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Bayesian modeling and forecasting of Value‐at‐Risk via threshold realized volatility
16 references·1 citing·26 second hop
Bayesian modeling and forecasting of Value‐at‐Risk via threshold realized volatility (2018)Bayesian modeling and forecasting of Valu…Volatility forecast comparison using imperfect volatility proxies (2010)Volatility forecast compariso…Basel Committee On Banking Supervision (2010)Basel Committee On Banking Su…Designing Realized Kernels to Measure the ex post Variation of Equity Prices in the Presence of Noise (2008)Designing Realized Kernels to…A Tale of Two Time Scales (2005)A Tale of Two Time ScalesA forecast comparison of volatility models: does anything beat a GARCH(1,1)? (2005)A forecast comparison of vola…CAViaR (2004)CAViaRThe Distribution of Realized Exchange Rate Volatility (2001)The Distribution of Realized …Evaluating Interval Forecasts (1998)Evaluating Interval ForecastsTechniques for Verifying the Accuracy of Risk Measurement Models (1995)Techniques for Verifying the …Autoregressive Conditional Density Estimation (1994)Autoregressive Conditional De…On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)On the Relation between the E…ARCH modeling in finance (1992)ARCH modeling in financeConditional Heteroskedasticity in Asset Returns: A New Approach (1991)Conditional Heteroskedasticit…Modelling the persistence of conditional variances (1986)Modelling the persistence of …Generalized autoregressive conditional heteroskedasticity (1986)Generalized autoregressive co…Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Autoregressive Conditional He…Tail risk forecasting of realized volatility CAViaR models (2022)Tail risk forecasting of real…The Pricing of Options and Corporate Liabilities (1973)By Force of Habit: A Consumption‐Based Explanation of Aggregate Stock Market Behavior (1999)Dynamic Conditional Correlation (2002)Comparing Predictive Accuracy (1994)Answering the Skeptics: Yes, Standard Volatility Models do Provide Accurate Forecasts (1998)Strictly Proper Scoring Rules, Prediction, and Estimation (2007)CoVaR (2016)Book Review: Time Series Analysis: Forecasting and Control (1977)Time Series Analysis: Forecasting and Control (1977)Multivariate Simultaneous Generalized ARCH (1995)Distribution of the Estimators for Autoregressive Time Series With a Unit Root (1979)Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)Why Does Stock Market Volatility Change Over Time? (1989)Measuring and Testing the Impact of News on Volatility (1993)Measuring and Testing the Impact of News on Volatility (1993)Modeling and Forecasting Realized Volatility (2003)Introductory Econometrics for Finance (2008)Expected stock returns and volatility (1987)The Pricing of Options on Assets with Stochastic Volatilities (1987)No Contagion, Only Interdependence: Measuring Stock Market Comovements (2002)Is All That Talk Just Noise? The Information Content of Internet Stock Message Boards (2004)A Simple Approximate Long-Memory Model of Realized Volatility (2008)Econometric Analysis of Cross Section and Panel Data (2001)The Cross‐Section of Volatility and Expected Returns (2006)Systemic Risk Measurement: Multivariate GARCH Estimation of CoVaR (2012)Financial Network Systemic Risk Contributions (2014)
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References

  • 1986Generalized autoregressive conditional heteroskedasticity23,378 cited
  • 1982Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation21,185 cited
  • 1991Conditional Heteroskedasticity in Asset Returns: A New Approach10,394 cited
  • 1993On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks9,063 cited
  • 1992ARCH modeling in finance4,343 cited
  • 1998Evaluating Interval Forecasts2,689 cited
  • 1995Techniques for Verifying the Accuracy of Risk Measurement Models2,489 cited
  • 2004CAViaR2,210 cited
  • 2001The Distribution of Realized Exchange Rate Volatility2,138 cited
  • 1986Modelling the persistence of conditional variances2,083 cited
  • 2005A forecast comparison of volatility models: does anything beat a GARCH(1,1)?1,878 cited
  • 2010Basel Committee On Banking Supervision1,610 cited
  • 1994Autoregressive Conditional Density Estimation1,580 cited
  • 2010Volatility forecast comparison using imperfect volatility proxies1,348 cited
  • 2005A Tale of Two Time Scales1,312 cited
  • 2008

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Designing Realized Kernels to Measure the ex post Variation of Equity Prices in the Presence of Noise
1,232 cited

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  • 2022Tail risk forecasting of realized volatility CAViaR models18 cited