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Optimality of the RiskMetrics VaR model
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this work references cited by second hop

References

  • 2006Analysis of Financial Time Series2,348 cited
  • 2000Estimation of tail-related risk measures for heteroscedastic financial time series: an extreme value approach1,732 cited
  • 1996Asymptotic Inference about Predictive Ability1,415 cited
  • 2003The importance of the loss function in option valuation393 cited
  • 2005Evaluation and Combination of Conditional Quantile Forecasts279 cited
  • 1999Outline of forecast theory using generalized cost functions148 cited
  • 2007The Risks of Financial Institutions115 cited
  • 2005Practical Volatility and Correlation Modeling for Financial Market Risk Management107 cited
  • 1998Value-at-Risk and Extreme Returns104 cited

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