Optimality of the RiskMetrics VaR model
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- Clive W.J. Granger, 1999. "Outline of forecast theory using generalized cost functions," Spanish Economic Review, Springer, vol. 1(2), pages 161-173.
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- 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.
- Raffaella Giacomini & Ivana Komunjer, 2003.
"Evaluation and Combination of Conditional Quantile Forecasts,"
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571, Boston College Department of Economics.
- 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.
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- Peter Christoffersen & Kris Jacobs, 2003.
"The Importance of the Loss Function in Option Valuation,"
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- 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.
- Koenker, Roger W & Bassett, Gilbert, Jr, 1978. "Regression Quantiles," Econometrica, Econometric Society, vol. 46(1), pages 33-50, January.
- repec:cup:cbooks:9780521252805 is not listed on IDEAS
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