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An approximate long-memory range-based approach for value at risk estimation
16 references·2 citing·33 second hop
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References

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  • 2007Strictly Proper Scoring Rules, Prediction, and Estimation5,771 cited
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  • 1996Fractionally integrated generalized autoregressive conditional heteroskedasticity2,290 cited
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  • 2011Realized GARCH: a joint model for returns and realized measures of volatility670 cited

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  • 2001Forecasting S&P 100 volatility: the incremental information content of implied volatilities and high-frequency index returns589 cited
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    • 2021Portfolio Value-at-Risk and expected-shortfall using an efficient simulation approach based on Gaussian Mixture Model24 cited
    • 2022Encoded Value-at-Risk: A machine learning approach for portfolio risk measurement21 cited