SZodixStudyAcademic Library
ShelvesOpen access
Study · an open academic library·Metadata from OpenAlex (CC0)·Shelves·OpenAlex metadata, de-duplicated
The Analytics of Risk Model Validation
16 references·0 citing·45 second hop
The Analytics of Risk Model Validation (2008)The Analytics of Risk Model ValidationThe Econometrics of Financial Markets (2012)The Econometrics of Financial…Basel Committee On Banking Supervision (2010)Basel Committee On Banking Su…Common Failings: How Corporate Defaults Are Correlated (2007)Common Failings: How Corporat…A risk-factor model foundation for ratings-based bank capital rules (2003)A risk-factor model foundatio…Econometric Analysis of Realized Volatility and its Use in Estimating Stochastic Volatility Models (2002)Econometric Analysis of Reali…An Empirical Analysis of Personal Bankruptcy and Delinquency (2002)An Empirical Analysis of Pers…Value at Risk (2001)Value at RiskTesting Density Forecasts, With Applications to Risk Management (2001)Testing Density Forecasts, Wi…The economics of small business finance: The roles of private equity and debt markets in the financial growth cycle (1998)The economics of small busine…Nonparametric Estimation of State‐Price Densities Implicit in Financial Asset Prices (1998)Nonparametric Estimation of S…Evaluating Interval Forecasts (1998)Evaluating Interval ForecastsEvaluating Density Forecasts with Applications to Financial Risk Management (1998)Evaluating Density Forecasts …Modelling of extremal events in insurance and finance (1994)Modelling of extremal events …Comparing Predictive Accuracy (1994)Comparing Predictive AccuracyA Simple Nonparametric Test of Predictive Performance (1992)A Simple Nonparametric Test o…Experience Rating and Credibility (1967)Experience Rating and Credibi…Extreme Values, Regular Variation and Point Processes (1987)Conditional value-at-risk for general loss distributions (2002)Correlation and Dependence in Risk Management: Properties and Pitfalls (2002)Top Incomes in the Long Run of History (2011)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Generalized autoregressive conditional heteroskedasticity (1986)CAViaR (2004)CoVaR (2016)Specification Tests in Econometrics (1978)Forecasting tourism demand: A review of empirical research (1995)Predictability of Stock Returns: Robustness and Economic Significance (1995)Introductory Econometrics for Finance (2008)The Cost of Capital, Corporation Finance and the Theory of Investment (1958)Determinants of corporate borrowing (1977)Corporate financing and investment decisions when firms have information that investors do not have (1984)Small Business Credit Availability and Relationship Lending: The Importance of Bank Organisational Structure (2002)Does function follow organizational form? Evidence from the lending practices of large and small banks (2005)Small and medium-size enterprises: Access to finance as a growth constraint (2006)Why Does Stock Market Volatility Change Over Time? (1989)Forecasting, Structural Time Series Models and the Kalman Filter (1990)Answering the Skeptics: Yes, Standard Volatility Models do Provide Accurate Forecasts (1998)Power and Bipower Variation with Stochastic Volatility and Jumps (2004)A Simple Approximate Long-Memory Model of Realized Volatility (2008)Expected Stock Returns and Variance Risk Premia (2009)ARCH modeling in finance (1992)Quasi-maximum likelihood estimation and inference in dynamic models with time-varying covariances (1992)Modeling and Forecasting Realized Volatility (2001)The Copula-GARCH model of conditional dependencies: An international stock market application (2006)The Pricing of Options and Corporate Liabilities (1973)Theory of Rational Option Pricing (1973)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)Recovering Risk Aversion from Option Prices and Realized Returns (2000)Do Stock Prices and Volatility Jump? Reconciling Evidence from Spot and Option Prices (2004)The Model-Free Implied Volatility and Its Information Content (2005)A Theory of the Term Structure of Interest Rates (1985)Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation (1992)Coherent Measures of Risk (1999)The risk management of nothing (2009)Does Competition Reduce the Risk of Bank Failure? (2010)Markets: The Credit Rating Agencies (2010)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)A Comprehensive Look at The Empirical Performance of Equity Premium Prediction (2007)Strictly Proper Scoring Rules, Prediction, and Estimation (2007)
this work references cited by second hop

References

  • 2012The Econometrics of Financial Markets5,875 cited
  • 1994Comparing Predictive Accuracy5,495 cited
  • 1998The economics of small business finance: The roles of private equity and debt markets in the financial growth cycle3,690 cited
  • 1994Modelling of extremal events in insurance and finance3,519 cited
  • 1998Evaluating Interval Forecasts2,689 cited
  • 2002Econometric Analysis of Realized Volatility and its Use in Estimating Stochastic Volatility Models2,224 cited
  • 2010Basel Committee On Banking Supervision1,591 cited
  • 1998Evaluating Density Forecasts with Applications to Financial Risk Management1,452 cited
  • 1998Nonparametric Estimation of State‐Price Densities Implicit in Financial Asset Prices1,060 cited
  • 1992A Simple Nonparametric Test of Predictive Performance897 cited
  • 2003A risk-factor model foundation for ratings-based bank capital rules869 cited
  • 2001Testing Density Forecasts, With Applications to Risk Management859 cited
  • 2001Value at Risk846 cited
  • 2007Common Failings: How Corporate Defaults Are Correlated583 cited
  • 2002An Empirical Analysis of Personal Bankruptcy and Delinquency540 cited

Only edges whose both ends are imported exist here. Widen the year window, or show the whole map. Back to the work

  • 1967Experience Rating and Credibility438 cited
  • Cited by

    No citing works inside the corpus for this window.