SZodixStudyAcademic Library

Shelves Open access

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

Evaluation of Value-at-Risk Models Using Historical Data · Study

PreprintShelves

PreprintEvaluation of Value-at-Risk Models Using Historical Data

Darryll Hendricks2007

OA

Preprintgreen2007

Evaluation of Value-at-Risk Models Using Historical Data

Darryll Hendricks

249 citations·0/0 files stored·SSRN Electronic Journal

No readable copy stored yet — this record is metadata only.

No open-access location is known for this record yet.

Literature note Cite in a project Citation map

Financial Risk and Volatility Modeling Risk Management in Financial Firms Risk and Portfolio Optimization

Abstract

No abstract was published for this record.

Paper brief

Loading…

Cite this work

Citation unavailable for this work.

BibTeX RIS CSL-JSON

No public copy is stored for this record, so only the metadata is cited.

Citations in this library

Citation map →

Stored only when both papers are in the corpus — 249 citations exist upstream.

References

1982Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation 1965The Behavior of Stock-Market Prices 1959Portfolio Selection: Efficient Diversification of Investments 1992ARCH modeling in finance 1962Portfolio Selection: Efficient Diversification of Investments.1987A Conditionally Heteroskedastic Time Series Model for Speculative Prices and Rates of Return 1995Techniques for Verifying the Accuracy of Risk Measurement Models 1986Modelling the persistence of conditional variances

Cited by

1997Evaluating Value at Risk Methodologies: Accuracy versus Computational Time 2018Exploring the sources of default clustering 2003Estimating oil price ‘Value at Risk’ using the historical simulation approach 2003An Extreme Value Approach to Estimating Volatility and Value at Risk*2013A comprehensive review of Value at Risk methodologies 2000Macroprudential Indicators of Financial System Soundness

Related works

Explore the map →

Papers that cite the same references — the relational fallback while embeddings are still backfilling.

1995Maximum likelihood estimation of a GARCH‐stable modelarticle · 8 shared references 2002Generalized asymmetric power ARCH modelling of exchange rate volatilityarticle · 8 shared references 1990A multivariate generalized ARCH approach to modeling risk premia in forward foreign exchange rate marketsarticle · 7 shared references 2006Normal mixture GARCH(1,1): applications to exchange rate modellingarticle · 7 shared references 1995The relationship between GARCH and symmetric stable processes: Finding the source of fat tails in financial dataarticle · 7 shared references 2001A flexible parametric GARCH model with an application to exchange ratesarticle · 7 shared references

Details

Year2007

Typepreprint

Published2007-01-01

VenueSSRN Electronic Journal

ISSN-L1556-5068

Languageen

Citations249

Files0 public / 0

ShelfFinancial Risk and Volatility Modeling

Identifiers

doi10.2139/ssrn.1028807

openalex_workW2123656808

Links

Imported from OpenAlex (CC0) — nothing here is generated.

2006Capital and Risk: New Evidence on Implications of Large Operational Losses

2003Backtesting Value-at-Risk: A Duration-Based Approach