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Empirical distribution of daily stock returns of selected developing and emerging markets with application to financial risk management
16 references·1 citing·34 second hop
Empirical distribution of daily stock returns of selected developing and emerging markets with application to financial risk management (2021)Empirical distribution of daily stock ret…Stability advances in robust portfolio optimization under parallelepiped uncertainty (2017)Stability advances in robust …Risk premia: asymmetric tail risks and excess returns (2016)Risk premia: asymmetric tail …Does realized skewness predict the cross-section of equity returns? (2015)Does realized skewness predic…On the Validity of Value-at-Risk: Comparative Analyses with Expected Shortfall (2002)On the Validity of Value-at-R…Value-at-Risk-Based Risk Management: Optimal Policies and Asset Prices (2001)Value-at-Risk-Based Risk Mana…Coherent Measures of Risk (1999)Coherent Measures of RiskA single number can't hedge against economic catastrophes (1999)A single number can't hedge a…The variation of certain speculative prices (1997)The variation of certain spec…Chaos and order in the capital markets: a new view of cycles, prices, and market volatility (1992)Chaos and order in the capita…EMPIRICAL COMPARISONS OF DISTRIBUTIONAL MODELS FOR STOCK INDEX RETURNS (1990)EMPIRICAL COMPARISONS OF DIST…The Pricing of Options on Assets with Stochastic Volatilities (1987)The Pricing of Options on Ass…Generalized autoregressive conditional heteroskedasticity (1986)Generalized autoregressive co…Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Autoregressive Conditional He…The Distribution of Share Price Changes (1972)The Distribution of Share Pri…The Behavior of Stock-Market Prices (1965)The Behavior of Stock-Market …The Variation of Certain Speculative Prices (1963)The Variation of Certain Spec…Application of CNN-based financial risk identification and management convolutional neural networks in financial risk (2025)Application of CNN-based fina…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)Multivariate Simultaneous Generalized ARCH (1995)DISTRIBUTION OF INCOMES OF CORPORATIONS AMONG DIVIDENDS, RETAINED EARNINGS AND TAXES (1956)Portfolio Selection: Efficient Diversification of Investments (1959)Dividend Policy, Growth, and the Valuation of Shares (1961)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)The Pricing of Options and Corporate Liabilities (1973)Theory of Rational Option Pricing (1973)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)Measuring and Testing the Impact of News on Volatility (1993)Theory of rational option pricing (2005)Introductory Econometrics for Finance (2008)Risk, Return, and Equilibrium: Empirical Tests (1973)Common risk factors in the returns on stocks and bonds (1993)On Persistence in Mutual Fund Performance (1997)Empirical Asset Pricing: The Cross Section of Stock Returns (2016)Do Stocks Outperform Treasury Bills? (2017)Does It Pay to Pay Attention? (2018)Asset Prices in an Exchange Economy (1978)Testing Density Forecasts, With Applications to Risk Management (2001)How Accurate Are Value‐at‐Risk Models at Commercial Banks? (2002)Extreme Value Dependence in Financial Markets: Diagnostics, Models, and Financial Implications (2003)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Econometric Analysis of Cross Section and Panel Data (2001)Conditional value-at-risk for general loss distributions (2002)Modeling and Forecasting Realized Volatility (2003)Theory and Applications of Robust Optimization (2010)THE PERFORMANCE OF MUTUAL FUNDS IN THE PERIOD 1945–1964 (1968)Option pricing when underlying stock returns are discontinuous (1976)Long-term dependence in common stock returns (1977)On the Frequency of Large Stock Returns: Putting Booms and Busts into Perspective (1989)The Distribution of Stock Return Volatility (2000)
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References

  • 1986Generalized autoregressive conditional heteroskedasticity22,329 cited
  • 1982Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation20,684 cited
  • 1999Coherent Measures of Risk8,849 cited
  • 1965The Behavior of Stock-Market Prices8,707 cited
  • 1963The Variation of Certain Speculative Prices4,851 cited
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  • 1987The Pricing of Options on Assets with Stochastic Volatilities3,864 cited
  • 2001Value-at-Risk-Based Risk Management: Optimal Policies and Asset Prices834 cited
  • 1972The Distribution of Share Price Changes533 cited
  • 2015Does realized skewness predict the cross-section of equity returns?507 cited
  • 1992Chaos and order in the capital markets: a new view of cycles, prices, and market volatility423 cited
  • 2002On the Validity of Value-at-Risk: Comparative Analyses with Expected Shortfall130 cited
  • 2017Stability advances in robust portfolio optimization under parallelepiped uncertainty117 cited
  • 1990EMPIRICAL COMPARISONS OF DISTRIBUTIONAL MODELS FOR STOCK INDEX RETURNS90 cited
  • 2016Risk premia: asymmetric tail risks and excess returns

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75 cited
  • 1999A single number can't hedge against economic catastrophes71 cited
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    • 2025Application of CNN-based financial risk identification and management convolutional neural networks in financial risk16 cited