SZodixStudyAcademic Library
ShelvesOpen access
Study · an open academic library·Metadata from OpenAlex (CC0)·Shelves·OpenAlex metadata, de-duplicated
Term structure of risk under alternative econometric specifications
16 references·16 citing·45 second hopsampled
Term structure of risk under alternative econometric specifications (2005)Term structure of risk under alternative …Elements of Financial Risk Management (2012)Elements of Financial Risk Ma…Value at Risk Models in Finance (2003)Value at Risk Models in Finan…Alternative models for stock price dynamics (2003)Alternative models for stock …Regime Switches in Interest Rates (2002)Regime Switches in Interest R…How Accurate Are Value‐at‐Risk Models at Commercial Banks? (2002)How Accurate Are Value‐at‐Ris…Who Should Buy Long-Term Bonds? (2001)Who Should Buy Long-Term Bond…Moments of Markov switching models (2000)Moments of Markov switching m…How Relevant is Volatility Forecasting for Financial Risk Management? (2000)How Relevant is Volatility Fo…A Long-Run and Short-Run Component Model of Stock Return Volatility (1999)A Long-Run and Short-Run Comp…Evaluating Density Forecasts with Applications to Financial Risk Management (1998)Evaluating Density Forecasts …Strategic asset allocation (1997)Strategic asset allocationHow Taxing is Corruption on International Investors? (1997)How Taxing is Corruption on I…An Overview of Value at Risk (1997)An Overview of Value at RiskMultivariate Simultaneous Generalized ARCH (1995)Multivariate Simultaneous Gen…On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)On the Relation between the E…Modelling the Coherence in Short-Run Nominal Exchange Rates: A Multivariate Generalized Arch Model (1990)Modelling the Coherence in Sh…Doing well while doing good: The case of Islamic and sustainability equity investing (2019)Doing well while doing good: …How to Identify and Forecast Bull and Bear Markets? (2016)How to Identify and Forecast …Evaluating predictive densities of US output growth and inflation in a large macroeconomic data set (2013)Evaluating predictive densiti…Optimally Harnessing Inter-Day and Intra-Day Information for Daily Value-at-Risk Prediction (2012)Optimally Harnessing Inter-Da…Forecasting Value-at-Risk using nonlinear regression quantiles and the intra-day range (2012)Forecasting Value-at-Risk usi…Regime Changes and Financial Markets (2011)Regime Changes and Financial …Long-Term Skewness and Systemic Risk (2011)Long-Term Skewness and System…Is Regime Switching in Stock Returns Important in Portfolio Decisions? (2010)Is Regime Switching in Stock …Estimation of multiple period expected shortfall and median shortfall for risk management (2010)Estimation of multiple period…First-passage probability, jump models, and intra-horizon risk (2009)First-passage probability, ju…A Component GARCH Model with Time Varying Weights (2009)A Component GARCH Model with …Financial Risk Management with Bayesian Estimation of GARCH Models: Theory and Applications (2008)Financial Risk Management wit…Investing for the Long-run in European Real Estate (2007)Investing for the Long-run in…Are the dynamic linkages between the macroeconomy and asset prices time-varying? (2006)Are the dynamic linkages betw…Predictive Density Evaluation (2005)Predictive Density EvaluationPractical Volatility and Correlation Modeling for Financial Market Risk Management (2005)Practical Volatility and Corr…Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Generalized autoregressive conditional heteroskedasticity (1986)ARCH modeling in finance (1992)Dynamic Conditional Correlation (2002)Modeling and Forecasting Realized Volatility (2003)Optimum consumption and portfolio rules in a continuous-time model (1971)Essays in the Theory of Risk-Bearing. (1972)The Dividend-Price Ratio and Expectations of Future Dividends and Discount Factors (1988)On the Predictability of Stock Returns: An Asset‐Allocation Perspective (1996)Asset Pricing at the Millennium (2000)Robust Portfolio Rules and Asset Pricing (2004)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)The Cross‐Section of Volatility and Expected Returns (2006)A Capital Asset Pricing Model with Time-Varying Covariances (1988)Introductory Econometrics for Finance (2008)The Pricing of Options and Corporate Liabilities (1973)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)An Empirical Investigation of Continuous‐Time Equity Return Models (2002)The Relative Contribution of Jumps to Total Price Variance (2005)Jumps in Financial Markets: A New Nonparametric Test and Jump Dynamics (2007)Numerical solution of stochastic differential equations (2016)Corruption and Growth (1995)INSTITUTIONS AND ECONOMIC PERFORMANCE: CROSS‐COUNTRY TESTS USING ALTERNATIVE INSTITUTIONAL MEASURES (1995)Corruption Around the World (1998)Corruption and Foreign Direct Investment (2002)Analysis of Panel Data (2003)Are corruption and taxation really harmful to growth? Firm level evidence (2006)An equilibrium characterization of the term structure (1977)A Theory of the Term Structure of Interest Rates (1985)A multivariate model of strategic asset allocation (2002)Household Risk Management and Optimal Mortgage Choice (2003)The Term Structure of Real Rates and Expected Inflation (2007)The Econometrics of Financial Markets (2012)Quasi-maximum likelihood estimation and inference in dynamic models with time-varying covariances (1992)Comparing Predictive Accuracy (1994)Modeling and Forecasting Realized Volatility (2001)Testing Density Forecasts, With Applications to Risk Management (2001)The Copula-GARCH model of conditional dependencies: An international stock market application (2006)Rational-expectations econometric analysis of changes in regime (1988)A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle (1989)International Asset Allocation With Regime Shifts (2002)A no-arbitrage vector autoregression of term structure dynamics with macroeconomic and latent variables (2003)Stock Return Predictability: Is it There? (2006)Portfolio optimization with conditional value-at-risk objective and constraints (2001)Value-at-Risk-Based Risk Management: Optimal Policies and Asset Prices (2001)
this work references cited by second hop· second hop is a sample of the most-cited connections

References

  • 1993On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks9,041 cited
  • 1995Multivariate Simultaneous Generalized ARCH4,510 cited
  • 1990Modelling the Coherence in Short-Run Nominal Exchange Rates: A Multivariate Generalized Arch Model3,519 cited
  • 1997How Taxing is Corruption on International Investors?2,810 cited
  • 1998Evaluating Density Forecasts with Applications to Financial Risk Management1,452 cited
  • 1997An Overview of Value at Risk1,320 cited
  • 2003Alternative models for stock price dynamics893 cited
  • 2002Regime Switches in Interest Rates854 cited
  • 1997Strategic asset allocation730 cited
  • 2001Who Should Buy Long-Term Bonds?624 cited
  • 2002How Accurate Are Value‐at‐Risk Models at Commercial Banks?531 cited
  • 2012Elements of Financial Risk Management436 cited
  • 1999A Long-Run and Short-Run Component Model of Stock Return Volatility350 cited
  • 2000Moments of Markov switching models336 cited
  • 2000How Relevant is Volatility Forecasting for Financial Risk Management?336 cited
  • 2003Value at Risk Models in Finance

Only edges whose both ends are imported exist here. Widen the year window, or show the whole map. Back to the work

210 cited

Cited by

  • 2010Is Regime Switching in Stock Returns Important in Portfolio Decisions?119 cited
  • 2011Long-Term Skewness and Systemic Risk92 cited
  • 2012Forecasting Value-at-Risk using nonlinear regression quantiles and the intra-day range66 cited
  • 2007Investing for the Long-run in European Real Estate66 cited
  • 2019Doing well while doing good: The case of Islamic and sustainability equity investing62 cited
  • 2016How to Identify and Forecast Bull and Bear Markets?59 cited
  • 2013Evaluating predictive densities of US output growth and inflation in a large macroeconomic data set59 cited
  • 2008Financial Risk Management with Bayesian Estimation of GARCH Models: Theory and Applications53 cited
  • 2012Optimally Harnessing Inter-Day and Intra-Day Information for Daily Value-at-Risk Prediction48 cited
  • 2009A Component GARCH Model with Time Varying Weights47 cited
  • 2006Are the dynamic linkages between the macroeconomy and asset prices time-varying?45 cited
  • 2005Practical Volatility and Correlation Modeling for Financial Market Risk Management43 cited
  • 2011Regime Changes and Financial Markets43 cited
  • 2005Predictive Density Evaluation42 cited
  • 2010Estimation of multiple period expected shortfall and median shortfall for risk management40 cited
  • 2009First-passage probability, jump models, and intra-horizon risk40 cited