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An application of extreme value theory in estimating liquidity risk
15 references·0 citing·34 second hop
An application of extreme value theory in estimating liquidity risk (2017)An application of extreme value theory in…RiskMetrics Technical Document (2015)RiskMetrics Technical DocumentHas the Basel Accord improved risk management during the global financial crisis? (2013)Has the Basel Accord improved…A comprehensive review of Value at Risk methodologies (2013)A comprehensive review of Val…Value-at-Risk models and Basel capital charges (2011)Value-at-Risk models and Base…Bayesian Time-Varying Quantile Forecasting for Value-at-Risk in Financial Markets (2010)Bayesian Time-Varying Quantil…Measuring Market Liquidity Risk - Which Model Works Best? (2009)Measuring Market Liquidity Ri…Liquidity adjusted value-at-risk based on the components of the bid-ask spread (2006)Liquidity adjusted value-at-r…How large is liquidity risk in an automated auction market? (2005)How large is liquidity risk i…Asset pricing with liquidity risk (2005)Asset pricing with liquidity …Modelling Extremal Events for Insurance and Finance (2002)Modelling Extremal Events for…Modeling Liquidity Risk With Implications for Traditional Market Risk Measurement and Management (1998)Modeling Liquidity Risk With …Modelling of extremal events in insurance and finance (1994)Modelling of extremal events …Measuring and Testing the Impact of News on Volatility (1993)Measuring and Testing the Imp…Generalized autoregressive conditional heteroskedasticity (1986)Generalized autoregressive co…Continuous Auctions and Insider Trading (1985)Continuous Auctions and Insid…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)Time Series Analysis: Forecasting and Control (1977)Time Series Analysis: Forecasting and Control (1977)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)Multivariate Simultaneous Generalized ARCH (1995)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Forecasting stock volatility and value-at-risk based on temporal convolutional networks (2022)Value-at-Risk forecasting: A hybrid ensemble learning GARCH-LSTM based approach (2022)A Comprehensive Review of MCDM Methods, Applications, and Emerging Trends (2024)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)The Cross-Section of Expected Stock Returns (1992)Common risk factors in the returns on stocks and bonds (1993)Liquidity and leverage (2008)Market Liquidity and Funding Liquidity (2008)The Devil is in the Tails: Actuarial Mathematics and the Subprime Mortgage Crisis (2010)Jump tails, extreme dependencies, and the distribution of stock returns (2012)Frontiers in VaR forecasting and backtesting (2016)Noise Trader Risk in Financial Markets (1990)Investor Psychology and Security Market Under‐ and Overreactions (1998)Illiquidity and stock returns: cross-section and time-series effects (2002)Analysis and Forecasting of Electricity Price Risks with Quantile Factor Models (2015)Quantile regression forecasts of inflation under model uncertainty (2016)Sensitivity analysis of Values at Risk (2000)Modeling and forecasting petroleum futures volatility (2006)Worst-Case Conditional Value-at-Risk with Application to Robust Portfolio Management (2009)A long memory property of stock market returns and a new model (1993)Introductory Econometrics for Finance (2008)The Risks of Financial Institutions (2005)Forecasting liquidity-adjusted intraday Value-at-Risk with vine copulas (2013)The determinants of bank liquidity risk within the context of Euro area (2013)
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References

  • 1986Generalized autoregressive conditional heteroskedasticity22,329 cited
  • 1985Continuous Auctions and Insider Trading9,626 cited
  • 1993Measuring and Testing the Impact of News on Volatility3,692 cited
  • 1994Modelling of extremal events in insurance and finance3,519 cited
  • 2005Asset pricing with liquidity risk2,816 cited
  • 2015RiskMetrics Technical Document661 cited
  • 2002Modelling Extremal Events for Insurance and Finance369 cited
  • 2013A comprehensive review of Value at Risk methodologies177 cited
  • 2010Bayesian Time-Varying Quantile Forecasting for Value-at-Risk in Financial Markets125 cited
  • 1998Modeling Liquidity Risk With Implications for Traditional Market Risk Measurement and Management102 cited
  • 2006Liquidity adjusted value-at-risk based on the components of the bid-ask spread76 cited
  • 2011Value-at-Risk models and Basel capital charges57 cited
  • 2013Has the Basel Accord improved risk management during the global financial crisis?42 cited
  • 2005How large is liquidity risk in an automated auction market?42 cited
  • 2009Measuring Market Liquidity Risk - Which Model Works Best?22 cited

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