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Nonparametric Risk Management With Generalized Hyperbolic Distributions
16 references·8 citing·36 second hop
Nonparametric Risk Management With Generalized Hyperbolic Distributions (2008)Nonparametric Risk Management With Genera…Autoregressive Conditional Heteroskedasticity (2007)Autoregressive Conditional He…Statistical inference for time-inhomogeneous volatility models (2004)Statistical inference for tim…Time Inhomogeneous Multiple Volatility Modeling (2003)Time Inhomogeneous Multiple V…Risk management based on stochastic volatility (2003)Risk management based on stoc…Hyperbolic Processes in Finance (2003)Hyperbolic Processes in Finan…Forecasting Volatility in Financial Markets: A Review (2003)Forecasting Volatility in Fin…Value at Risk (2001)Value at RiskModelling by Lévy Processes for Financial Econometrics (2001)Modelling by Lévy Processes f…The Generalized Hyperbolic Model: Estimation, Financial Derivatives, and Risk Measures (1999)The Generalized Hyperbolic Mo…Correlation: Pitfalls and Alternatives (1999)Correlation: Pitfalls and Alt…Evaluating Interval Forecasts (1998)Evaluating Interval ForecastsHyperbolic Distributions in Finance (1995)Hyperbolic Distributions in F…Multivariate Stochastic Variance Models (1994)Multivariate Stochastic Varia…Quasi-maximum likelihood estimation and inference in dynamic models with time-varying covariances (1992)Quasi-maximum likelihood esti…Generalized autoregressive conditional heteroskedasticity (1986)Generalized autoregressive co…Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Autoregressive Conditional He…Independent Factor Autoregressive Conditional Density Model (2013)Independent Factor Autoregres…Managing Risk with a Realized Copula Parameter (2012)Managing Risk with a Realized…Expected shortfall for distributions in finance (2011)Expected shortfall for distri…Testing Non-Linear Dependence in the Hedge Fund Industry (2010)Testing Non-Linear Dependence…Testing Non-Linear Dependence in the Hedge Fund Industry (2010)Testing Non-Linear Dependence…The econometrics of mean‐variance efficiency tests: a survey (2009)The econometrics of mean‐vari…GHICA — Risk analysis with GH distributions and independent components (2009)GHICA — Risk analysis with GH…New Evidence on the Puzzles. Results from Agnostic Identification on Monetary Policy and Exchange Rates (2006)New Evidence on the Puzzles. …The Pricing of Options on Assets with Stochastic Volatilities (1987)The variation of certain speculative prices (1997)Coherent Measures of Risk (1999)Lévy Processes in Finance: Theory, Numerics, and Empirical Facts (2000)The Generalized Hyperbolic Model: Financial Derivatives and Risk Measures (2002)Option pricing by transform methods: extensions, unification and error control (2004)Comparing Predictive Accuracy (1994)Answering the Skeptics: Yes, Standard Volatility Models do Provide Accurate Forecasts (1998)CAViaR (2004)CoVaR (2016)The Pricing of Options and Corporate Liabilities (1973)Martingales and stochastic integrals in the theory of continuous trading (1981)Normal Inverse Gaussian Distributions and Stochastic Volatility Modelling (1997)New Insights into Smile, Mispricing, and Value at Risk: The Hyperbolic Model (1998)Copulas for Finance - A Reading Guide and Some Applications (2007)Time Series Analysis: Forecasting and Control (1977)Time Series Analysis: Forecasting and Control (1977)On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)Multivariate Simultaneous Generalized ARCH (1995)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)ARCH modeling in finance (1992)Statistical analysis of cointegration vectors (1988)An Overview of Value at Risk (1997)Bayesian Analysis of Stochastic Volatility Models (2002)Pitfalls in Tests for Changes in Correlations (1997)An Introduction to Copulas (1999)Using copulae to bound the Value-at-Risk for functions of dependent risks (2003)THE BERNSTEIN COPULA AND ITS APPLICATIONS TO MODELING AND APPROXIMATIONS OF MULTIVARIATE DISTRIBUTIONS (2004)Stress-Testing Financial Systems: An Overview of Current Methodologies (2007)Econometric Analysis of Cross Section and Panel Data (2001)Value-at-Risk Prediction: A Comparison of Alternative Strategies (2005)Volatility forecast comparison using imperfect volatility proxies (2010)Financial time series forecasting model based on CEEMDAN and LSTM (2018)Actuarial Theory for Dependent Risks: Measures, Orders and Models (2005)Measuring systemic risk: A risk management approach (2005)Supply chain risk management and performance (2007)
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References

  • 1986Generalized autoregressive conditional heteroskedasticity22,329 cited
  • 1982Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation20,684 cited
  • 1992Quasi-maximum likelihood estimation and inference in dynamic models with time-varying covariances3,220 cited
  • 1998Evaluating Interval Forecasts2,689 cited
  • 2003Forecasting Volatility in Financial Markets: A Review1,373 cited
  • 1994Multivariate Stochastic Variance Models1,367 cited
  • 1995Hyperbolic Distributions in Finance959 cited
  • 2001Value at Risk846 cited
  • 1999The Generalized Hyperbolic Model: Estimation, Financial Derivatives, and Risk Measures369 cited
  • 1999Correlation: Pitfalls and Alternatives309 cited
  • 2001Modelling by Lévy Processes for Financial Econometrics196 cited
  • 2004Statistical inference for time-inhomogeneous volatility models158 cited
  • 2003Hyperbolic Processes in Finance146 cited
  • 2007Autoregressive Conditional Heteroskedasticity80 cited
  • 2003Time Inhomogeneous Multiple Volatility Modeling75 cited
  • 2003Risk management based on stochastic volatility

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Cited by

  • 2009The econometrics of mean‐variance efficiency tests: a survey41 cited
  • 2011Expected shortfall for distributions in finance40 cited
  • 2013Independent Factor Autoregressive Conditional Density Model36 cited
  • 2009GHICA — Risk analysis with GH distributions and independent components30 cited
  • 2010Testing Non-Linear Dependence in the Hedge Fund Industry28 cited
  • 2012Managing Risk with a Realized Copula Parameter27 cited
  • 2010Testing Non-Linear Dependence in the Hedge Fund Industry26 cited
  • 2006New Evidence on the Puzzles. Results from Agnostic Identification on Monetary Policy and Exchange Rates19 cited