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A benchmark for measuring bias in estimated daily value at risk

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  • Moosa, Imad A.
  • Bollen, Bernard

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Bibliographic Info

Article provided by Elsevier in its journal International Review of Financial Analysis.

Volume (Year): 11 (2002)
Issue (Month): 1 ()
Pages: 85-100

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Handle: RePEc:eee:finana:v:11:y:2002:i:1:p:85-100

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Web page: http://www.elsevier.com/locate/inca/620166

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References

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  1. Robert F. Engle & Victor K. Ng, 1991. "Measuring and Testing the Impact of News on Volatility," NBER Working Papers 3681, National Bureau of Economic Research, Inc.
  2. Torben G. Andersen & Tim Bollerslev & Francis X. Diebold & Paul Labys, 1999. "Exchange Rate Returns Standardized by Realized Volatility are (Nearly) Gaussian," New York University, Leonard N. Stern School Finance Department Working Paper Seires, New York University, Leonard N. Stern School of Business- 99-060, New York University, Leonard N. Stern School of Business-.
  3. Bollen, B. & Inder, B., 1998. "A General Volatility Framework and the Generalised Historical Volatility Estimator," Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics 10/98, Monash University, Department of Econometrics and Business Statistics.
  4. Owain Ap Gwilym & Mike Buckle, 1999. "Volatility forecasting in the framework of the option expiry cycle," The European Journal of Finance, Taylor & Francis Journals, Taylor & Francis Journals, vol. 5(1), pages 73-94.
  5. Tim Bollerslev, 1986. "Generalized autoregressive conditional heteroskedasticity," EERI Research Paper Series EERI RP 1986/01, Economics and Econometrics Research Institute (EERI), Brussels.
  6. Torben G. Andersen & Tim Bollerslev & Francis X. Diebold & Paul Labys, 1999. "The Distribution of Exchange Rate Volatility," New York University, Leonard N. Stern School Finance Department Working Paper Seires, New York University, Leonard N. Stern School of Business- 99-059, New York University, Leonard N. Stern School of Business-.
  7. Jarque, Carlos M. & Bera, Anil K., 1980. "Efficient tests for normality, homoscedasticity and serial independence of regression residuals," Economics Letters, Elsevier, vol. 6(3), pages 255-259.
  8. Nelson, Daniel B, 1991. "Conditional Heteroskedasticity in Asset Returns: A New Approach," Econometrica, Econometric Society, Econometric Society, vol. 59(2), pages 347-70, March.
  9. Philippe Artzner & Freddy Delbaen & Jean-Marc Eber & David Heath, 1999. "Coherent Measures of Risk," Mathematical Finance, Wiley Blackwell, Wiley Blackwell, vol. 9(3), pages 203-228.
  10. Darryll Hendricks, 1996. "Evaluation of value-at-risk models using historical data," Economic Policy Review, Federal Reserve Bank of New York, Federal Reserve Bank of New York, issue Apr, pages 39-69.
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Cited by:
  1. Bertrand B. Maillet & Jean-Philippe R. Médecin, 2010. "Extreme Volatilities, Financial Crises and L-moment Estimations of Tail-indexes," Working Papers 2010_10, Department of Economics, University of Venice "Ca' Foscari".
  2. Zmeskal, Zdenek, 2005. "Value at risk methodology of international index portfolio under soft conditions (fuzzy-stochastic approach)," International Review of Financial Analysis, Elsevier, Elsevier, vol. 14(2), pages 263-275.
  3. repec:ltr:wpaper:1999.01 is not listed on IDEAS
  4. Bollen, Bernard & Inder, Brett, 2002. "Estimating daily volatility in financial markets utilizing intraday data," Journal of Empirical Finance, Elsevier, Elsevier, vol. 9(5), pages 551-562, December.
  5. Chrétien, Stéphane & Coggins, Frank, 2010. "Performance and conservatism of monthly FHS VaR: An international investigation," International Review of Financial Analysis, Elsevier, Elsevier, vol. 19(5), pages 323-333, December.

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