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Realizing the extremes: Estimation of tail-risk measures from a high-frequency perspective
16 references·4 citing·34 second hopsampled
Realizing the extremes: Estimation of tail-risk measures from a high-frequency perspective (2016)Realizing the extremes: Estimation of tai…Designing Realized Kernels to Measure the ex post Variation of Equity Prices in the Presence of Noise (2008)Designing Realized Kernels to…A Simple Approximate Long-Memory Model of Realized Volatility (2008)A Simple Approximate Long-Mem…Roughing It Up: Including Jump Components in the Measurement, Modeling, and Forecasting of Return Volatility (2007)Roughing It Up: Including Jum…The Relative Contribution of Jumps to Total Price Variance (2005)The Relative Contribution of …A Tale of Two Time Scales (2005)A Tale of Two Time ScalesPower and Bipower Variation with Stochastic Volatility and Jumps (2004)Power and Bipower Variation w…CAViaR (2004)CAViaRModeling and Forecasting Realized Volatility (2003)Modeling and Forecasting Real…A Tale of Two Time Scales: Determining Integrated Volatility with Noisy High Frequency Data (2003)A Tale of Two Time Scales: De…Econometric Analysis of Realized Volatility and its Use in Estimating Stochastic Volatility Models (2002)Econometric Analysis of Reali…The Distribution of Realized Exchange Rate Volatility (2001)The Distribution of Realized …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 ForecastsConditional Heteroskedasticity in Asset Returns: A New Approach (1991)Conditional Heteroskedasticit…Models for Exceedances Over High Thresholds (1990)Models for Exceedances Over H…Generalized autoregressive conditional heteroskedasticity (1986)Generalized autoregressive co…An empirical review of dynamic extreme value models for forecasting value at risk, expected shortfall and expectile (2024)An empirical review of dynami…Cryptocurrencies against stock market risk: New insights into hedging effectiveness (2023)Cryptocurrencies against stoc…Value at Risk Estimation Using the GARCH-EVT Approach with Optimal Tail Selection (2020)Value at Risk Estimation Usin…New evidence on asymmetric return–volume dependence and extreme movements (2017)New evidence on asymmetric re…Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Comparing Predictive Accuracy (1994)CoVaR (2016)On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)Risks for the Long Run: A Potential Resolution of Asset Pricing Puzzles (2000)Time Series Analysis: Forecasting and Control (1977)Time Series Analysis: Forecasting and Control (1977)Multivariate Simultaneous Generalized ARCH (1995)Option pricing when underlying stock returns are discontinuous (1976)A Theory of the Term Structure of Interest Rates (1985)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)ARCH modeling in finance (1992)Modelling of extremal events in insurance and finance (1994)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)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)Expected Stock Returns and Variance Risk Premia (2009)A long memory property of stock market returns and a new model (1993)Measuring and Testing the Impact of News on Volatility (1993)GARCH 101: The Use of ARCH/GARCH Models in Applied Econometrics (2001)MODELLING ASYMMETRIC EXCHANGE RATE DEPENDENCE* (2006)Expected stock returns and volatility (1987)The Pricing of Options on Assets with Stochastic Volatilities (1987)The distribution of realized stock return volatility (2001)No Contagion, Only Interdependence: Measuring Stock Market Comovements (2002)Is All That Talk Just Noise? The Information Content of Internet Stock Message Boards (2004)The Cross‐Section of Volatility and Expected Returns (2006)On the network topology of variance decompositions: Measuring the connectedness of financial firms (2014)
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References

  • 1986Generalized autoregressive conditional heteroskedasticity22,329 cited
  • 1991Conditional Heteroskedasticity in Asset Returns: A New Approach10,268 cited
  • 2003Modeling and Forecasting Realized Volatility3,887 cited
  • 1998Evaluating Interval Forecasts2,689 cited
  • 2008A Simple Approximate Long-Memory Model of Realized Volatility2,526 cited
  • 2002Econometric Analysis of Realized Volatility and its Use in Estimating Stochastic Volatility Models2,224 cited
  • 2004CAViaR2,210 cited
  • 2001The Distribution of Realized Exchange Rate Volatility2,108 cited
  • 2004Power and Bipower Variation with Stochastic Volatility and Jumps2,033 cited
  • 2000Estimation of tail-related risk measures for heteroscedastic financial time series: an extreme value approach1,732 cited
  • 1990Models for Exceedances Over High Thresholds1,725 cited
  • 2007Roughing It Up: Including Jump Components in the Measurement, Modeling, and Forecasting of Return Volatility1,448 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
  • 2008Designing Realized Kernels to Measure the ex post Variation of Equity Prices in the Presence of Noise

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1,232 cited
  • 2005The Relative Contribution of Jumps to Total Price Variance890 cited
  • Cited by

    • 2023Cryptocurrencies against stock market risk: New insights into hedging effectiveness34 cited
    • 2020Value at Risk Estimation Using the GARCH-EVT Approach with Optimal Tail Selection34 cited
    • 2024An empirical review of dynamic extreme value models for forecasting value at risk, expected shortfall and expectile30 cited
    • 2017New evidence on asymmetric return–volume dependence and extreme movements24 cited