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Evaluation of Value-at-Risk Models Using Historical Data
14 references·16 citing·29 second hop
Evaluation of Value-at-Risk Models Using Historical Data (2007)Evaluation of Value-at-Risk Models Using …RiskMetrics Technical Document (2015)RiskMetrics Technical DocumentOn the Modeling of Financial Time Series (2014)On the Modeling of Financial …The Message in Daily Exchange Rates (2002)The Message in Daily Exchange…Techniques for Verifying the Accuracy of Risk Measurement Models (1995)Techniques for Verifying the …Chapter 49 Arch models (1994)Chapter 49 Arch modelsARCH modeling in finance (1992)ARCH modeling in financeThe Message in Daily Exchange Rates: A Conditional-Variance Tale (1989)The Message in Daily Exchange…The statistical properties of daily foreign exchange rates: 1974–1983 (1988)The statistical properties of…A Conditionally Heteroskedastic Time Series Model for Speculative Prices and Rates of Return (1987)A Conditionally Heteroskedast…Modelling the persistence of conditional variances (1986)Modelling the persistence of …Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Autoregressive Conditional He…The Behavior of Stock-Market Prices (1965)The Behavior of Stock-Market …Portfolio Selection: Efficient Diversification of Investments. (1962)Portfolio Selection: Efficien…Portfolio Selection: Efficient Diversification of Investments (1959)Portfolio Selection: Efficien…Value-at-risk and related measures for the Bitcoin (2018)Value-at-risk and related mea…Exploring the sources of default clustering (2018)Exploring the sources of defa…A comprehensive review of Value at Risk methodologies (2013)A comprehensive review of Val…Quantile Uncertainty and Value‐at‐Risk Model Risk (2012)Quantile Uncertainty and Valu…Capital and Risk: New Evidence on Implications of Large Operational Losses (2006)Capital and Risk: New Evidenc…AFFECTING FACTORS ON RISK‐ADJUSTED EFFICIENCY IN TAIWAN'S BANKING INDUSTRY (2006)AFFECTING FACTORS ON RISK‐ADJ…Value-at-Risk Analysis for Taiwan Stock Index Futures: Fat Tails and Conditional Asymmetries in Return Innovations (2004)Value-at-Risk Analysis for Ta…Using Loss Data to Quantify Operational Risk (2003)Using Loss Data to Quantify O…Estimating oil price ‘Value at Risk’ using the historical simulation approach (2003)Estimating oil price ‘Value a…Backtesting Value-at-Risk: A Duration-Based Approach (2003)Backtesting Value-at-Risk: A …An Extreme Value Approach to Estimating Volatility and Value at Risk* (2003)An Extreme Value Approach to …Forecasting value at risk allowing for time variation in the variance and kurtosis of portfolio returns (2002)Forecasting value at risk all…How Accurate are Value-at-Risk Models at Commercial Banks (2001)How Accurate are Value-at-Ris…Value at risk models for Dutch bond portfolios (2000)Value at risk models for Dutc…Macroprudential Indicators of Financial System Soundness (2000)Macroprudential Indicators of…Evaluating Value at Risk Methodologies: Accuracy versus Computational Time (1997)Evaluating Value at Risk Meth…The Pricing of Options and Corporate Liabilities (1973)Generalized autoregressive conditional heteroskedasticity (1986)On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)Multivariate Simultaneous Generalized ARCH (1995)Dynamic Conditional Correlation (2002)Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)Modeling and Forecasting Realized Volatility (2001)Stock market volatility, excess returns, and the role of investor sentiment (2002)Does Anything Beat 5-Minute RV? A Comparison of Realized Measures Across Multiple Asset Classes (2012)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Simple Technical Trading Rules and the Stochastic Properties of Stock Returns (1992)Fractionally integrated generalized autoregressive conditional heteroskedasticity (1996)Stochastic Volatility: Likelihood Inference and Comparison with ARCH Models (1998)Multivariate GARCH models: a surveyDistribution of the Estimators for Autoregressive Time Series with a Unit Root (1979)The Distribution of Realized Exchange Rate Volatility (2001)Testing for a Unit Root in Time Series Regression (1988)Bivariate garch estimation of the optimal commodity futures Hedge (1991)ARCH MODELS: PROPERTIES, ESTIMATION AND TESTING (1993)DISTRIBUTION OF INCOMES OF CORPORATIONS AMONG DIVIDENDS, RETAINED EARNINGS AND TAXES (1956)Dividend Policy, Growth, and the Valuation of Shares (1961)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Econometric Analysis of Cross Section and Panel Data (2001)Risk, Return, and Equilibrium: Empirical Tests (1973)The Cross-Section of Expected Stock Returns (1992)Multifactor Explanations of Asset Pricing Anomalies (1996)Global financial crisis, extreme interdependences, and contagion effects: The role of economic structure? (2010)Systemic Risk Measurement: Multivariate GARCH Estimation of CoVaR (2012)Financial Network Systemic Risk Contributions (2014)
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References

  • 1982Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation20,684 cited
  • 1965The Behavior of Stock-Market Prices8,707 cited
  • 1959Portfolio Selection: Efficient Diversification of Investments5,535 cited
  • 1992ARCH modeling in finance4,288 cited
  • 1962Portfolio Selection: Efficient Diversification of Investments.3,621 cited
  • 1987A Conditionally Heteroskedastic Time Series Model for Speculative Prices and Rates of Return2,569 cited
  • 1995Techniques for Verifying the Accuracy of Risk Measurement Models2,447 cited
  • 1986Modelling the persistence of conditional variances2,068 cited
  • 1994Chapter 49 Arch models880 cited
  • 2002The Message in Daily Exchange Rates791 cited
  • 2015RiskMetrics Technical Document661 cited
  • 1989The Message in Daily Exchange Rates: A Conditional-Variance Tale647 cited
  • 1988The statistical properties of daily foreign exchange rates: 1974–1983432 cited
  • 2014On the Modeling of Financial Time Series387 cited

Cited by

  • 1997Evaluating Value at Risk Methodologies: Accuracy versus Computational Time244 cited

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  • 2018Exploring the sources of default clustering243 cited
  • 2003Estimating oil price ‘Value at Risk’ using the historical simulation approach212 cited
  • 2003An Extreme Value Approach to Estimating Volatility and Value at Risk*188 cited
  • 2013A comprehensive review of Value at Risk methodologies177 cited
  • 2000Macroprudential Indicators of Financial System Soundness162 cited
  • 2006Capital and Risk: New Evidence on Implications of Large Operational Losses134 cited
  • 2003Backtesting Value-at-Risk: A Duration-Based Approach119 cited
  • 2000Value at risk models for Dutch bond portfolios104 cited
  • 2003Using Loss Data to Quantify Operational Risk103 cited
  • 2004Value-at-Risk Analysis for Taiwan Stock Index Futures: Fat Tails and Conditional Asymmetries in Return Innovations91 cited
  • 2006AFFECTING FACTORS ON RISK‐ADJUSTED EFFICIENCY IN TAIWAN'S BANKING INDUSTRY89 cited
  • 2012Quantile Uncertainty and Value‐at‐Risk Model Risk80 cited
  • 2001How Accurate are Value-at-Risk Models at Commercial Banks76 cited
  • 2018Value-at-risk and related measures for the Bitcoin74 cited
  • 2002Forecasting value at risk allowing for time variation in the variance and kurtosis of portfolio returns73 cited