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Incorporating volatility updating into the historical simulation method for value-at-risk
1 references·16 citing·41 second hop
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References

  • 1996Value at risk: the new benchmark for controlling market risk1,018 cited

Cited by

  • 2019The impact of sentiment and attention measures on stock market volatility314 cited
  • 2005The hidden dangers of historical simulation270 cited
  • 1999Extreme value theory for risk managers268 cited
  • 2006Evaluating predictive performance of value-at-risk models in emerging markets: a reality check218 cited
  • 2009Extreme Value Theory and Value at Risk: Application to oil market213 cited
  • 2013A comprehensive review of Value at Risk methodologies177 cited
  • 2016Frontiers in VaR forecasting and backtesting126 cited
  • 2005Energy risk management and value at risk modeling119 cited
  • 2009Value–at–Risk Models106 cited
  • 2013Financial Risk Measurement for Financial Risk Management105 cited
  • 2017Applied Quantitative Finance93 cited
  • 2013Comparing univariate and multivariate models to forecast portfolio Value-at-Risk83 cited
  • 2012Quantile Uncertainty and Value‐at‐Risk Model Risk80 cited
  • 2014An Investigation into the Procyclicality of Risk-Based Initial Margin Models68 cited

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  • 2010Skewness and leptokurtosis in GARCH-typed VaR estimation of petroleum and metal asset returns67 cited
  • 2003Risk management based on stochastic volatility65 cited