SZodixStudyAcademic Library
ShelvesOpen access
Study · an open academic library·Metadata from OpenAlex (CC0)·Shelves·OpenAlex metadata, de-duplicated
It pays to violate: how effective are the Basel accord penalties in encouraging risk management?
16 references·2 citing·27 second hop
It pays to violate: how effective are the Basel accord penalties in encouraging risk management? (2011)It pays to violate: how effective are the…Evaluating Value-at-Risk Models with Desk-Level Data (2009)Evaluating Value-at-Risk Mode…Do banks overstate their Value-at-Risk? (2007)Do banks overstate their Valu…An econometric analysis of asymmetric volatility: Theory and application to patents (2006)An econometric analysis of as…AUTOMATED INFERENCE AND LEARNING IN MODELING FINANCIAL VOLATILITY (2005)AUTOMATED INFERENCE AND LEARN…ASYMPTOTIC THEORY FOR A VECTOR ARMA-GARCH MODEL (2003)ASYMPTOTIC THEORY FOR A VECTO…Stationarity and the existence of moments of a family of GARCH processes (2002)Stationarity and the existenc…Recent Theoretical Results for Time Series Models with GARCH Errors (2002)Recent Theoretical Results fo…NECESSARY AND SUFFICIENT MOMENT CONDITIONS FOR THE GARCH(r,s) AND ASYMMETRIC POWER GARCH(r,s) MODELS (2002)NECESSARY AND SUFFICIENT MOME…How Accurate Are Value‐at‐Risk Models at Commercial Banks? (2002)How Accurate Are Value‐at‐Ris…Value At Risk: The New Benchmark for Managing Financial Risk (2000)Value At Risk: The New Benchm…STRONG CONSISTENCY OF ESTIMATORS FOR MULTIVARIATE ARCH MODELS (1998)STRONG CONSISTENCY OF ESTIMAT…On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)On the Relation between the E…Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Conditional Heteroskedasticit…Generalized autoregressive conditional heteroskedasticity (1986)Generalized autoregressive co…Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Autoregressive Conditional He…Studies of stock market volatility changes (1976)Studies of stock market volat…A review of research on regulation changes in the Asia‐Pacific region (2017)A review of research on regul…Unfolded GARCH models (2015)Unfolded GARCH modelsMartingales and arbitrage in multiperiod securities markets (1979)Evaluating Interval Forecasts (1998)Coherent Measures of Risk (1999)Comparison of Volatility Measures: a Risk Management Perspective (2009)The level and quality of Value-at-Risk disclosure by commercial banks (2009)Evaluating Value-at-Risk Models via Quantile Regression (2010)Book Review: Time Series Analysis: Forecasting and Control (1977)Time Series Analysis: Forecasting and Control (1977)Multivariate Simultaneous Generalized ARCH (1995)Theoretical and Empirical properties of Dynamic Conditional Correlation Multivariate GARCH (2001)Multivariate GARCH models: a survey (2006)Techniques for Verifying the Accuracy of Risk Measurement Models (1995)CAViaR (2004)Measuring Market Risk (2005)Making and Evaluating Point Forecasts (2011)Stock Liquidity and Stock Price Crash Risk (2017)Likelihood-Based Inference in Cointegrated Vector Autoregressive Models (1995)A Multivariate Generalized Autoregressive Conditional Heteroscedasticity Model With Time-Varying Correlations (2002)Correlations and volatility spillovers between oil prices and the stock prices of clean energy and technology companies (2011)Backtesting Value-at-Risk: A Duration-Based Approach (2004)Is gold a safe haven or a hedge for the US dollar? Implications for risk management (2013)Machine Learning in Banking Risk Management: A Literature Review (2019)Econometric Analysis of Cross Section and Panel Data (2001)ARCH modeling in finance (1992)By Force of Habit: A Consumption‐Based Explanation of Aggregate Stock Market Behavior (1999)The Cross‐Section of Volatility and Expected Returns (2006)The distribution of realized stock return volatility (2001)
this work references cited by second hop

References

  • 1986Generalized autoregressive conditional heteroskedasticity22,836 cited
  • 1982Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation20,695 cited
  • 1991Conditional Heteroskedasticity in Asset Returns: A New Approach10,268 cited
  • 1993On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks9,041 cited
  • 2000Value At Risk: The New Benchmark for Managing Financial Risk2,494 cited
  • 2003ASYMPTOTIC THEORY FOR A VECTOR ARMA-GARCH MODEL887 cited
  • 1976Studies of stock market volatility changes885 cited
  • 2002How Accurate Are Value‐at‐Risk Models at Commercial Banks?531 cited
  • 1998STRONG CONSISTENCY OF ESTIMATORS FOR MULTIVARIATE ARCH MODELS445 cited
  • 2009Evaluating Value-at-Risk Models with Desk-Level Data366 cited
  • 2002Stationarity and the existence of moments of a family of GARCH processes357 cited
  • 2005AUTOMATED INFERENCE AND LEARNING IN MODELING FINANCIAL VOLATILITY343 cited
  • 2002NECESSARY AND SUFFICIENT MOMENT CONDITIONS FOR THE GARCH(r,s) AND ASYMMETRIC POWER GARCH(r,s) MODELS288 cited
  • 2002Recent Theoretical Results for Time Series Models with GARCH Errors266 cited
  • 2006An econometric analysis of asymmetric volatility: Theory and application to patents

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

193 cited
  • 2007Do banks overstate their Value-at-Risk?111 cited
  • Cited by

    • 2015Unfolded GARCH models19 cited
    • 2017A review of research on regulation changes in the Asia‐Pacific region17 cited