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Generating Volatility Forecasts from Value at Risk Estimates
16 references·8 citing·27 second hop
Generating Volatility Forecasts from Value at Risk Estimates (2005)Generating Volatility Forecasts from Valu…CAViaR (2004)CAViaRModeling and Forecasting Realized Volatility (2003)Modeling and Forecasting Real…Forecasting Volatility in Financial Markets: A Review (2003)Forecasting Volatility in Fin…Range‐Based Estimation of Stochastic Volatility Models (2002)Range‐Based Estimation of Sto…The relation between implied and realized volatility (1998)The relation between implied …5 Stochastic volatility (1996)5 Stochastic volatilityOn the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)On the Relation between the E…Measuring and Testing the Impact of News on Volatility (1993)Measuring and Testing the Imp…Making Hard Decisions, an Introduction to Decision Analysis (1992)Making Hard Decisions, an Int…Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Conditional Heteroskedasticit…Stationarity and Persistence in the GARCH(1,1) Model (1990)Stationarity and Persistence …A Conditionally Heteroskedastic Time Series Model for Speculative Prices and Rates of Return (1987)A Conditionally Heteroskedast…Generalized autoregressive conditional heteroskedasticity (1986)Generalized autoregressive co…Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Autoregressive Conditional He…The Extreme Value Method for Estimating the Variance of the Rate of Return (1980)The Extreme Value Method for …On the Estimation of Security Price Volatilities from Historical Data (1980)On the Estimation of Security…Tail risk connectedness in G7 stock markets: Understanding the impact of COVID-19 and related variants (2024)Tail risk connectedness in G7…Aggregate Skewness and the Business Cycle (2022)Aggregate Skewness and the Bu…Forecasting VaR and ES using a joint quantile regression and its implications in portfolio allocation (2021)Forecasting VaR and ES using …Network-based estimation of systematic and idiosyncratic contagion: The case of Chinese financial institutions (2019)Network-based estimation of s…A novel UMIDAS-SVQR model with mixed frequency investor sentiment for predicting stock market volatility (2019)A novel UMIDAS-SVQR model wit…The Risk Map: A new tool for validating risk models (2013)The Risk Map: A new tool for …Volatility forecasting of exchange rate by quantile regression (2011)Volatility forecasting of exc…Time-Varying Quantiles (2006)Time-Varying QuantilesEFFICIENT 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)Time Series Analysis: Forecasting and Control (1977)Time Series Analysis: Forecasting and Control (1977)Multivariate Simultaneous Generalized ARCH (1995)Why Does Stock Market Volatility Change Over Time? (1989)Evaluating Interval Forecasts (1998)GARCH 101: The Use of ARCH/GARCH Models in Applied Econometrics (2001)MODELLING ASYMMETRIC EXCHANGE RATE DEPENDENCE* (2006)CoVaR (2016)The Pricing of Options and Corporate Liabilities (1973)The valuation of options for alternative stochastic processes (1976)Estimating betas from nonsynchronous data (1977)Volatility forecast comparison using imperfect volatility proxies (2010)Coherent Measures of Risk (1999)A Simple Approximate Long-Memory Model of Realized Volatility (2008)On the network topology of variance decompositions: Measuring the connectedness of financial firms (2014)Theory of Financial Decision Making. (1988)Does Algorithmic Trading Improve Liquidity? (2011)Econometric Analysis of Cross Section and Panel Data (2001)ARCH modeling in finance (1992)Risks for the Long Run: A Potential Resolution of Asset Pricing Puzzles (2000)The Cross‐Section of Volatility and Expected Returns (2006)A long memory property of stock market returns and a new model (1993)Introductory Econometrics for Finance (2008)
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References

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  • 1993On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks9,041 cited
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  • 1987A Conditionally Heteroskedastic Time Series Model for Speculative Prices and Rates of Return2,569 cited
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  • 1980The Extreme Value Method for Estimating the Variance of the Rate of Return1,946 cited
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  • 1992Making Hard Decisions, an Introduction to Decision Analysis1,450 cited
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  • 2002Range‐Based Estimation of Stochastic Volatility Models1,215 cited
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  • 1998The relation between implied and realized volatility

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1,114 cited
  • 1990Stationarity and Persistence in the GARCH(1,1) Model1,093 cited
  • Cited by

    • 2013The Risk Map: A new tool for validating risk models72 cited
    • 2019Network-based estimation of systematic and idiosyncratic contagion: The case of Chinese financial institutions38 cited
    • 2021Forecasting VaR and ES using a joint quantile regression and its implications in portfolio allocation36 cited
    • 2019A novel UMIDAS-SVQR model with mixed frequency investor sentiment for predicting stock market volatility31 cited
    • 2024Tail risk connectedness in G7 stock markets: Understanding the impact of COVID-19 and related variants30 cited
    • 2022Aggregate Skewness and the Business Cycle28 cited
    • 2011Volatility forecasting of exchange rate by quantile regression28 cited
    • 2006Time-Varying Quantiles26 cited