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Optimality of the RiskMetrics VaR model · Study

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ArticleOptimality of the RiskMetrics VaR model

Gloria González‐Rivera2007

Article2007

Optimality of the RiskMetrics VaR model

Gloria González‐Rivera · Tae‐Hwy Lee · Emre Yoldaş

23 citations·0/0 files stored·Finance research letters

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Financial Risk and Volatility Modeling Forecasting Techniques and Applications Risk and Portfolio Optimization

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References

2006Analysis of Financial Time Series 2000Estimation of tail-related risk measures for heteroscedastic financial time series: an extreme value approach 1996Asymptotic Inference about Predictive Ability 2003The importance of the loss function in option valuation 2005Evaluation and Combination of Conditional Quantile Forecasts 1999Outline of forecast theory using generalized cost functions 2007The Risks of Financial Institutions 2005Practical Volatility and Correlation Modeling for Financial Market Risk Management

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Year2007

Typearticle

Published2007-06-14

VenueFinance research letters

ISSN-L1544-6123

Languageen

Citations23

Files0 public / 0

ShelfFinancial Risk and Volatility Modeling

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doi10.1016/j.frl.2007.06.001

openalex_workW2113236133

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