Citation map · Study

SZodixStudyAcademic Library

Shelves Open access

Study · an open academic library·Metadata from OpenAlex (CC0)·Shelves·OpenAlex metadata, de-duplicated

Backtesting Value-at-Risk: A Duration-Based Approach

16 references·13 citing·36 second hop

FromToDepth

this work references cited by second hop

References

1999Coherent Measures of Risk8,849 cited
1999An Introduction to Copulas7,743 cited
1998Evaluating Interval Forecasts2,689 cited
1995Techniques for Verifying the Accuracy of Risk Measurement Models2,447 cited
1998Autoregressive Conditional Duration: A New Model for Irregularly Spaced Transaction Data1,817 cited
1994Autoregressive Conditional Density Estimation1,580 cited
1998Evaluating Density Forecasts with Applications to Financial Risk Management1,452 cited
2001Testing Density Forecasts, With Applications to Risk Management859 cited
2001Value-at-Risk-Based Risk Management: Optimal Policies and Asset Prices834 cited
2002How Accurate Are Value‐at‐Risk Models at Commercial Banks?531 cited
1993A Permanent and Transitory Component Model of Stock Return Volatility501 cited
2012Elements of Financial Risk Management436 cited
1995VAR: Seductive but Dangerous362 cited
1998Autoregressive Conditional Duration: A New Model for Irregularly Spaced Transaction Data315 cited
2002A Model of the Federal Funds Rate Target262 cited
2007

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

Evaluation of Value-at-Risk Models Using Historical Data

249 cited

Cited by

2005Volatility Forecasting118 cited
2013What is the Best Risk Measure in Practice? A Comparison of Standard Measures85 cited
2016NONPARAMETRIC ESTIMATION OF CONDITIONAL VALUE-AT-RISK AND EXPECTED SHORTFALL BASED ON EXTREME VALUE THEORY68 cited
2015Filtered Historical Simulation Value-at-Risk Models and Their Competitors58 cited
2016Multinomial VAR Backtests: A Simple Implicit Approach to Backtesting Expected Shortfall57 cited
2016Forecasting Value-at-Risk under Different Distributional Assumptions54 cited
2012Ranking the predictive performances of value-at-risk estimation methods51 cited
2020Value at Risk Estimation Using the GARCH-EVT Approach with Optimal Tail Selection34 cited
2006Autoregressive Conditional Duration (Acd) Models in Finance: A Survey of the Theoretical and Empirical Literature30 cited
2020Estimating portfolio risk for tail risk protection strategies26 cited
2024Forecasting realized volatility: Does anything beat linear models?25 cited
2016Evaluating Value-at-Risk forecasts: A new set of multivariate backtests25 cited
2004Discussion of “A framework for the analysis of firm risk communication”16 cited