SZodixStudyAcademic Library
ShelvesOpen access
Study · an open academic library·Metadata from OpenAlex (CC0)·Shelves·OpenAlex metadata, de-duplicated
Intraday risk management in International stock markets: A conditional EVT approach
16 references·1 citing·31 second hop
Intraday risk management in International stock markets: A conditional EVT approach (2015)Intraday risk management in International…Separating microstructure noise from volatility (2005)Separating microstructure noi…A Tale of Two Time Scales (2005)A Tale of Two Time ScalesStatistics of Extremes: Theory and Applications (2004)Statistics of Extremes: Theor…A Tale of Two Time Scales: Determining Integrated Volatility with Noisy High Frequency Data (2003)A Tale of Two Time Scales: De…Range‐Based Estimation of Stochastic Volatility Models (2002)Range‐Based Estimation of Sto…An Introduction to Statistical Modeling of Extreme Values (2002)An Introduction to Statistica…An Introduction to Statistical Modeling of Extreme Values (2001)An Introduction to Statistica…Estimation of tail-related risk measures for heteroscedastic financial time series: an extreme value approach (2000)Estimation of tail-related ri…Evaluating Interval Forecasts (1998)Evaluating Interval ForecastsAnswering the Skeptics: Yes, Standard Volatility Models do Provide Accurate Forecasts (1998)Answering the Skeptics: Yes, …Intraday periodicity and volatility persistence in financial markets (1997)Intraday periodicity and vola…Modelling of extremal events in insurance and finance (1994)Modelling of extremal events …On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)On the Relation between the E…A long memory property of stock market returns and a new model (1993)A long memory property of sto…Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Conditional Heteroskedasticit…Generalized autoregressive conditional heteroskedasticity (1986)Generalized autoregressive co…Are gold, USD, and Bitcoin hedge or safe haven against stock? The implication for risk management (2022)Are gold, USD, and Bitcoin he…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)Comparing Predictive Accuracy (1994)CAViaR (2004)CoVaR (2016)Time Series Analysis: Forecasting and Control (1977)Time Series Analysis: Forecasting and Control (1977)Multivariate Simultaneous Generalized ARCH (1995)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Modeling and Forecasting Realized Volatility (2003)A Simple Approximate Long-Memory Model of Realized Volatility (2008)Introductory Econometrics for Finance (2008)The Behavior of Stock-Market Prices (1965)ARCH modeling in finance (1992)Coherent Measures of Risk (1999)Value-at-Risk Prediction: A Comparison of Alternative Strategies (2005)Tails, Fears, and Risk Premia (2011)Quantile Connectedness: Modeling Tail Behavior in the Topology of Financial Networks (2022)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)Econometrics of Testing for Jumps in Financial Economics Using Bipower Variation (2005)Realized Variance and Market Microstructure Noise (2006)Brownian Motion and Stochastic Calculus (2007)Designing Realized Kernels to Measure the ex post Variation of Equity Prices in the Presence of Noise (2008)The Econometrics of Financial Markets (2012)Idea Generation and the Quality of the Best Idea (2010)Quantitative Risk Management (2011)Risks for the Long Run: A Potential Resolution of Asset Pricing Puzzles (2000)The Cross‐Section of Volatility and Expected Returns (2006)
this work references cited by second hop

References

  • 1986Generalized autoregressive conditional heteroskedasticity22,329 cited
  • 1991Conditional Heteroskedasticity in Asset Returns: A New Approach10,268 cited
  • 1993On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks9,041 cited
  • 2001An Introduction to Statistical Modeling of Extreme Values7,338 cited
  • 1994Modelling of extremal events in insurance and finance3,519 cited
  • 1998Answering the Skeptics: Yes, Standard Volatility Models do Provide Accurate Forecasts3,380 cited
  • 1993A long memory property of stock market returns and a new model3,257 cited
  • 1998Evaluating Interval Forecasts2,689 cited
  • 2000Estimation of tail-related risk measures for heteroscedastic financial time series: an extreme value approach1,732 cited
  • 2003A Tale of Two Time Scales: Determining Integrated Volatility with Noisy High Frequency Data1,373 cited
  • 2005A Tale of Two Time Scales1,312 cited
  • 1997Intraday periodicity and volatility persistence in financial markets1,301 cited
  • 2002An Introduction to Statistical Modeling of Extreme Values1,224 cited
  • 2002Range‐Based Estimation of Stochastic Volatility Models1,215 cited
  • 2004Statistics of Extremes: Theory and Applications

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

1,093 cited
  • 2005Separating microstructure noise from volatility635 cited
  • Cited by

    • 2022Are gold, USD, and Bitcoin hedge or safe haven against stock? The implication for risk management21 cited