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Article provided by Elsevier in its journal Journal of Banking & Finance.

Volume (Year): 24 (2000)
Issue (Month): 7 (July)
Pages: 1131-1154

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Handle: RePEc:eee:jbfina:v:24:y:2000:i:7:p:1131-1154

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1. Vlaar, Peter J G & Palm, Franz C, 1993. "The Message in Weekly Exchange Rates in the European Monetary System: Mean Reversion, Conditional Heteroscedasticity, and Jumps," Journal of Business & Economic Statistics, American Statistical Association, vol. 11(3), pages 351-60, July.
   
   • Vlaar, Peter J.G. & Palm, Franz C., 1993. "The message in weekly exchange rates in the European Monetary System: mean reversion, conditional heteroskedasticity and jumps," Open Access publications from Maastricht University urn:nbn:nl:ui:27-5754, Maastricht University.
2. Arturo Estrella & Darryll Hendricks & John Kambhu & Soo Shin & Stefan Walter, 1994. "The price risk of options positions: measurement and capital requirements," Quarterly Review, Federal Reserve Bank of New York, issue Sum, pages 44-75.
3. Darryll Hendricks, 1996. "Evaluation of value-at-risk models using historical data," Economic Policy Review, Federal Reserve Bank of New York, issue Apr, pages 39-69.
4. Darryll Hendricks, 1996. "Evaluation of value-at-risk models using historical data," Proceedings, Federal Reserve Bank of Chicago, issue May, pages 334-362.
5. Bradley, Michael G. & Lumpkin, Stephen A., 1992. "The Treasury Yield Curve as a Cointegrated System," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 27(03), pages 449-463, September.
6. Campbell, John & Shiller, Robert, 1987. "Cointegration and Tests of Present Value Models," Scholarly Articles 3122490, Harvard University Department of Economics.
   
   • Campbell, John Y & Shiller, Robert J, 1987. "Cointegration and Tests of Present Value Models," Journal of Political Economy, University of Chicago Press, vol. 95(5), pages 1062-88, October.
   • John Y. Campbell & Robert J. Shiller, 1988. "Cointegration and Tests of Present Value Models," NBER Working Papers 1885, National Bureau of Economic Research, Inc.
   • John Y. Campbell & Robert J. Shiller, 1986. "Cointegration and Tests of Present Value Models," Cowles Foundation Discussion Papers 785, Cowles Foundation for Research in Economics, Yale University.
7. Mark P. Taylor, 1991. "Modelling the Yield Curve," IMF Working Papers 91/134, International Monetary Fund.
   
   • Taylor, Mark P, 1992. "Modelling the Yield Curve," Economic Journal, Royal Economic Society, vol. 102(412), pages 524-37, May.
8. Dimson, Elroy & Marsh, Paul, 1995. " Capital Requirements for Securities Firms," Journal of Finance, American Finance Association, vol. 50(3), pages 821-51, July.
9. Campbell, John Y & Shiller, Robert J, 1984. "A Simple Account of the Behavior of Long-Term Interest Rates," American Economic Review, American Economic Association, vol. 74(2), pages 44-48, May.
   
   • John Y. Campbell & Robert J. Shiller, 1983. "A Simple Account of the Behavior of Long-Term Interest Rates," NBER Working Papers 1203, National Bureau of Economic Research, Inc.
   • Shiller, Robert & Campbell, John, 1984. "A Simple Account of the Behavior of Long-Term Interest Rates," Scholarly Articles 3208216, Harvard University Department of Economics.
10. Bollerslev, Tim & Chou, Ray Y. & Kroner, Kenneth F., 1992. "ARCH modeling in finance : A review of the theory and empirical evidence," Journal of Econometrics, Elsevier, vol. 52(1-2), pages 5-59.
11. Shea, Gary S, 1992. "Benchmarking the Expectations Hypothesis of the Interest-Rate Term Structure: An Analysis of Cointegration Vectors," Journal of Business & Economic Statistics, American Statistical Association, vol. 10(3), pages 347-66, July.
12. Bollerslev, Tim, 1986. "Generalized autoregressive conditional heteroskedasticity," Journal of Econometrics, Elsevier, vol. 31(3), pages 307-327, April.
13. Hall, Anthony D & Anderson, Heather M & Granger, Clive W J, 1992. "A Cointegration Analysis of Treasury Bill Yields," The Review of Economics and Statistics, MIT Press, vol. 74(1), pages 116-26, February.
14. Lucas, André, 1997. "Cointegration Testing Using Pseudolikelihood Ratio Tests," Econometric Theory, Cambridge University Press, vol. 13(02), pages 149-169, April.

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Cited by:

1. Maria Rosa Nieto & Esther Ruiz, 2008. "Measuring financial risk : comparison of alternative procedures to estimate VaR and ES," Statistics and Econometrics Working Papers ws087326, Universidad Carlos III, Departamento de Estadística y Econometría.
2. Alejandro Balbas & Esperanza H. Montagut & Maria Jose Perez Fructuoso, 2004. "Hedging bond portfolios versus infinitely many ranked factors of risk," Business Economics Working Papers wb043312, Universidad Carlos III, Departamento de Economía de la Empresa.
3. Raúl de Jesús, Edgar Ortiz, 2011. "Risk in Emerging Stock Markets from Brazil and Mexico: Extreme Value Theory and Alternative Value at Risk Models," Frontiers in Finance and Economics, SKEMA Business School, vol. 8(2), pages 49-88, October.
4. Timotheos Angelidis & Alexandros Benos, 2006. "Liquidity adjusted value-at-risk based on the components of the bid-ask spread," Applied Financial Economics, Taylor and Francis Journals, vol. 16(11), pages 835-851.
5. R.W.J. van den Goorbergh & P.J.G. Vlaar, 1999. "Value-at-Risk analysis of stock returns: Historical simulation, varinace techniques or tail index estimation ?," WO Research Memoranda (discontinued) 579, Netherlands Central Bank, Research Department.
   
   • R.W.J. van den Goorbergh & P.J.G. Vlaar, 1999. "Value-at-Risk Analysis of Stock Returns Historical Simulation,Variance Techniques or Tail Index Estimation?," DNB Staff Reports (discontinued) 40, Netherlands Central Bank.
6. GIOT, Pierre & LAURENT, Sébastien, 2003. "Market risk in commodity markets: a VaR approach," CORE Discussion Papers 2003028, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
   
   • Giot, Pierre & Laurent, Sebastien, 2003. "Market risk in commodity markets: a VaR approach," Energy Economics, Elsevier, vol. 25(5), pages 435-457, September.
7. Kostas Andriosopoulos & Nikos Nomikos, 2012. "Risk management in the energy markets and Value-at-Risk modelling: a Hybrid approach," RSCAS Working Papers 2012/47, European University Institute.
8. Lehar, Alfred & Scheicher, Martin & Schittenkopf, Christian, 2002. "GARCH vs. stochastic volatility: Option pricing and risk management," Journal of Banking & Finance, Elsevier, vol. 26(2-3), pages 323-345, March.
9. Coe, P. & Vahey S.P. & Wakerly, E.C., 2000. "The Transparency and Accountability of UK Debt Management: A Proposal," Cambridge Working Papers in Economics 0028, Faculty of Economics, University of Cambridge.
10. Samia Omrane, 2012. "An Analysis of Exchange Rate Risk Exposure Related to the Public Debt Portfolio of Tunisia: Beyond VaR Approach," Panoeconomicus, Savez ekonomista Vojvodine, Novi Sad, Serbia, vol. 59(1), pages 59-87, March.
11. Lu, Chiuling & Wu, Sheng-Ching & Ho, Lan-Chih, 2009. "Applying VaR to REITs: A comparison of alternative methods," Review of Financial Economics, Elsevier, vol. 18(2), pages 97-102, April.
12. Roberta Fiori & Simonetta Iannotti, 2006. "Scenario Based Principal Component Value-at-Risk: an Application to Italian Banks' Interest Rate Risk Exposure," Temi di discussione (Economic working papers) 602, Bank of Italy, Economic Research and International Relations Area.
13. Timotheos Angelidis & Alexandros Benos & Stavros Degiannakis, 2007. "A robust VaR model under different time periods and weighting schemes," Review of Quantitative Finance and Accounting, Springer, vol. 28(2), pages 187-201, February.

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