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The Ten Commandments for Optimizing Value-at-Risk and Daily Capital Charges
16 references·3 citing·27 second hop
The Ten Commandments for Optimizing Value-at-Risk and Daily Capital Charges (2009)The Ten Commandments for Optimizing Value…Realized Volatility: A Review (2008)Realized Volatility: A ReviewMultivariate Stochastic Volatility: A Review (2006)Multivariate Stochastic Volat…CAViaR (2004)CAViaRASYMPTOTIC THEORY FOR A VECTOR ARMA-GARCH MODEL (2003)ASYMPTOTIC THEORY FOR A VECTO…A Tale of Two Time Scales: Determining Integrated Volatility with Noisy High Frequency Data (2003)A Tale of Two Time Scales: De…Stationarity and the existence of moments of a family of GARCH processes (2002)Stationarity and the existenc…Dynamic Conditional Correlation (2002)Dynamic Conditional Correlati…Value At Risk: The New Benchmark for Managing Financial Risk (2000)Value At Risk: The New Benchm…STRONG CONSISTENCY OF ESTIMATORS FOR MULTIVARIATE ARCH MODELS (1998)STRONG CONSISTENCY OF ESTIMAT…Multivariate Simultaneous Generalized ARCH (1995)Multivariate Simultaneous Gen…Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1995)Autoregressive Conditional He…Asymptotic Theory for the Garch(1,1) Quasi-Maximum Likelihood Estimator (1994)Asymptotic Theory for the Gar…On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)On the Relation between the E…A long memory property of stock market returns and a new model (1993)A long memory property of sto…Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Conditional Heteroskedasticit…Studies of stock market volatility changes (1976)Studies of stock market volat…It pays to violate: how effective are the Basel accord penalties in encouraging risk management? (2011)It pays to violate: how effec…Daily Tourist Arrivals, Exchange Rates and Volatility for Korea and Taiwan (2009)Daily Tourist Arrivals, Excha…A Decision Rule to Minimize Daily Capital Charges in Forecasting Value-at-Risk (2009)A Decision Rule to Minimize D…Modelling the Coherence in Short-Run Nominal Exchange Rates: A Multivariate Generalized Arch Model (1990)ARCH modeling in finance (1992)Modeling and Forecasting Realized Volatility (2003)Introductory Econometrics for Finance (2008)Better to give than to receive: Predictive directional measurement of volatility spillovers (2011)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Generalized autoregressive conditional heteroskedasticity (1986)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)A Simple Approximate Long-Memory Model of Realized Volatility (2008)Likelihood-Based Inference in Cointegrated Vector Autoregressive Models (1995)A Multivariate Generalized Autoregressive Conditional Heteroscedasticity Model With Time-Varying Correlations (2002)Multivariate GARCH models: a survey (2006)Correlations and volatility spillovers between oil prices and the stock prices of clean energy and technology companies (2011)Why Does Stock Market Volatility Change Over Time? (1989)Measuring and Testing the Impact of News on Volatility (1993)Measuring and Testing the Impact of News on Volatility (1993)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)Brownian Motion and Stochastic Calculus (2007)Roughing It Up: Including Jump Components in the Measurement, Modeling, and Forecasting of Return Volatility (2007)Expected Stock Returns and Variance Risk Premia (2009)The Econometrics of Financial Markets (2012)Backtesting Value-at-Risk: A Duration-Based Approach (2004)Is gold a safe haven or a hedge for the US dollar? Implications for risk management (2013)Machine Learning in Banking Risk Management: A Literature Review (2019)By Force of Habit: A Consumption‐Based Explanation of Aggregate Stock Market Behavior (1999)The Cross‐Section of Volatility and Expected Returns (2006)Stochastic Volatility: Likelihood Inference and Comparison with ARCH Models (1998)
this work references cited by second hop

References

  • 1991Conditional Heteroskedasticity in Asset Returns: A New Approach10,394 cited
  • 1993On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks9,063 cited
  • 2002Dynamic Conditional Correlation7,229 cited
  • 1995Multivariate Simultaneous Generalized ARCH4,510 cited
  • 1993A long memory property of stock market returns and a new model3,282 cited
  • 2000Value At Risk: The New Benchmark for Managing Financial Risk2,494 cited
  • 2004CAViaR2,210 cited
  • 1995Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation2,043 cited
  • 2003A Tale of Two Time Scales: Determining Integrated Volatility with Noisy High Frequency Data1,373 cited
  • 2003ASYMPTOTIC THEORY FOR A VECTOR ARMA-GARCH MODEL887 cited
  • 1976Studies of stock market volatility changes885 cited
  • 1994Asymptotic Theory for the Garch(1,1) Quasi-Maximum Likelihood Estimator617 cited
  • 2008Realized Volatility: A Review517 cited
  • 1998STRONG CONSISTENCY OF ESTIMATORS FOR MULTIVARIATE ARCH MODELS445 cited
  • 2006Multivariate Stochastic Volatility: A Review375 cited

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2002
Stationarity and the existence of moments of a family of GARCH processes
357 cited

Cited by

  • 2011It pays to violate: how effective are the Basel accord penalties in encouraging risk management?20 cited
  • 2009Daily Tourist Arrivals, Exchange Rates and Volatility for Korea and Taiwan19 cited
  • 2009A Decision Rule to Minimize Daily Capital Charges in Forecasting Value-at-Risk16 cited