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Citations for "CAViaR: Conditional Autoregressive Value at Risk by Regression Quantiles"

by Robert F. Engle & Simone Manganelli

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  1. George Kouretas & Leonidas Zarangas, 2005. "Conditional autoregressive valu at risk by regression quantile: Estimatingmarket risk for major stock markets," Working Papers 0521, University of Crete, Department of Economics.
  2. Aslanidis, Nektarios & Casas, Isabel, 2011. "Modelling asset correlations: A nonparametric approach," Working Papers 2011-01, University of Sydney, School of Economics.
  3. Katarzyna Bien-Barkowska, 2012. ""Does it take volume to move fx rates?" Evidence from quantile regressions," Dynamic Econometric Models, Uniwersytet Mikolaja Kopernika, vol. 12, pages 35-52.
  4. Taylor, James W., 2007. "Forecasting daily supermarket sales using exponentially weighted quantile regression," European Journal of Operational Research, Elsevier, vol. 178(1), pages 154-167, April.
  5. Paolo Zagaglia & Massimiliano Marzo, 2013. "Gold and the U.S. dollar: tales from the turmoil," Quantitative Finance, Taylor & Francis Journals, vol. 13(4), pages 571-582, March.
  6. Amiri, Aboubacar & Thiam, Baba, 2014. "A smoothing stochastic algorithm for quantile estimation," Statistics & Probability Letters, Elsevier, vol. 93(C), pages 116-125.
  7. Xiao, Zhijie, 2009. "Quantile cointegrating regression," Journal of Econometrics, Elsevier, vol. 150(2), pages 248-260, June.
  8. Filip Zikes & Jozef Barunik, 2013. "Semiparametric Conditional Quantile Models for Financial Returns and Realized Volatility," Papers 1308.4276, arXiv.org.
  9. Li, Yushu & Andersson, Jonas, 2014. "A Likelihood Ratio and Markov Chain Based Method to Evaluate Density Forecasting," Discussion Papers 2014/12, Department of Business and Management Science, Norwegian School of Economics.
  10. Paulo Araújo Santos & Juan-Ángel Jiménez-Martín & Michael McAleer & Teodosio Pérez Amaral, 2011. "GFC-Robust Risk Management Under the Basel Accord Using Extreme Value Methodologies," Documentos de Trabajo del ICAE 2011-27, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
  11. Elena-Ivona Dumitrescu & Christophe Hurlin & Vinson Pham, 2012. "Backtesting Value-at-Risk: From Dynamic Quantile to Dynamic Binary Tests," Working Papers halshs-00671658, HAL.
  12. Ray Chou & Chun-Chou Wu & Nathan Liu, 2009. "Forecasting time-varying covariance with a range-based dynamic conditional correlation model," Review of Quantitative Finance and Accounting, Springer, vol. 33(4), pages 327-345, November.
  13. Jeremy Berkowitz & James M. O'Brien, 2001. "How accurate are Value-at-Risk models at commercial banks?," Finance and Economics Discussion Series 2001-31, Board of Governors of the Federal Reserve System (U.S.).
  14. Jean-François Carpantier & Arnaud Dufays, 2013. "Commodities Inventory Effect," CREA Discussion Paper Series 13-07, Center for Research in Economic Analysis, University of Luxembourg.
  15. Aloui, Riadh & Aïssa, Mohamed Safouane Ben & Hammoudeh, Shawkat & Nguyen, Duc Khuong, 2014. "Dependence and extreme dependence of crude oil and natural gas prices with applications to risk management," Energy Economics, Elsevier, vol. 42(C), pages 332-342.
  16. Demiralay, Sercan & Ulusoy, Veysel, 2014. "Value-at-risk Predictions of Precious Metals with Long Memory Volatility Models," MPRA Paper 53229, University Library of Munich, Germany.
  17. Drew Creal & Siem Jan Koopman & Andre Lucas, 2009. "A General Framework for Observation Driven Time-Varying Parameter Models," Global COE Hi-Stat Discussion Paper Series gd08-038, Institute of Economic Research, Hitotsubashi University.
  18. Huang, Dashan & Yu, Baimin & Fabozzi, Frank J. & Fukushima, Masao, 2009. "CAViaR-based forecast for oil price risk," Energy Economics, Elsevier, vol. 31(4), pages 511-518, July.
  19. Charles, Amélie & Darné, Olivier, 2014. "Large shocks in the volatility of the Dow Jones Industrial Average index: 1928–2013," Journal of Banking & Finance, Elsevier, vol. 43(C), pages 188-199.
  20. Guillaume Carlier & Victor Chernozhukov & Alfred Galichon, 2014. "Vector quantile regression," CeMMAP working papers CWP48/14, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
  21. Rossi, Eduardo & Spazzini, Filippo, 2008. "Model and distribution uncertainty in multivariate GARCH estimation: a Monte Carlo analysis," MPRA Paper 12260, University Library of Munich, Germany.
  22. Youssef, Manel & Belkacem, Lotfi & Mokni, Khaled, 2015. "Value-at-Risk estimation of energy commodities: A long-memory GARCH–EVT approach," Energy Economics, Elsevier, vol. 51(C), pages 99-110.
  23. Xisong Jin & Francisco Nadal De Simone, 2013. "Banking Systemic Vulnerabilities: A Tail-risk Dynamic CIMDO Approach," BCL working papers 82, Central Bank of Luxembourg.
  24. Christophe Hurlin & Gilbert Colletaz & Sessi Tokpavi & Bertrand Candelon, 2008. "Backtesting Value-at-Risk: A GMM Duration-Based Test," Working Papers halshs-00329495, HAL.
  25. Pesaran, Bahram & Pesaran, M. Hashem, 2007. "Modelling Volatilities and Conditional Correlations in Futures Markets with a Multivariate t Distribution," IZA Discussion Papers 2906, Institute for the Study of Labor (IZA).
  26. Komunjer, Ivana, 2013. "Quantile Prediction," Handbook of Economic Forecasting, Elsevier.
  27. Georges Dionne & Pierre Duchesne & Maria Pacurar, 2005. "Intraday Value at Risk (IVaR) Using Tick-by-Tick Data with Application to the Toronto Stock Exchange," Cahiers de recherche 0533, CIRPEE.
  28. Wei-Ting Tang & Yin-Feng Gau, 2004. "Forecasting Value-at-Risk Using the Markov-Switching ARCH Model," Econometric Society 2004 Far Eastern Meetings 715, Econometric Society.
  29. Huang, Alex YiHou, 2010. "An optimization process in Value-at-Risk estimation," Review of Financial Economics, Elsevier, vol. 19(3), pages 109-116, August.
  30. Marcelo Bianconi & Xiaxin Hua & Chih Ming Tan, 2013. "Determinants of Systemic Risk and Information Dissemination," Discussion Papers Series, Department of Economics, Tufts University 0776, Department of Economics, Tufts University.
  31. Stavros Degiannakis & Pamela Dent & Christos Floros, 2014. "A Monte Carlo Simulation Approach to Forecasting Multi-period Value-at-Risk and Expected Shortfall Using the FIGARCH-skT Specification," Manchester School, University of Manchester, vol. 82(1), pages 71-102, 01.
  32. Manner, Hans & Reznikova, Olga, 2010. "Forecasting international stock market correlations: does anything beat a CCC?," Discussion Papers in Econometrics and Statistics 7/10, University of Cologne, Institute of Econometrics and Statistics.
  33. Benjamin Hamidi & Bertrand Maillet & Jean-Luc Prigent, 2014. "A Dynamic AutoRegressive Expectile for Time-Invariant Portfolio Protection Strategies," Working Papers 2014-131, Department of Research, Ipag Business School.
  34. Nektarios Aslanidis & Charlotte Christiansen, 2012. "Quantiles of the Realized Stock-Bond Correlation and Links to the Macroeconomy," CREATES Research Papers 2012-34, School of Economics and Management, University of Aarhus.
  35. Xiaoping Xu & Zongwu Cai, 2013. "Nonparametric Quantile Estimations For Dynamic Smooth Coefficient Models," Papers 2013-10-14, Working Paper.
  36. Tobias Adrian & Markus K. Brunnermeier, 2008. "CoVaR," Staff Reports 348, Federal Reserve Bank of New York.
    • Tobias Adrian & Markus K. Brunnermeier, 2011. "CoVaR," NBER Working Papers 17454, National Bureau of Economic Research, Inc.
  37. Zongwu Cai & Xian Wang, 2013. "Nonparametric Methods for Estimating Conditional VaR and Expected Shortfall," Papers 2013-10-14, Working Paper.
  38. Yongmiao Hong & Yanhui Liu & Shouyang Wang, 2013. "Granger causality in risk and detection of extreme risk spillover between financial markets," Papers 2013-10-14, Journal.
  39. Philippe Charlot & Vêlayoudom Marimoutou, 2011. "Hierarchical hidden Markov structure for dynamic correlations: the hierarchical RSDC model (version révisée)," Working Papers hal-00605965, HAL.
  40. McMillan, David G. & Speight, Alan E.H. & Evans, Kevin P., 2008. "How useful is intraday data for evaluating daily Value-at-Risk?: Evidence from three Euro rates," Journal of Multinational Financial Management, Elsevier, vol. 18(5), pages 488-503, December.
  41. Fengler, Matthias R. & Herwartz, Helmut, 2015. "Measuring spot variance spillovers when (co)variances are time-varying – the case of multivariate GARCH models," Economics Working Paper Series 1517, University of St. Gallen, School of Economics and Political Science.
  42. 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.
  43. Colletaz, Gilbert & Hurlin, Christophe & Pérignon, Christophe, 2013. "The Risk Map: A new tool for validating risk models," Journal of Banking & Finance, Elsevier, vol. 37(10), pages 3843-3854.
  44. Loriano Mancini & Fabio Trojani, 2005. "Robust Value at Risk Prediction," Swiss Finance Institute Research Paper Series 07-31, Swiss Finance Institute, revised Oct 2007.
  45. Hela Dahen & Georges Dionne, 2007. "Scaling Models for the Severity and Frequency of External Operational Loss Data," Cahiers de recherche 0702, CIRPEE.
  46. Hartz, Christoph & Mittnik, Stefan & Paolella, Marc S., 2006. "Accurate Value-at-Risk forecast with the (good old) normal-GARCH model," CFS Working Paper Series 2006/23, Center for Financial Studies (CFS).
  47. CHEN, Cathy W.S. & WENG, Monica M.C. & WATANABE, Toshiaki, 2015. "Employing Bayesian Forecasting of Value-at-Risk to Determine an Appropriate Model for Risk Management," Discussion paper series HIAS-E-16, Hitotsubashi Institute for Advanced Study, Hitotsubashi University.
  48. Marc Joëts, 2013. "Energy price transmissions during extreme movements," Working Papers 2013-028, Department of Research, Ipag Business School.
  49. Oliver Linton & Yoon-Jae Whang, 2004. "A Quantilogram Approach to Evaluating Directional Predictability," Cowles Foundation Discussion Papers 1454, Cowles Foundation for Research in Economics, Yale University.
  50. Gian Piero Aielli, 2011. "Dynamic Conditional Correlation: On properties and estimation," "Marco Fanno" Working Papers 0142, Dipartimento di Scienze Economiche "Marco Fanno".
  51. Yu, Jing-Rung & Chiou, Wan-Jiun Paul & Mu, Da-Ren, 2015. "A linearized value-at-risk model with transaction costs and short selling," European Journal of Operational Research, Elsevier, vol. 247(3), pages 872-878.
  52. Taylor, Nicholas, 2007. "A note on the importance of overnight information in risk management models," Journal of Banking & Finance, Elsevier, vol. 31(1), pages 161-180, January.
  53. Barbara Choros-Tomczyk & Wolfgang Karl Härdle & Ludger Overbeck, 2012. "Copula Dynamics in CDOs," SFB 649 Discussion Papers SFB649DP2012-032, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
  54. Liu, Shouwei & Tse, Yiu-Kuen, 2015. "Intraday Value-at-Risk: An asymmetric autoregressive conditional duration approach," Journal of Econometrics, Elsevier, vol. 189(2), pages 437-446.
  55. DeRossi, G. & Harvey, A., 2007. "Quantiles, Expectiles and Splines," Cambridge Working Papers in Economics 0702, Faculty of Economics, University of Cambridge.
  56. James D. Hamilton, 2008. "Macroeconomics and ARCH," NBER Working Papers 14151, National Bureau of Economic Research, Inc.
  57. Aramonte, Sirio & Giudice Rodriguez, Marius del & Wu, Jason, 2013. "Dynamic factor Value-at-Risk for large heteroskedastic portfolios," Journal of Banking & Finance, Elsevier, vol. 37(11), pages 4299-4309.
  58. Gregory, Allan W. & Reeves, Jonathan J., 2008. "Interpreting Value at Risk (VaR) forecasts," Economic Systems, Elsevier, vol. 32(2), pages 167-176, June.
  59. Stavros Stavroyiannis & Leonidas Zarangas, 2013. "Out of Sample Value-at-Risk and Backtesting with the Standardized Pearson Type-IV Skewed Distribution," Panoeconomicus, Savez ekonomista Vojvodine, Novi Sad, Serbia, vol. 60(2), pages 231-247, April.
  60. Rabeh Khalfaoui & Mohammed Boutahar, 2012. "Portfolio Risk Evaluation An Approach Based on Dynamic Conditional Correlations Models and Wavelet Multi-Resolution Analysis," AMSE Working Papers 1208, Aix-Marseille School of Economics, Marseille, France.
  61. Papanikolaou, Nikolaos I. & Wolff, Christian C.P., 2014. "The role of on- and off-balance-sheet leverage of banks in the late 2000s crisis," Journal of Financial Stability, Elsevier, vol. 14(C), pages 3-22.
  62. Engle, Robert, 2001. "Financial econometrics - A new discipline with new methods," Journal of Econometrics, Elsevier, vol. 100(1), pages 53-56, January.
  63. Shih-Kang Chao & Wolfgang Karl Härdle & Weining Wang, 2012. "Quantile Regression in Risk Calibration," SFB 649 Discussion Papers SFB649DP2012-006, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
  64. Baur, Dirk G. & Dimpfl, Thomas & Jung, Robert C., 2012. "Stock return autocorrelations revisited: A quantile regression approach," University of Tuebingen Working Papers in Economics and Finance 24, University of Tuebingen, Faculty of Economics and Social Sciences.
  65. Vincenzo Candila, 2013. "A Comparison Of The Forecasting Performances Of Multivariate Volatility Models," Working Papers 3_228, Dipartimento di Scienze Economiche e Statistiche, Università degli Studi di Salerno.
  66. Carlos Martins-Filho & Feng Yao & Maximo Torero, 2012. "Nonparametric estimation of conditional value-at-risk and expected shortfall based on extreme value theory," Working Papers 13-05, Department of Economics, West Virginia University.
  67. Anginer, Deniz & Demirguc-Kunt, Asli, 2014. "Has the global banking system become more fragile over time?," Journal of Financial Stability, Elsevier, vol. 13(C), pages 202-213.
  68. Candelon, Bertrand & Joëts, Marc & Tokpavi, Sessi, 2013. "Testing for Granger causality in distribution tails: An application to oil markets integration," Economic Modelling, Elsevier, vol. 31(C), pages 276-285.
  69. Helmut Herwartz & Israel Waichman, 2010. "A comparison of bootstrap and Monte-Carlo testing approaches to value-at-risk diagnosis," Computational Statistics, Springer, vol. 25(4), pages 725-732, December.
  70. Halbleib, Roxana & Pohlmeier, Winfried, 2012. "Improving the value at risk forecasts: Theory and evidence from the financial crisis," Journal of Economic Dynamics and Control, Elsevier, vol. 36(8), pages 1212-1228.
  71. Carlos Madeira & Joao Madeira, 2015. "Dissent in FOMC Meeting and the Announcement Drift," Working Papers Central Bank of Chile 749, Central Bank of Chile.
  72. Christophe HURLIN & Sessi TOKPAVI, 2007. "Une évaluation des procédures de Backtesting," LEO Working Papers / DR LEO 1716, Orleans Economics Laboratory / Laboratoire d'Economie d'Orleans (LEO), University of Orleans.
  73. Riadh Aloui & Mohamed Safouane Ben Aissa & Khuong Nguyen Duc, 2010. "Global Financial Crisis, Extreme Interdependences, and Contagion E§ects: The Role of Economic Structure," Working Papers 15, Development and Policies Research Center (DEPOCEN), Vietnam.
  74. López-Espinosa, Germán & Rubia, Antonio & Valderrama, Laura & Antón, Miguel, 2013. "Good for one, bad for all: Determinants of individual versus systemic risk," Journal of Financial Stability, Elsevier, vol. 9(3), pages 287-299.
  75. Christophe M. Boucher & Jon Danielsson & Patrick S. Kouontchou & Bertrand B. Maillet, 2013. "Risk models–at–risk," LSE Research Online Documents on Economics 59299, London School of Economics and Political Science, LSE Library.
  76. repec:hal:journl:halshs-00389789 is not listed on IDEAS
  77. Xiaohong Chen & Roger Koenker & Zhijie Xiao, 2008. "Copula-Based Nonlinear Quantile Autoregression," Cowles Foundation Discussion Papers 1679, Cowles Foundation for Research in Economics, Yale University.
  78. Shao, Xi-Dong & Lian, Yu-Jun & Yin, Lian-Qian, 2009. "Forecasting Value-at-Risk using high frequency data: The realized range model," Global Finance Journal, Elsevier, vol. 20(2), pages 128-136.
  79. Thomas Q. Pedersen, 2010. "Predictable return distributions," CREATES Research Papers 2010-38, School of Economics and Management, University of Aarhus.
  80. Krenar Avdulaj & Jozef Barunik, 2013. "Can we still benefit from international diversification? The case of the Czech and German stock markets," Papers 1308.6120, arXiv.org, revised Sep 2013.
  81. DeRossi, G. & Harvey, A., 2006. "Time-Varying Quantiles," Cambridge Working Papers in Economics 0649, Faculty of Economics, University of Cambridge.
  82. Wagner Piazza Gaglianone & Jaqueline Terra Moura Marins, 2014. "Risk Assessment of the Brazilian FX Rate," Working Papers Series 344, Central Bank of Brazil, Research Department.
  83. Grzegorz Hałaj & Christoffer Kok, 2013. "Assessing interbank contagion using simulated networks," Computational Management Science, Springer, vol. 10(2), pages 157-186, June.
  84. Dimitrios P. Louzis & Spyros Xanthopoulos - Sissinis & Apostolos P. Refenes, 2012. "Stock index Value-at-Risk forecasting: A realized volatility extreme value theory approach," Economics Bulletin, AccessEcon, vol. 32(1), pages 981-991.
  85. Boyson, Nicole M. & Stahel, Christof W. & Stulz, Rene M., 2011. "Liquidity Shocks and Hedge Fund Contagion," Working Paper Series 2011-12, Ohio State University, Charles A. Dice Center for Research in Financial Economics.
  86. Manuel Arellano & Stéphane Bonhomme, 2015. "Nonlinear Panel Data Estimation Via Quantile Regressions," Working Papers wp2015_1505, CEMFI.
  87. Linton, O. & Whang, Yoon-Jae, 2007. "The quantilogram: With an application to evaluating directional predictability," Journal of Econometrics, Elsevier, vol. 141(1), pages 250-282, November.
  88. Stavros Degiannakis & Christos Floros & Alexandra Livada, 2012. "Evaluating value-at-risk models before and after the financial crisis of 2008: International evidence," Managerial Finance, Emerald Group Publishing, vol. 38(3), pages 436-452, March.
  89. Meligkotsidou, Loukia & Vrontos, Ioannis D. & Vrontos, Spyridon D., 2009. "Quantile regression analysis of hedge fund strategies," Journal of Empirical Finance, Elsevier, vol. 16(2), pages 264-279, March.
  90. Pilar Abad & Sonia Benito & Miguel Angel Sánchez Granero & Carmen López, 2013. "A Capital Adequacy Buffer Model," Documentos de Trabajo del ICAE 2013-40, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
  91. Mario Cerrato & John Crosby & Minjoo Kim & Yang Zhao, 2014. "Modeling Dependence Structure and Forecasting Portfolio Value-at-Risk with Dynamic Copulas," Working Papers 2014_17, Business School - Economics, University of Glasgow.
  92. Cheng, Wan-Hsiu & Hung, Jui-Cheng, 2011. "Skewness and leptokurtosis in GARCH-typed VaR estimation of petroleum and metal asset returns," Journal of Empirical Finance, Elsevier, vol. 18(1), pages 160-173, January.
  93. Anderson, Torben G. & Bollerslev, Tim & Diebold, Francis X. & Labys, Paul, 2002. "Modeling and Forecasting Realized Volatility," Working Papers 02-12, Duke University, Department of Economics.
  94. Sousa, Ricardo M. & Vivian, Andrew & Wohar, Mark E., 2016. "Predicting asset returns in the BRICS: The role of macroeconomic and fundamental predictors," International Review of Economics & Finance, Elsevier, vol. 41(C), pages 122-143.
  95. Wagner Piazza Gaglianone & Luiz Renato Lima & Oliver Linton & Daniel Smith, 2009. "Evaluating Value-at-Risk models via Quantile Regression," Economics Working Papers we094625, Universidad Carlos III, Departamento de Economía.
  96. Braione, Manuela & Scholtes, Nicolas K., 2014. "Construction of value-at-risk forecasts under different distributional assumptions within a BEKK framework," CORE Discussion Papers 2014059, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
  97. Olmo, J. & Pouliot, W., 2008. "Early Detection Techniques for Market Risk Failure," Working Papers 08/09, Department of Economics, City University London.
  98. Egorov, Alexei V. & Hong, Yongmiao & Li, Haitao, 2006. "Validating forecasts of the joint probability density of bond yields: Can affine models beat random walk?," Journal of Econometrics, Elsevier, vol. 135(1-2), pages 255-284.
  99. Andre A. P. & Francisco J. Nogales & Esther Ruiz, 2009. "Comparing univariate and multivariate models to forecast portfolio value-at-risk," Statistics and Econometrics Working Papers ws097222, Universidad Carlos III, Departamento de Estadística y Econometría.
  100. David E. Allen & Abhay K. Singh & Robert J. Powell & Michael McAleer & James Taylor & Lyn Thomas, 2013. "Return-Volatility Relationship: Insights from Linear and Non-Linear Quantile Regression," Tinbergen Institute Discussion Papers 13-020/III, Tinbergen Institute.
  101. Markus K. Brunnermeier & Martin Oehmke, 2012. "Bubbles, Financial Crises, and Systemic Risk," NBER Working Papers 18398, National Bureau of Economic Research, Inc.
  102. Taylor, James W., 2010. "Exponentially weighted methods for forecasting intraday time series with multiple seasonal cycles," International Journal of Forecasting, Elsevier, vol. 26(4), pages 627-646, October.
  103. Matthew Pritsker, 2001. "The hidden dangers of historical simulation," Finance and Economics Discussion Series 2001-27, Board of Governors of the Federal Reserve System (U.S.).
  104. Avdulaj, Krenar & Barunik, Jozef, 2015. "Are benefits from oil-stocks diversification gone? New evidence from a dynamic copula and high frequency data," FinMaP-Working Papers 32, Collaborative EU Project FinMaP - Financial Distortions and Macroeconomic Performance: Expectations, Constraints and Interaction of Agents.
  105. Aslanidis, Nektarios & Casas, Isabel, 2013. "Nonparametric correlation models for portfolio allocation," Journal of Banking & Finance, Elsevier, vol. 37(7), pages 2268-2283.
  106. Yuta Kurose & Yasuhiro Omori, 2012. "Bayesian Analysis of Time-Varying Quantiles Using a Smoothing Spline," CIRJE F-Series CIRJE-F-845, CIRJE, Faculty of Economics, University of Tokyo.
  107. Walid Mensi & Shawkat Hammoudeh & Juan Carlos Reboredo & Duc Khuong Nguyen, 2014. "Do global factors impact BRICS stock markets? A quantile regression approach," Working Papers 2014-159, Department of Research, Ipag Business School.
  108. Alex Yi-Hou Huang & Tsung-Wei Tseng, 2009. "Forecast of value at risk for equity indices: an analysis from developed and emerging markets," Journal of Risk Finance, Emerald Group Publishing, vol. 10(4), pages 393-409, August.
  109. Gian Piero Aielli & Massimiliano Caporin, 2011. "Variance Clustering Improved Dynamic Conditional Correlation MGARCH Estimators," "Marco Fanno" Working Papers 0133, Dipartimento di Scienze Economiche "Marco Fanno".
  110. João Caldeira & Guilherme Moura & André Santos, 2015. "Measuring Risk in Fixed Income Portfolios using Yield Curve Models," Computational Economics, Society for Computational Economics, vol. 46(1), pages 65-82, June.
  111. Dias, Alexandra, 2013. "Market capitalization and Value-at-Risk," Journal of Banking & Finance, Elsevier, vol. 37(12), pages 5248-5260.
  112. Mabrouk, Samir & Saadi, Samir, 2012. "Parametric Value-at-Risk analysis: Evidence from stock indices," The Quarterly Review of Economics and Finance, Elsevier, vol. 52(3), pages 305-321.
  113. Carol Alexander & Emese Lazar & Silvia Stanescu, 2011. "Analytic Approximations to GARCH Aggregated Returns Distributions with Applications to VaR and ETL," ICMA Centre Discussion Papers in Finance icma-dp2011-08, Henley Business School, Reading University.
  114. Zhongjun Qu & Tatsushi Oka, 2010. "Estimating structural changes in regression quantiles," Boston University - Department of Economics - Working Papers Series WP2010-052, Boston University - Department of Economics.
  115. Zeng, Jhih-Hong & Peng, Chi-Lu & Chen, Ming-Chi & Lee, Chien-Chiang, 2013. "Wealth effects on the housing markets: Do market liquidity and market states matter?," Economic Modelling, Elsevier, vol. 32(C), pages 488-495.
  116. Juan Carlos Escanciano & Pei Pei, 2012. "Pitfalls in Backtesting Historical Simulation VaR Models," Caepr Working Papers 2012-003, Center for Applied Economics and Policy Research, Economics Department, Indiana University Bloomington.
  117. Christian T. Brownlees & Giampiero M. Gallo, 2010. "Comparison of Volatility Measures: a Risk Management Perspective," Journal of Financial Econometrics, Society for Financial Econometrics, vol. 8(1), pages 29-56, Winter.
  118. International Monetary Fund, 2012. "Short-Term Wholesale Funding and Systemic Risk: A Global Covar Approach," IMF Working Papers 12/46, International Monetary Fund.
  119. Jürgen Franke & Peter Mwita & Weining Wang, 2014. "Nonparametric Estimates for Conditional Quantiles of Time Series," SFB 649 Discussion Papers SFB649DP2014-012, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
  120. Gilbert W. Bassett Jr & Roger Koenker & Gregory Kordas, 2004. "Pessimistic portfolio allocation and Choquet expected utility," CeMMAP working papers CWP09/04, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
  121. Rob van den Goorbergh, 2004. "A Copula-Based Autoregressive Conditional Dependence Model of International Stock Markets," DNB Working Papers 022, Netherlands Central Bank, Research Department.
  122. Zhijie Xiao & Roger Koenker, 2009. "Conditional Quantile Estimation for GARCH Models," Boston College Working Papers in Economics 725, Boston College Department of Economics.
  123. Robert Engle, 2001. "GARCH 101: The Use of ARCH/GARCH Models in Applied Econometrics," Journal of Economic Perspectives, American Economic Association, vol. 15(4), pages 157-168, Fall.
  124. Fortin, Ines & Kuzmics, Christoph, 2002. "Tail-Dependence in Stock-Return Pairs," Economics Series 126, Institute for Advanced Studies.
  125. Tim Bollerslev, 2008. "Glossary to ARCH (GARCH)," CREATES Research Papers 2008-49, School of Economics and Management, University of Aarhus.
  126. Pierre Giot & Sébastien Laurent, 2002. "Modelling Daily Value-at-Risk Using Realized Volatility and ARCH Type Models," Computing in Economics and Finance 2002 52, Society for Computational Economics.
  127. Andreou, Elena & Werker, Bas J.M., 2015. "Residual-based rank specification tests for AR–GARCH type models," Journal of Econometrics, Elsevier, vol. 185(2), pages 305-331.
  128. Fuertes, Ana-Maria & Olmo, Jose, 2013. "Optimally harnessing inter-day and intra-day information for daily value-at-risk prediction," International Journal of Forecasting, Elsevier, vol. 29(1), pages 28-42.
  129. Andr� Lucas & Xin Zhang, 2014. "Score Driven exponentially Weighted Moving Average and Value-at-Risk Forecasting," Tinbergen Institute Discussion Papers 14-092/IV/DSF77, Tinbergen Institute, revised 09 Sep 2015.
  130. Georges Dionne & Amir Saissi Hassani, 2015. "Endogenous Hidden Markov Regimes in Operational Loss Data: Application to the Recent Financial Crisis," Cahiers de recherche 1516, CIRPEE.
  131. Cappiello, Lorenzo & Gérard, Bruno & Kadareja, Arjan & Manganelli, Simone, 2006. "Financial integration of new EU Member States," Working Paper Series 0683, European Central Bank.
  132. Komunjer, Ivana, 2005. "Quasi-maximum likelihood estimation for conditional quantiles," Journal of Econometrics, Elsevier, vol. 128(1), pages 137-164, September.
  133. White, Halbert & Kim, Tae-Hwan & Manganelli, Simone, 2015. "VAR for VaR: Measuring tail dependence using multivariate regression quantiles," Journal of Econometrics, Elsevier, vol. 187(1), pages 169-188.
  134. Peter Christoffersen & Jinyong Hahn & Atsushi Inoue, 2001. "Testing and Comparing Value-at-Risk Measures," CIRANO Working Papers 2001s-03, CIRANO.
  135. Manganelli, Simone, 2007. "Asset allocation by penalized least squares," Working Paper Series 0723, European Central Bank.
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