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Switching generalized autoregressive score copula models with application to systemic risk
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Switching generalized autoregressive score copula models with application to systemic risk (2018)Switching generalized autoregressive scor…SRISK: A conditional capital shortfall measure of systemic risk (2017)SRISK: A conditional capital …CoVaR (2016)CoVaREconometric measures of connectedness and systemic risk in the finance and insurance sectors (2012)Econometric measures of conne…Deciphering the Liquidity and Credit Crunch 2007–2008 (2009)Deciphering the Liquidity and…Market Liquidity and Funding Liquidity (2008)Market Liquidity and Funding …Liquidity and leverage (2008)Liquidity and leverageMODELLING ASYMMETRIC EXCHANGE RATE DEPENDENCE* (2006)MODELLING ASYMMETRIC EXCHANGE…Dynamic Conditional Correlation (2002)Dynamic Conditional Correlati…Correlation and Dependence in Risk Management: Properties and Pitfalls (2002)Correlation and Dependence in…A Multivariate Generalized Autoregressive Conditional Heteroscedasticity Model With Time-Varying Correlations (2002)A Multivariate Generalized Au…Coherent Measures of Risk (1999)Coherent Measures of RiskEvaluating Interval Forecasts (1998)Evaluating Interval ForecastsEvaluating Density Forecasts with Applications to Financial Risk Management (1998)Evaluating Density Forecasts …Techniques for Verifying the Accuracy of Risk Measurement Models (1995)Techniques for Verifying the …On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)On the Relation between the E…A Capital Asset Pricing Model with Time-Varying Covariances (1988)A Capital Asset Pricing Model…Forecasting risk measures using intraday data in a generalized autoregressive score framework (2020)Forecasting risk measures usi…Modelling the Coherence in Short-Run Nominal Exchange Rates: A Multivariate Generalized Arch Model (1990)ARCH modeling in finance (1992)Multivariate Simultaneous Generalized ARCH (1995)Modeling and Forecasting Realized Volatility (2003)Introductory Econometrics for Finance (2008)Better to give than to receive: Predictive directional measurement of volatility spillovers (2011)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Generalized autoregressive conditional heteroskedasticity (1986)Comparing Predictive Accuracy (1994)Answering the Skeptics: Yes, Standard Volatility Models do Provide Accurate Forecasts (1998)CAViaR (2004)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Credit Rationing in Markets with Imperfect Information (1981)Bank Runs, Deposit Insurance, and Liquidity (1983)Continuous Auctions and Insider Trading (1985)The Limits of Arbitrage (1995)The Cross‐Section of Volatility and Expected Returns (2006)Credit Spreads and Business Cycle Fluctuations (2012)Value and Momentum Everywhere (2013)A NEW MEASURE OF RANK CORRELATION (1938)Asset pricing and the bid-ask spread (1986)Liquidity Risk and Expected Stock Returns (2003)Measuring Systemic Risk (2016)Determinants of corporate borrowing (1977)Bank lending during the financial crisis of 2008 (2009)Conditional value-at-risk for general loss distributions (2002)Theory and Applications of Robust Optimization (2010)Global financial crisis, extreme interdependences, and contagion effects: The role of economic structure? (2010)Systemic Risk Measurement: Multivariate GARCH Estimation of CoVaR (2012)Financial Network Systemic Risk Contributions (2014)
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References

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  • 2002A Multivariate Generalized Autoregressive Conditional Heteroscedasticity Model With Time-Varying Correlations

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  • 2020Forecasting risk measures using intraday data in a generalized autoregressive score framework40 cited