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Tail risk forecasting of realized volatility CAViaR models
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Tail risk forecasting of realized volatility CAViaR models (2022)Tail risk forecasting of realized volatil…Dynamic semiparametric models for expected shortfall (and Value-at-Risk) (2019)Dynamic semiparametric models…Higher order elicitability and Osband’s principle (2016)Higher order elicitability an…Jump-robust volatility estimation using nearest neighbor truncation (2012)Jump-robust volatility estima…GENERALIZED AUTOREGRESSIVE SCORE MODELS WITH APPLICATIONS (2012)GENERALIZED AUTOREGRESSIVE SC…Realized GARCH: a joint model for returns and realized measures of volatility (2011)Realized GARCH: a joint model…Designing Realized Kernels to Measure the ex post Variation of Equity Prices in the Presence of Noise (2008)Designing Realized Kernels to…A Simple Approximate Long-Memory Model of Realized Volatility (2008)A Simple Approximate Long-Mem…Value-at-risk versus expected shortfall: A practical perspective (2004)Value-at-risk versus expected…CAViaR (2004)CAViaRModeling and Forecasting Realized Volatility (2003)Modeling and Forecasting Real…Coherent Measures of Risk (1999)Coherent Measures of RiskEvaluating 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…Generalized autoregressive conditional heteroskedasticity (1986)Generalized autoregressive co…Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Autoregressive Conditional He…Comparing Predictive Accuracy (1994)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)On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)Multivariate Simultaneous Generalized ARCH (1995)An Overview of Value at Risk (1997)Modelling Extremal Events (1997)Conditional value-at-risk for general loss distributions (2002)Theory of rational option pricing (2005)Lectures on Stochastic Programming (2009)Estimating Time Varying Risk Premia in the Term Structure: The Arch-M Model (1987)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Modeling and pricing long memory in stock market volatility (1996)A forecast comparison of volatility models: does anything beat a GARCH(1,1)? (2005)MODELLING ASYMMETRIC EXCHANGE RATE DEPENDENCE* (2006)Expected stock returns and volatility (1987)Continuous Martingales and Brownian Motion (1999)Stochastic Integration and Differential Equations (2005)Microstructure noise in the continuous case: The pre-averaging approach (2008)Expected Stock Returns and Variance Risk Premia (2009)Good Volatility, Bad Volatility: Signed Jumps and The Persistence of Volatility (2015)A long memory property of stock market returns and a new model (1993)Answering the Skeptics: Yes, Standard Volatility Models do Provide Accurate Forecasts (1998)Roughing It Up: Including Jump Components in the Measurement, Modeling, and Forecasting of Return Volatility (2007)Quantile Connectedness: Modeling Tail Behavior in the Topology of Financial Networks (2018)Forecasting: theory and practice (2022)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)Dynamic Conditional Correlation (2002)Introductory Econometrics for Finance (2008)Econometric Analysis of Cross Section and Panel Data (2001)Systemic Risk Measurement: Multivariate GARCH Estimation of CoVaR (2012)Financial Network Systemic Risk Contributions (2014)The Cross‐Section of Volatility and Expected Returns (2006)On the Network Topology of Variance Decompositions: Measuring the Connectedness of Financial Firms (2011)
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References

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  • 2016Higher order elicitability and Osband’s principle465 cited
  • 2004Value-at-risk versus expected shortfall: A practical perspective358 cited

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2019
Dynamic semiparametric models for expected shortfall (and Value-at-Risk)
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