Optimality of the RiskMetrics VaR model
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References listed on IDEAS
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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.
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