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Citations for "Has the Basel II Accord Encouraged Risk Management During the 2008-09 Financial Crisis?"

by Michael McAleer & Juan-Ángel Jiménez-Martín & Teodosio Pérez-Amaral

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  1. Chia-Lin Chang & Michael McAleer, 2009. "Daily Tourist Arrivals, Exchange Rates and Volatility for Korea and Taiwan," CARF F-Series CARF-F-192, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo.
  2. Michael McAleer & Juan-Ángel Jiménez-Martín & Teodosio Pérez-Amaral, 2011. "International Evidence on GFC-robust Forecasts for Risk Management under the Basel Accord," KIER Working Papers 757, Kyoto University, Institute of Economic Research.
  3. Chia-Lin Chang & Juan-Ángel Jiménez-Martín & Michael McAleer & Teodosio Pérez-Amaral, 2011. "Risk Management of Risk under the Basel Accord: Forecasting Value-at-Risk of VIX Futures," Documentos de Trabajo del ICAE 2011-02, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
  4. Casarin, R. & Chang, C-L. & Jimenez-Martin, J-A. & McAleer, M.J. & Perez-Amaral, T., 2011. "Risk Management of Risk Under the Basel Accord: A Bayesian Approach to Forecasting Value-at-Risk of VIX Futures," Econometric Institute Research Papers EI2011-29, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
  5. Juan-Angel Jimenez-Martin & Michael McAleer & Teodosio Perez Amaral & Paulo Araujo Santos, 2013. "GFC-Robust Risk Management under the Basel Accord using Extreme Value Methodologies," Tinbergen Institute Discussion Papers 13-070/III, Tinbergen Institute.
  6. Chang, C-L. & Jimenez-Martin, J-A. & McAleer, M.J. & Perez-Amaral, T., 2011. "The Rise and Fall of S&P500 Variance Futures," Econometric Institute Research Papers EI2011-37, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
  7. McAleer, M.J. & Jimenez-Martin, J-A. & Perez-Amaral, T., 2010. "GFC-Robust Risk Management Strategies under the Basel Accord," Econometric Institute Research Papers EI 2010-59, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
  8. Michael McAleer & Paulo Araújo Santos & Juan-Ángel Jiménez-Martín & Teodosio Pérez Amaral, 2011. "GFC-Robust Risk Management Under the Basel Accord Using Extreme Value Methodologies," KIER Working Papers 782, Kyoto University, Institute of Economic Research.
  9. Michael McAleer & Juan-Angel Jimenez-Martin & Teodosio Perez-Amaral, 2009. "What Happened to Risk Management During the 2008-09 Financial Crisis?," CIRJE F-Series CIRJE-F-636, CIRJE, Faculty of Economics, University of Tokyo.
  10. Michael McAleer & Juan-Angel Jimenez-Martin & Teodosio Perez-Amaral, 2009. "Optimal Risk Management Before, During and After the 2008-09 Financial Crisis," CARF F-Series CARF-F-171, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo.
  11. Bernardo da Veiga & Felix Chan & Michael McAleer, 2009. "It Pays to Violate: How Effective are the Basel Accord Penalties?," CARF F-Series CARF-F-186, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo.
  12. Costa Cabral, Nazare, 2010. "Breve guia temático e bibliográfico sobre o estudo da actual crise financeira e económica
    [Short thematic guide to the study of current financial and economic crisis]
    ," MPRA Paper 20743, University Library of Munich, Germany.
  13. Chia-Lin Chang & Michael McAleer, 2010. "Aggregation, Heterogeneous Autoregression and Volatility of Daily International Tourist Arrivals and Exchange Rates," CIRJE F-Series CIRJE-F-716, CIRJE, Faculty of Economics, University of Tokyo.
  14. Michael McAleer, 2009. "The Ten Commandments For Optimizing Value-At-Risk And Daily Capital Charges," Journal of Economic Surveys, Wiley Blackwell, vol. 23(5), pages 831-849, December.
  15. Chen, Cathy W.S. & Gerlach, Richard & Hwang, Bruce B.K. & McAleer, Michael, 2012. "Forecasting Value-at-Risk using nonlinear regression quantiles and the intra-day range," International Journal of Forecasting, Elsevier, vol. 28(3), pages 557-574.
  16. repec:syb:wpbsba:03/2011 is not listed on IDEAS
  17. Chang, Chia-Lin, 2014. "Modelling a Latent Daily Tourism Financial Conditions Index," MPRA Paper 54887, University Library of Munich, Germany.
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