Optimality of the RiskMetrics VaR model
Download full text from publisher
As the access to this document is restricted, you may want to search for a different version of it.
References listed on IDEAS
- Komunjer, Ivana, 2005.
"Quasi-maximum likelihood estimation for conditional quantiles,"
Journal of Econometrics, Elsevier, vol. 128(1), pages 137-164, September.
- Komunjer, Ivana, 2002. "Quasi-Maximum Likelihood Estimation for Conditional Quantiles," Working Papers 1139, California Institute of Technology, Division of the Humanities and Social Sciences.
- Giacomini, Raffaella & Komunjer, Ivana, 2005.
"Evaluation and Combination of Conditional Quantile Forecasts,"
Journal of Business & Economic Statistics, American Statistical Association, vol. 23, pages 416-431, October.
- Giacomini, Raffaella & Komunjer, Ivana, 2002. "Evaluation and Combination of Conditional Quantile Forecasts," University of California at San Diego, Economics Working Paper Series qt4n99t4wz, Department of Economics, UC San Diego.
- Raffaella Giacomini & Ivana Komunjer, 2003. "Evaluation and Combination of Conditional Quantile Forecasts," Boston College Working Papers in Economics 571, Boston College Department of Economics.
- Koenker, Roger W & Bassett, Gilbert, Jr, 1978. "Regression Quantiles," Econometrica, Econometric Society, vol. 46(1), pages 33-50, January.
- West, Kenneth D, 1996. "Asymptotic Inference about Predictive Ability," Econometrica, Econometric Society, vol. 64(5), pages 1067-1084, September.
- White,Halbert, 1996. "Estimation, Inference and Specification Analysis," Cambridge Books, Cambridge University Press, number 9780521574464, April.
- Clive W.J. Granger, 1999. "Outline of forecast theory using generalized cost functions," Spanish Economic Review, Springer;Spanish Economic Association, vol. 1(2), pages 161-173.
- McNeil, Alexander J. & Frey, Rudiger, 2000. "Estimation of tail-related risk measures for heteroscedastic financial time series: an extreme value approach," Journal of Empirical Finance, Elsevier, vol. 7(3-4), pages 271-300, November.
- Christoffersen, Peter & Jacobs, Kris, 2004.
"The importance of the loss function in option valuation,"
Journal of Financial Economics, Elsevier, vol. 72(2), pages 291-318, May.
- Peter Christoffersen & Kris Jacobs, 2003. "The Importance of the Loss Function in Option Valuation," CIRANO Working Papers 2003s-52, CIRANO.
CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- Marco Taboga, 2014. "The Riskiness of Corporate Bonds," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 46(4), pages 693-713, June.
- Nieto, Maria Rosa & Ruiz, Esther, 2016. "Frontiers in VaR forecasting and backtesting," International Journal of Forecasting, Elsevier, vol. 32(2), pages 475-501.
- Krastyu Georgiev & Young Kim & Stoyan Stoyanov, 2015. "Periodic portfolio revision with transaction costs," Mathematical Methods of Operations Research, Springer;Gesellschaft für Operations Research (GOR);Nederlands Genootschap voor Besliskunde (NGB), vol. 81(3), pages 337-359, June.
- Gloria GonzÃ¡lez-Rivera & Tae-Hwy Lee, 2007. "Nonlinear Time Series in Financial Forecasting," Working Papers 200803, University of California at Riverside, Department of Economics, revised Feb 2008.
More about this item
StatisticsAccess and download statistics
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:eee:finlet:v:4:y:2007:i:3:p:137-145. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Haili He). General contact details of provider: http://www.elsevier.com/locate/frl .
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.
Please note that corrections may take a couple of weeks to filter through the various RePEc services.