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Optimality of the RiskMetrics VaR model

  • Gonzalez-Rivera, Gloria
  • Lee, Tae-Hwy
  • Yoldas, Emre

No abstract is available for this item.

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File URL: http://www.sciencedirect.com/science/article/B7CPP-4NYJ0VT-1/2/4209a5c3647732724434d635bee73325
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Article provided by Elsevier in its journal Finance Research Letters.

Volume (Year): 4 (2007)
Issue (Month): 3 (September)
Pages: 137-145

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Handle: RePEc:eee:finlet:v:4:y:2007:i:3:p:137-145
Contact details of provider: Web page: http://www.elsevier.com/locate/frl

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  1. West, Kenneth D, 1996. "Asymptotic Inference about Predictive Ability," Econometrica, Econometric Society, vol. 64(5), pages 1067-84, September.
  2. Komunjer, Ivana, 2002. "Quasi-Maximum Likelihood Estimation for Conditional Quantiles," Working Papers 1139, California Institute of Technology, Division of the Humanities and Social Sciences.
  3. 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.
  4. Koenker, Roger W & Bassett, Gilbert, Jr, 1978. "Regression Quantiles," Econometrica, Econometric Society, vol. 46(1), pages 33-50, January.
  5. repec:cup:cbooks:9780521252805 is not listed on IDEAS
  6. Raffaella Giacomini & Ivana Komunjer, 2003. "Evaluation and Combination of Conditional Quantile Forecasts," Boston College Working Papers in Economics 571, Boston College Department of Economics.
  7. Peter Christoffersen & Kris Jacobs, 2003. "The Importance of the Loss Function in Option Valuation," CIRANO Working Papers 2003s-52, CIRANO.
  8. 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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