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Citations for "A Decision Rule to Minimize Daily Capital Charges in Forecasting Value-at-Risk"

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

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  1. 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," KIER Working Papers 761, Kyoto University, Institute of Economic Research.
  2. McAleer, M.J. & Jiménez-Martín, J.A. & Pérez-Amaral, T., 2012. "Has the Basel Accord Improved Risk Management During the Global Financial Crisis?," Econometric Institute Research Papers EI 2012-34, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
  3. Chia-Lin Chang & Michael McAleer, 2010. "Aggregation, Heterogeneous Autoregression and Volatility of Daily International Tourist Arrivals and Exchange Rates," KIER Working Papers 712, Kyoto University, Institute of Economic Research.
  4. Roberto Casarin & Chia-Lin Chang & Juan-Ángel Jiménez-Martín & Michael McAleer & Teodosio Pérez Amaral, 2011. "Risk Management of Risk Under the Basel Accord: A Bayesian Approach to Forecasting Value-at-Risk of VIX Futures," Working Papers in Economics 11/26, University of Canterbury, Department of Economics and Finance.
  5. Michael McAleer & Juan-Ángel Jiménez-Martín & Teodosio Pérez-Amaral, 2010. "GFC-Robust Risk Management Strategies under the Basel Accord," Working Papers in Economics 10/63, University of Canterbury, Department of Economics and Finance.
  6. Chang, C-L. & McAleer, M.J., 2009. "Daily Tourist Arrivals, Exchange Rates and Volatility for Korea and Taiwan," Econometric Institute Research Papers EI 2009-41, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
  7. Santos, André A.P. & Nogales, Francisco J. & Ruiz, Esther & Dijk, Dick Van, 2012. "Optimal portfolios with minimum capital requirements," Journal of Banking & Finance, Elsevier, vol. 36(7), pages 1928-1942.
  8. 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.
  9. 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.
  10. McAleer, M.J. & Jiménez-Martín, J.A. & Pérez-Amaral, T., 2011. "International Evidence on GFC-robust Forecasts for Risk Management under te Basel Accord," Econometric Institute Research Papers EI 2011-04, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
  11. Michael McAleer, 2009. "The Ten Commandments for Optimizing Value-at-Risk and Daily Capital Charges," Documentos de Trabajo del ICAE 0910, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
  12. Michael McAleer & Juan-Angel Jimenez-Martin & Teodosio Perez-Amaral, 2009. "Optimal Risk Management Before, During and After the 2008-09 Financial Crisis," CIRJE F-Series CIRJE-F-667, CIRJE, Faculty of Economics, University of Tokyo.
  13. Juan-Ángel Jiménez-Martín & Michael McAleer & Teodosio Pérez-Amaral, 2009. "What Happened to Risk Management During the 2008-09 Financial Crisis?," Documentos de Trabajo del ICAE 0919, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
  14. Shawkat Hammoudeh & Farooq Malik & Michael McAleer, 2010. "Risk Management of Precious Metals," Working Papers in Economics 10/37, University of Canterbury, Department of Economics and Finance.
  15. Michael McAleer & Juan-�ngel Jim�nez-Mart�n & Teodosio P�rez-Amaral, 2013. "Has the Basel Accord Improved Risk Management During the Global Financial Crisis?," Tinbergen Institute Discussion Papers 13-010/III, Tinbergen Institute.
  16. Bernardo da Veiga & Felix Chan & Michael McAleer, 2009. "It Pays to Violate: How Effective are the Basel Accord Penalties?," CIRJE F-Series CIRJE-F-683, CIRJE, Faculty of Economics, University of Tokyo.
  17. Michael McAleer & Juan-Angel Jimenez-Martin & Teodosio Perez-Amaral, 2009. "Has the Basel II Accord Encouraged Risk Management During the 2008-09 Financial Crisis?," CIRJE F-Series CIRJE-F-643, CIRJE, Faculty of Economics, University of Tokyo.
  18. Chia-Lin Chang & Juan-Ángel Jiménez-Martín & Esfandiar Maasoumi & Teodosio Pérez Amaral, 2014. "A Stochastic Dominance Approach to Financial Risk Management Strategies," Documentos de Trabajo del ICAE 2014-08, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico, revised Apr 2014.
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