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VaR without correlations for portfolios of derivative securities

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  1. Hallin, Marc & Trucíos, Carlos, 2023. "Forecasting value-at-risk and expected shortfall in large portfolios: A general dynamic factor model approach," Econometrics and Statistics, Elsevier, vol. 27(C), pages 1-15.
  2. Hammoudeh, Shawkat & Malik, Farooq & McAleer, Michael, 2011. "Risk management of precious metals," The Quarterly Review of Economics and Finance, Elsevier, vol. 51(4), pages 435-441.
  3. Andreas Thomann, 2021. "Multi-asset scenario building for trend-following trading strategies," Annals of Operations Research, Springer, vol. 299(1), pages 293-315, April.
  4. Laura Garcia‐Jorcano & Alfonso Novales, 2021. "Volatility specifications versus probability distributions in VaR forecasting," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 40(2), pages 189-212, March.
  5. Michael S. Gibson, 2001. "Incorporating event risk into value-at-risk," Finance and Economics Discussion Series 2001-17, Board of Governors of the Federal Reserve System (U.S.).
  6. Chang, Kai & Zhang, Chao, 2018. "Asymmetric dependence structure between emissions allowances and wholesale diesel/gasoline prices in emerging China's emissions trading scheme pilots," Energy, Elsevier, vol. 164(C), pages 124-136.
  7. Chebbi, Ali & Hedhli, Amel, 2022. "Revisiting the accuracy of standard VaR methods for risk assessment: Using the Copula–EVT multidimensional approach for stock markets in the MENA region," The Quarterly Review of Economics and Finance, Elsevier, vol. 84(C), pages 430-445.
  8. Markus Leippold & Nikola Vasiljević, 2020. "Option-Implied Intrahorizon Value at Risk," Management Science, INFORMS, vol. 66(1), pages 397-414, January.
  9. Mahsa Gorji & Rasoul Sajjad, 2017. "Improving Value-at-Risk Estimation from the Normal EGARCH Model," Contemporary Economics, University of Economics and Human Sciences in Warsaw., vol. 11(1), March.
  10. O’Brien, James & Szerszeń, Paweł J., 2017. "An evaluation of bank measures for market risk before, during and after the financial crisis," Journal of Banking & Finance, Elsevier, vol. 80(C), pages 215-234.
  11. Castañeda, Pablo & Devoto, Benjamín, 2016. "On the structural estimation of an optimal portfolio rule," Finance Research Letters, Elsevier, vol. 16(C), pages 290-300.
  12. Lu-Tao Zhao & Li-Na Liu & Zi-Jie Wang & Ling-Yun He, 2019. "Forecasting Oil Price Volatility in the Era of Big Data: A Text Mining for VaR Approach," Sustainability, MDPI, vol. 11(14), pages 1-20, July.
  13. Halkos, George & Tsirivis, Apostolos, 2019. "Using Value-at-Risk for effective energy portfolio risk management," MPRA Paper 91674, University Library of Munich, Germany.
  14. Katerina Rigana & Ernst C. Wit & Samantha Cook, 2024. "Navigating Market Turbulence: Insights from Causal Network Contagion Value at Risk," Papers 2402.06032, arXiv.org.
  15. Su, Jung-Bin, 2014. "Empirical analysis of long memory, leverage, and distribution effects for stock market risk estimates," The North American Journal of Economics and Finance, Elsevier, vol. 30(C), pages 1-39.
  16. Bayer, Sebastian, 2018. "Combining Value-at-Risk forecasts using penalized quantile regressions," Econometrics and Statistics, Elsevier, vol. 8(C), pages 56-77.
  17. Ning Zhang & Yujing Gong & Xiaohan Xue, 2023. "Less disagreement, better forecasts: Adjusted risk measures in the energy futures market," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 43(10), pages 1332-1372, October.
  18. Kakade, Kshitij & Jain, Ishan & Mishra, Aswini Kumar, 2022. "Value-at-Risk forecasting: A hybrid ensemble learning GARCH-LSTM based approach," Resources Policy, Elsevier, vol. 78(C).
  19. Fries, Christian P. & Nigbur, Tobias & Seeger, Norman, 2017. "Displaced relative changes in historical simulation: Application to risk measures of interest rates with phases of negative rates," Journal of Empirical Finance, Elsevier, vol. 42(C), pages 175-198.
  20. Sebastian Bayer & Timo Dimitriadis, 2018. "Regression Based Expected Shortfall Backtesting," Papers 1801.04112, arXiv.org, revised Sep 2019.
  21. Wei Kuang, 2022. "Oil tail-risk forecasts: from financial crisis to COVID-19," Risk Management, Palgrave Macmillan, vol. 24(4), pages 420-460, December.
  22. H. Kent Baker & Satish Kumar & Nitesh Pandey, 2021. "Forty years of the Journal of Futures Markets: A bibliometric overview," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 41(7), pages 1027-1054, July.
  23. Diana Barro & Elio Canestrelli, 2009. "Tracking error: a multistage portfolio model," Annals of Operations Research, Springer, vol. 165(1), pages 47-66, January.
  24. Onder Buberkoku, 2019. "Do Long-memory GARCH-type-Value-at-Risk Models Outperform None-and Semi-parametric Value-at-Risk Models?," International Journal of Energy Economics and Policy, Econjournals, vol. 9(2), pages 199-215.
  25. S. M. Masrur Ahmed, 2023. "Sizing Strategies for Algorithmic Trading in Volatile Markets: A Study of Backtesting and Risk Mitigation Analysis," Papers 2309.09094, arXiv.org, revised Sep 2023.
  26. Meriem Rjiba & Michail Tsagris & Hedi Mhalla, 2015. "Bootstrap for Value at Risk Prediction," International Journal of Empirical Finance, Research Academy of Social Sciences, vol. 4(6), pages 362-371.
  27. Jinglun Yao & Sabine Laurent & Brice B'enaben, 2017. "Managing Volatility Risk: An Application of Karhunen-Lo\`eve Decomposition and Filtered Historical Simulation," Papers 1710.00859, arXiv.org.
  28. Wu, Qi & Yan, Xing, 2019. "Capturing deep tail risk via sequential learning of quantile dynamics," Journal of Economic Dynamics and Control, Elsevier, vol. 109(C).
  29. Halkos, George E. & Tsirivis, Apostolos S., 2019. "Value-at-risk methodologies for effective energy portfolio risk management," Economic Analysis and Policy, Elsevier, vol. 62(C), pages 197-212.
  30. Marc Hallin & Carlos Trucíos, 2020. "Forecasting Value-at-Risk and Expected Shortfall in Large Portfolios: a General Dynamic Factor Approach," Working Papers ECARES 2020-50, ULB -- Universite Libre de Bruxelles.
  31. Reddy, Krishna & Mirza, Nawazish & Naqvi, Bushra & Fu, Mingli, 2017. "Comparative risk adjusted performance of Islamic, socially responsible and conventional funds: Evidence from United Kingdom," Economic Modelling, Elsevier, vol. 66(C), pages 233-243.
  32. Jung-Bin Su, 2014. "How to mitigate the impact of inappropriate distributional settings when the parametric value-at-risk approach is used," Quantitative Finance, Taylor & Francis Journals, vol. 14(2), pages 305-325, February.
  33. Le, Trung H., 2020. "Forecasting value at risk and expected shortfall with mixed data sampling," International Journal of Forecasting, Elsevier, vol. 36(4), pages 1362-1379.
  34. Yan Yan & Zhewen Liao & Xiaosong Chen, 2018. "Fixed-income securities: bibliometric review with network analysis," Scientometrics, Springer;Akadémiai Kiadó, vol. 116(3), pages 1615-1640, September.
  35. Lönnbark, Carl, 2017. "Long vs. short term asymmetry in volatility and the term structure of risk," Finance Research Letters, Elsevier, vol. 23(C), pages 202-209.
  36. Lars Ericson & Xuejun Zhu & Xusi Han & Rao Fu & Shuang Li & Steve Guo & Ping Hu, 2024. "Deep Generative Modeling for Financial Time Series with Application in VaR: A Comparative Review," Papers 2401.10370, arXiv.org.
  37. Shige Peng & Shuzhen Yang & Jianfeng Yao, 2018. "Improving Value-at-Risk prediction under model uncertainty," Papers 1805.03890, arXiv.org, revised Jun 2020.
  38. Alfonso Novales & Laura Garcia-Jorcano, 2019. "Backtesting Extreme Value Theory models of expected shortfall," Documentos de Trabajo del ICAE 2019-24, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
  39. Murphy, David & Vasios, Michalis & Vause, Nick, 2014. "Financial Stability Paper No 29: An investigation into the procyclicality of risk-based initial margin models," Bank of England Financial Stability Papers 29, Bank of England.
  40. Nieto, Maria Rosa & Ruiz, Esther, 2016. "Frontiers in VaR forecasting and backtesting," International Journal of Forecasting, Elsevier, vol. 32(2), pages 475-501.
  41. Nademi, Arash & Nademi, Younes, 2018. "Forecasting crude oil prices by a semiparametric Markov switching model: OPEC, WTI, and Brent cases," Energy Economics, Elsevier, vol. 74(C), pages 757-766.
  42. Jeremy Berkowitz & James O'Brien, 2002. "How Accurate Are Value‐at‐Risk Models at Commercial Banks?," Journal of Finance, American Finance Association, vol. 57(3), pages 1093-1111, June.
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