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How Relevant is Volatility Forecasting for Financial Risk Management?
16 references·8 citing·39 second hop
How Relevant is Volatility Forecasting for Financial Risk Management? (1998)How Relevant is Volatility Forecasting fo…The Econometrics of Financial Markets (2012)The Econometrics of Financial…The cost of capital, corporation finance and the theory of investment (2008)The cost of capital, corporat…Bayesian Analysis of Stochastic Volatility Models (2002)Bayesian Analysis of Stochast…Evaluating Interval Forecasts (1998)Evaluating Interval ForecastsModelling Extremal Events (1997)Modelling Extremal EventsAutoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1995)Autoregressive Conditional He…Autoregressive conditional heteroskedasticity and changes in regime (1994)Autoregressive conditional he…Autoregressive Conditional Density Estimation (1994)Autoregressive Conditional De…Risk Management: Coordinating Corporate Investment and Financing Policies (1993)Risk Management: Coordinating…Risk Management: Coordinating Corporate Investment and Financing Policies (1993)Risk Management: Coordinating…ARCH modeling in finance (1992)ARCH modeling in financePersistence in Variance, Structural Change, and the GARCH Model (1990)Persistence in Variance, Stru…Estimating Time Varying Risk Premia in the Term Structure: The Arch-M Model (1987)Estimating Time Varying Risk …A Theory of the Term Structure of Interest Rates (1985)A Theory of the Term Structur…Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Autoregressive Conditional He…The Cost of Capital, Corporation Finance and the Theory of Investment (1958)The Cost of Capital, Corporat…Multiple-Days-Ahead Value-At-Risk and Expected Shortfall Forecasting for Stock Indices, Commodities and Exchange Rates: Inter-Day Versus Intra-Day Data (2016)Multiple-Days-Ahead Value-At-…Realized Volatility and Absolute Return Volatility: A Comparison Indicating Market Risk (2014)Realized Volatility and Absol…Value-at-risk for long and short trading positions: Evidence from developed and emerging equity markets (2011)Value-at-risk for long and sh…A cyclical model of exchange rate volatility (2011)A cyclical model of exchange …Longer-Term Time-Series Volatility Forecasts (2010)Longer-Term Time-Series Volat…Predictive Density Evaluation (2005)Predictive Density EvaluationTerm Structure of Risk Under Alternative Econometric Specifications (2004)Term Structure of Risk Under …High Frequency Deutsche Mark-US Dollar Returns: FIGARCH Representations and Non Linearities (2000)High Frequency Deutsche Mark-…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)Comparing Predictive Accuracy (1994)Answering the Skeptics: Yes, Standard Volatility Models do Provide Accurate Forecasts (1998)CAViaR (2004)CoVaR (2016)The Volatility of Long-Term Interest Rates and Expectations Models of the Term Structure (1979)Stock Returns and the Term Structure (1985)Simple Technical Trading Rules and the Stochastic Properties of Stock Returns (1992)Threshold heteroskedastic models (1994)The variation of certain speculative prices (1997)DISTRIBUTION OF INCOMES OF CORPORATIONS AMONG DIVIDENDS, RETAINED EARNINGS AND TAXES (1956)Law and Finance (1998)Optimum consumption and portfolio rules in a continuous-time model (1971)An equilibrium characterization of the term structure (1977)Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation (1992)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)Dynamic Asset Pricing Theory. (1993)Theory of rational option pricing (2005)Theory of the firm: Managerial behavior, agency costs and ownership structure (1976)Determinants of corporate borrowing (1977)Corporate financing and investment decisions when firms have information that investors do not have (1984)The theory and practice of corporate finance: evidence from the field (2001)The Cash Flow Sensitivity of Cash (2004)Why Do U.S. Firms Hold So Much More Cash than They Used To? (2009)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Econometric Analysis of Cross Section and Panel Data (2001)The Economic Costs of Conflict: A Case Study of the Basque Country (2003)Giving Content to Investor Sentiment: The Role of Media in the Stock Market (2007)Market Liquidity and Funding Liquidity (2008)ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)The Capital Structure Puzzle (1984)A Survey of Corporate Governance (1997)Empirical properties of asset returns: stylized facts and statistical issues (2001)Extreme Correlation of International Equity Markets (2001)Conditional value-at-risk for general loss distributions (2002)
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References

  • 1982Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation20,684 cited
  • 1958The Cost of Capital, Corporation Finance and the Theory of Investment14,494 cited
  • 2008The cost of capital, corporation finance and the theory of investment8,614 cited
  • 1985A Theory of the Term Structure of Interest Rates8,333 cited
  • 2012The Econometrics of Financial Markets5,875 cited
  • 1997Modelling Extremal Events4,397 cited
  • 1992ARCH modeling in finance4,288 cited
  • 1993Risk Management: Coordinating Corporate Investment and Financing Policies2,897 cited
  • 1998Evaluating Interval Forecasts2,689 cited
  • 1987Estimating Time Varying Risk Premia in the Term Structure: The Arch-M Model2,469 cited
  • 1995Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation1,960 cited
  • 1994Autoregressive conditional heteroskedasticity and changes in regime1,835 cited
  • 1994Autoregressive Conditional Density Estimation1,580 cited
  • 2002Bayesian Analysis of Stochastic Volatility Models1,363 cited
  • 1990Persistence in Variance, Structural Change, and the GARCH Model1,188 cited

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  • 1993Risk Management: Coordinating Corporate Investment and Financing Policies962 cited
  • Cited by

    • 2000High Frequency Deutsche Mark-US Dollar Returns: FIGARCH Representations and Non Linearities50 cited
    • 2004Term Structure of Risk Under Alternative Econometric Specifications44 cited
    • 2005Predictive Density Evaluation42 cited
    • 2014Realized Volatility and Absolute Return Volatility: A Comparison Indicating Market Risk40 cited
    • 2011Value-at-risk for long and short trading positions: Evidence from developed and emerging equity markets34 cited
    • 2016Multiple-Days-Ahead Value-At-Risk and Expected Shortfall Forecasting for Stock Indices, Commodities and Exchange Rates: Inter-Day Versus Intra-Day Data32 cited
    • 2010Longer-Term Time-Series Volatility Forecasts30 cited
    • 2011A cyclical model of exchange rate volatility25 cited