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Value-at-Risk Analysis for Measuring Stochastic Volatility of Stock Returns: Using GARCH-Based Dynamic Conditional Correlation Model
16 references·0 citing·43 second hop
Value-at-Risk Analysis for Measuring Stochastic Volatility of Stock Returns: Using GARCH-Based Dynamic Conditional Correlation Model (2021)Value-at-Risk Analysis for Measuring Stoc…Volatility, the Macroeconomy, and Asset Prices (2013)Volatility, the Macroeconomy,…Conditional volatility, skewness, and kurtosis: existence, persistence, and comovements (2003)Conditional volatility, skewn…Mean-Modified Value-at-Risk Optimization with Hedge Funds (2002)Mean-Modified Value-at-Risk O…Dynamic Conditional Correlation (2002)Dynamic Conditional Correlati…Asymmetric correlations of equity portfolios (2002)Asymmetric correlations of eq…A Multivariate Generalized Autoregressive Conditional Heteroscedasticity Model With Time-Varying Correlations (2002)A Multivariate Generalized Au…Extreme Correlation of International Equity Markets (2001)Extreme Correlation of Intern…From value at risk to stress testing: The extreme value approach (2000)From value at risk to stress …The Performance of Hedge Funds: Risk, Return, and Incentives (1999)The Performance of Hedge Fund…Incorporating volatility updating into the historical simulation method for value-at-risk (1998)Incorporating volatility upda…Pitfalls in Tests for Changes in Correlations (1997)Pitfalls in Tests for Changes…On Persistence in Mutual Fund Performance (1997)On Persistence in Mutual Fund…Empirical Characteristics of Dynamic Trading Strategies: The Case of Hedge Funds (1997)Empirical Characteristics of …VAR: Seductive but Dangerous (1995)VAR: Seductive but DangerousGeneralized autoregressive conditional heteroskedasticity (1986)Generalized autoregressive co…Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Autoregressive Conditional He…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)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Optimal Portfolio Allocation under Higher Moments (2006)International asset allocation under regime switching, skew, and kurtosis preferences (2008)Granger causality in risk and detection of extreme risk spillover between financial markets (2009)Time Series Analysis: Forecasting and Control (1977)Time Series Analysis: Forecasting and Control (1977)On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)Theory of the firm: Managerial behavior, agency costs and ownership structure (1976)Moral Hazard and Observability (1979)Common risk factors in the returns on stocks and bonds (1993)An econometric model of serial correlation and illiquidity in hedge fund returns (2004)Hedge Funds and the Technology Bubble (2004)Just How Much Do Individual Investors Lose by Trading? (2008)The Performance of Mutual Funds in the Period 1945-1964 (1968)THE PERFORMANCE OF MUTUAL FUNDS IN THE PERIOD 1945–1964 (1968)Mutual Fund Performance: An Analysis of Quarterly Portfolio Holdings (1989)The Risk in Hedge Fund Strategies: Theory and Evidence from Trend Followers (2001)Risks and Portfolio Decisions Involving Hedge Funds (2003)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)Risk, Return, and Equilibrium: Empirical Tests (1973)Multifactor Explanations of Asset Pricing Anomalies (1996)Illiquidity and stock returns: cross-section and time-series effects (2002)A five-factor asset pricing model (2014)Extreme Values, Regular Variation and Point Processes (1987)Modelling Extremal Events (1997)International Asset Allocation With Regime Shifts (2002)No Contagion, Only Interdependence: Measuring Stock Market Comovements (2002)Asymmetric Dynamics in the Correlations of Global Equity and Bond Returns (2006)MODELLING ASYMMETRIC EXCHANGE RATE DEPENDENCE* (2006)A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle (1989)Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency (1993)Market Integration and Contagion (2005)Downside Risk (2006)Econometric Analysis of Cross Section and Panel Data (2001)Modeling and Forecasting Realized Volatility (2001)The Copula-GARCH model of conditional dependencies: An international stock market application (2006)Dynamic correlation analysis of financial contagion: Evidence from Asian markets (2007)
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References

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  • 1982Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation20,684 cited
  • 1997On Persistence in Mutual Fund Performance17,267 cited
  • 2002Dynamic Conditional Correlation7,126 cited
  • 2001Extreme Correlation of International Equity Markets2,608 cited
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  • 1997Empirical Characteristics of Dynamic Trading Strategies: The Case of Hedge Funds1,262 cited
  • 2002A Multivariate Generalized Autoregressive Conditional Heteroscedasticity Model With Time-Varying Correlations1,198 cited
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  • 1997Pitfalls in Tests for Changes in Correlations381 cited
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  • 1995VAR: Seductive but Dangerous362 cited
  • 2013Volatility, the Macroeconomy, and Asset Prices356 cited

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  • 1998Incorporating volatility updating into the historical simulation method for value-at-risk352 cited
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