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Value at Risk
16 references·0 citing·26 second hop
Value at Risk (2010)Value at RiskTests of Conditional Predictive Ability (2006)Tests of Conditional Predicti…CAViaR (2004)CAViaRThe variation of certain speculative prices (1997)The variation of certain spec…Modelling Extremal Events (1997)Modelling Extremal EventsA Markov Model for the Term Structure of Credit Risk Spreads (1997)A Markov Model for the Term S…A YIELD‐FACTOR MODEL OF INTEREST RATES (1996)A YIELD‐FACTOR MODEL OF INTER…A Simple Approach to Valuing Risky Fixed and Floating Rate Debt (1995)A Simple Approach to Valuing …Models for Exceedances Over High Thresholds (1990)Models for Exceedances Over H…A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle (1989)A New Approach to the Economi…The Pricing of Options on Assets with Stochastic Volatilities (1987)The Pricing of Options on Ass…Extreme Values, Regular Variation and Point Processes (1987)Extreme Values, Regular Varia…Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Autoregressive Conditional He…ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)ON THE PRICING OF CORPORATE D…On the Pricing of Corporate Debt: The Risk Structure of Interest Rates (1974)On the Pricing of Corporate D…The Pricing of Options and Corporate Liabilities (1973)The Pricing of Options and Co…The Variation of Certain Speculative Prices (1963)The Variation of Certain Spec…Trends and random walks in macroeconmic time series (1982)Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis (1989)ARCH modeling in finance (1992)Introductory Econometrics for Finance (2008)The Cost of Capital, Corporation Finance and the Theory of Investment (1958)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)Theory of the firm: Managerial behavior, agency costs and ownership structure (1976)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)Theory of rational option pricing (2005)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)The valuation of options for alternative stochastic processes (1976)An equilibrium characterization of the term structure (1977)Theory of Rational Option Pricing (1973)Measuring and Testing the Impact of News on Volatility (1993)The cost of capital, corporation finance and the theory of investment (2008)Generalized autoregressive conditional heteroskedasticity (1986)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Econometric Analysis of Cross Section and Panel Data (2001)Modelling of extremal events in insurance and finance (1994)Extreme Correlation of International Equity Markets (2001)Correlation and Dependence in Risk Management: Properties and Pitfalls (2002)THE PERFORMANCE OF MUTUAL FUNDS IN THE PERIOD 1945–1964 (1968)Option pricing when underlying stock returns are discontinuous (1976)Empirical properties of asset returns: stylized facts and statistical issues (2001)Conditional value-at-risk for general loss distributions (2002)
this work references cited by second hop

References

  • 1973The Pricing of Options and Corporate Liabilities29,064 cited
  • 1982Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation20,684 cited
  • 1974ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES*10,779 cited
  • 1989A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle9,681 cited
  • 1963The Variation of Certain Speculative Prices4,851 cited
  • 1997The variation of certain speculative prices4,468 cited
  • 1997Modelling Extremal Events4,397 cited
  • 1987The Pricing of Options on Assets with Stochastic Volatilities3,864 cited
  • 1987Extreme Values, Regular Variation and Point Processes3,165 cited
  • 1974On the Pricing of Corporate Debt: The Risk Structure of Interest Rates2,752 cited
  • 1996A YIELD‐FACTOR MODEL OF INTEREST RATES2,498 cited
  • 2004CAViaR2,210 cited
  • 1995A Simple Approach to Valuing Risky Fixed and Floating Rate Debt2,090 cited
  • 1990Models for Exceedances Over High Thresholds1,725 cited
  • 2006Tests of Conditional Predictive Ability1,667 cited
  • 1997

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A Markov Model for the Term Structure of Credit Risk Spreads
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