Value at risk from econometric models and implied from currency options
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- Ewa Ratuszny, 2015. "Risk Modeling of Commodities using CAViaR Models, the Encompassing Method and the Combined Forecasts," Dynamic Econometric Models, Uniwersytet Mikolaja Kopernika, vol. 15, pages 129-156.
- K. Triantafyllopoulos, 2008. "Multivariate stochastic volatility with Bayesian dynamic linear models," Papers 0802.0214, arXiv.org.
- repec:eee:intfor:v:33:y:2017:i:4:p:848-863 is not listed on IDEAS
- Kim, Jun Sik & Ryu, Doojin, 2015. "Are the KOSPI 200 implied volatilities useful in value-at-risk models?," Emerging Markets Review, Elsevier, vol. 22(C), pages 43-64.
- Chuang, Chung-Chu & Wang, Yi-Hsien & Yeh, Tsai-Jung & Chuang, Shuo-Li, 2014. "Backtesting VaR in consideration of the higher moments of the distribution for minimum-variance hedging portfolios," Economic Modelling, Elsevier, vol. 42(C), pages 15-19.
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