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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. McAleer, Michael & Jimenez-Martin, Juan-Angel & Perez Amaral, Teodosio, 2009. "Optimal Risk Management Before, During and After the 2008-09 Financial Crisis," MPRA Paper 20975, University Library of Munich, Germany, revised 20 Sep 2009.
  2. Chang, C-L. & McAleer, M.J., 2010. "Aggregation, Heterogeneous Autoregression and Volatility of Daily International Tourist Arrivals and Exchange Rates," Econometric Institute Research Papers EI 2010-15, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
  3. McAleer, M.J. & Jiménez-Martín, J.A. & Pérez-Amaral, T., 2009. "What Happened to Risk Management During the 2008-09 Financial Crisis?," Econometric Institute Research Papers EI 2009-17, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
  4. 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.
  5. 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," Working Papers in Economics 11/12, University of Canterbury, Department of Economics and Finance.
  6. Michael McAleer, 2009. "The Ten Commandments for Optimizing Value-at-Risk and Daily Capital Charges," CIRJE F-Series CIRJE-F-652, CIRJE, Faculty of Economics, University of Tokyo.
  7. Michael McAleer & Juan-Ángel Jiménez-Martín & Teodosio Pérez-Amaral, 2013. "Has the Basel Accord Improved Risk Management During the Global Financial Crisis?," Tinbergen Institute Discussion Papers 13-010/III, Tinbergen Institute.
  8. 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.
  9. Hammoudeh, Shawkat & Malik, Farooq & McAleer, Michael, 2011. "Risk management of precious metals," The Quarterly Review of Economics and Finance, Elsevier, vol. 51(4), pages 435-441.
  10. Chia-Lin Chang & Juan-Ángel Jiménez-Martín & Esfandiar Maasoumi & Michel McAleer & Teodosio Pérez-Amaral, 2015. "Choosing Expected Shortfall over VaR in Basel III Using Stochastic Dominance," Tinbergen Institute Discussion Papers 15-133/III, Tinbergen Institute.
  11. 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.
  12. Chia-Lin Chang & Michael McAleer, 2009. "Daily Tourist Arrivals, Exchange Rates and Volatility for Korea and Taiwan," CIRJE F-Series CIRJE-F-691, CIRJE, Faculty of Economics, University of Tokyo.
  13. Michael McAleer & Roberto Casarin & Chia-Lin Chang & Juan-Ángel Jiménez-Martín & Teodosio Pérez-Amaral, 2011. "Risk Management of Risk Under the Basel Accord: A Bayesian Approach to Forecasting Value-at-Risk of VIX Futures," KIER Working Papers 784, Kyoto University, Institute of Economic Research.
  14. Juan-Ángel Jiménez-Martín & Michael McAleer & Teodosio Pérez-Amaral, 2009. "Has the Basel II Accord Encouraged Risk Management During the 2008-09 Financial Crisis?," Documentos de Trabajo del ICAE 0918, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
  15. da Veiga, B. & Chan, F. & McAleer, M.J., 2009. "It Pays to Violate: How Effective are the Basel Accord Penalties?," Econometric Institute Research Papers EI 2009-39, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
  16. McAleer, M.J. & Jiménez-Martín, J.A. & Pérez-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.
  17. Sinha, Pankaj & Agnihotri, Shalini, 2014. "Sensitivity of Value at Risk estimation to NonNormality of returns and Market capitalization," MPRA Paper 56307, University Library of Munich, Germany, revised 26 May 2014.
  18. Chang, Chia-Lin & Jiménez-Martín, Juan-Ángel & Maasoumi, Esfandiar & Pérez-Amaral, Teodosio, 2015. "A stochastic dominance approach to financial risk management strategies," Journal of Econometrics, Elsevier, vol. 187(2), pages 472-485.
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