (2004)
this work references cited by second hop

References

  • 1986Generalized autoregressive conditional heteroskedasticity22,329 cited
  • 1982Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation20,684 cited
  • 1991Conditional Heteroskedasticity in Asset Returns: A New Approach10,268 cited
  • 1999Coherent Measures of Risk8,849 cited
  • 1952Portfolio Selection4,609 cited
  • 1992Quasi-maximum likelihood estimation and inference in dynamic models with time-varying covariances3,220 cited
  • 1995Techniques for Verifying the Accuracy of Risk Measurement Models2,447 cited
  • 2000Estimation of tail-related risk measures for heteroscedastic financial time series: an extreme value approach1,732 cited
  • 1994Autoregressive Conditional Density Estimation1,580 cited
  • 2002Convex measures of risk and trading constraints1,452 cited
  • 1969The Efficiency Analysis of Choices Involving Risk1,416 cited
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  • 2004On the Out-of-Sample Importance of Skewness and Asymmetric Dependence for Asset Allocation670 cited
  • 2005Value-at-Risk Prediction: A Comparison of Alternative Strategies635 cited
  • 2004Modelling daily Value-at-Risk using realized volatility and ARCH type models

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399 cited
  • 1969Mean-Variance Analysis in the Theory of Liquidity Preference and Portfolio Selection351 cited
  • Cited by

    • 2011Modeling and forecasting expected shortfall with the generalized asymmetric Student-t and asymmetric exponential power distributions86 cited
    • 2009The tail risk of emerging stock markets29 cited
    • 2021Impulse response analysis in conditional quantile models with an application to monetary policy21 cited