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A Gentle Introduction to the RM2006 Methodology · Study

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PreprintA Gentle Introduction to the RM2006 Methodology

Gilles Zumbach2009

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Preprintgreen2009

A Gentle Introduction to the RM2006 Methodology

37 citations·0/0 files stored·SSRN Electronic Journal

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Financial Risk and Volatility Modeling Risk Management in Financial Firms Risk and Portfolio Optimization

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References

2004Volatility processes and volatility forecast with long memory 2009The Riskmetrics 2006 Methodology

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2012International Evidence on GFC‐Robust Forecasts for Risk Management under the Basel Accord 2013GFC-Robust Risk Management Under the Basel Accord 2020Comparing high-dimensional conditional covariance matrices: Implications for portfolio selection

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2003Market heterogeneities and the causal structure of volatilityarticle · 1 shared reference 2007Forecasting volatility and volume in the Tokyo Stock Market: Long memory, fractality and regime switchingarticle · 1 shared reference 2009The Riskmetrics 2006 Methodologypreprint · 1 shared reference 2011Forecasting exchange rate volatility using high-frequency data: Is the euro different?article · 1 shared reference 2013Do High-Frequency Data Improve High-Dimensional Portfolio Allocations?article · 1 shared reference 2010Modelling and forecasting multivariate realized volatilityarticle · 1 shared reference

Details

Year2009

Typepreprint

Published2009-01-01

VenueSSRN Electronic Journal

ISSN-L1556-5068

Languageen

Citations37

Files0 public / 0

ShelfFinancial Risk and Volatility Modeling

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doi10.2139/ssrn.1420183

openalex_workW67586216

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