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Frontiers in VaR forecasting and backtesting · Study

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ArticleFrontiers in VaR forecasting and backtesting

María Rosa Nieto2016

OA

Articlegreen2016

Frontiers in VaR forecasting and backtesting

María Rosa Nieto · Esther Ruiz

126 citations·0/0 files stored·International Journal of Forecasting

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Financial Risk and Volatility Modeling Forecasting Techniques and Applications Risk and Portfolio Optimization

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References

1986Generalized autoregressive conditional heteroskedasticity 1991Conditional Heteroskedasticity in Asset Returns: A New Approach 1994Comparing Predictive Accuracy 1995Comparing Predictive Accuracy 1994Modelling of extremal events in insurance and finance 1993A long memory property of stock market returns and a new model 1998Evaluating Interval Forecasts 2000Value At Risk: The New Benchmark for Managing Financial Risk

Cited by

2021Forecasting volatility by integrating financial risk with environmental, social, and governance risk 2019Forecast combinations for value at risk and expected shortfall 2020Backtesting Marginal Expected Shortfall and Related Systemic Risk Measures 2020Forecasting Value-at-Risk of Cryptocurrencies with RiskMetrics type models 2018Intraday portfolio risk management using VaR and CVaR:A CGARCH-EVT-Copula approach 2020Capturing Macroeconomic Tail Risks with Bayesian Vector Autoregressions

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2013A comprehensive review of Value at Risk methodologiesarticle · 25 shared references 2014Realized volatility models and alternative Value-at-Risk prediction strategiesarticle · 23 shared references 2006A robust VaR model under different time periods and weighting schemesarticle · 20 shared references 2006VOLATILITY AND CORRELATION FORECASTINGarticle · 18 shared references 2006Evaluating predictive performance of value-at-risk models in emerging markets: a reality checkarticle · 17 shared references 2016On the Measurement of Economic Tail Riskarticle · 17 shared references

Details

Year2016

Typearticle

Published2016-01-25

VenueInternational Journal of Forecasting

ISSN-L0169-2070

Languageen

Citations126

Files0 public / 0

ShelfFinancial Risk and Volatility Modeling

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doi10.1016/j.ijforecast.2015.08.003

openalex_workW2267959203

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2017Combining Value-at-Risk forecasts using penalized quantile regressions

2020Forecasting value at risk and expected shortfall with mixed data sampling