[go: up one dir, main page]
More Web Proxy on the site http://driver.im/
create a website
Estimation Adjusted VaR. (2012). Zakoian, Jean-Michel ; gourieroux, christian.
In: Working Papers.
RePEc:crs:wpaper:2012-16.

Full description at Econpapers || Download paper

Cited: 0

Citations received by this document

Cites: 12

References cited by this document

Cocites: 57

Documents which have cited the same bibliography

Coauthors: 0

Authors who have wrote about the same topic

Citations

Citations received by this document

    This document has not been cited yet.

References

References cited by this document

  1. Bao, Y. and A. Ullah (2004) Bias of a Value-at-Risk Estimator. Finance Research Letters 1, 241â249.

  2. Berkes, I. and L. HorvÃth (2004) The Eïciency of the Estimators of the Parameters in GARCH Processes. The Annals of Statistics 32, 633â 655.
    Paper not yet in RePEc: Add citation now
  3. Berkes, I., HorvÃth, L. and P. Kokoszka (2003) GARCH Processes: Structure and Estimation. Bernoulli 9, 201â227.
    Paper not yet in RePEc: Add citation now

  4. Berkowitz, J. and J. OâBrien (2002) How Accurate Are Value-at-Risk Models at Commercial Banks? Journal of Finance 57, 1093â1111.

  5. Berkowitz, J., Christoïersen, P. and D. Pelletier (2011) Evaluating Value-at-Risk Models with Desk-Level Data. Management Science 57, 2213â2227.
    Paper not yet in RePEc: Add citation now

  6. Chambers, M.J. (2012) Jacknife Estimation of Stationary Autoregressive Models. Discussion paper, University of Essex.

  7. Chan, N.H., Deng, S-J., Peng, L. and Z. Xia (2007) Interval Estimation of Value-at-Risk Based on GARCH Models with Heavy-Tailed Innovations. Journal of Econometrics 137, 556â576.

  8. Christoïersen, P. and S. GonÃalves (2005) Estimation Risk in Financial Risk Management. Journal of Risk 7, 1-28.
    Paper not yet in RePEc: Add citation now

  9. Dufour, J-M. and J. Kiviet (1997) Exact Tests in Single Equation Autoregressive Distributed Lag Models. Journal of Econometrics 80, 325â 353.

  10. Engle, R.F., Lillien, D.M. et R.P. Robins (1987) Estimating Time Varying Risk Premia in the Term Structure: the ARCH-M Model. Econometrica 55, 391â407.

  11. Escanciano, J.C. and J. Olmo (2010) Backtesting Parametric Value-atRisk with Estimation Risk, Journal of Business and Economics Statistics 28, 36â51.

  12. Escanciano, J.C. and J. Olmo (2011) Robust Backtesting Tests for Value-at-Risk Models. Journal of Financial Econometrics 9, 132â161.

Cocites

Documents in RePEc which have cited the same bibliography

  1. The Information Value of Past Losses in Operational Risk. (2023). Migueis, Marco ; Curti, Filippo.
    In: Finance and Economics Discussion Series.
    RePEc:fip:fedgfe:2023-03.

    Full description at Econpapers || Download paper

  2. Hedging parameter risk. (2019). Schmelzle, Martin ; Rosch, Daniel ; Claussen, Arndt .
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:100:y:2019:i:c:p:111-121.

    Full description at Econpapers || Download paper

  3. Frontiers in VaR forecasting and backtesting. (2016). Ruiz, Esther ; Nieto, Maria Rosa .
    In: International Journal of Forecasting.
    RePEc:eee:intfor:v:32:y:2016:i:2:p:475-501.

    Full description at Econpapers || Download paper

  4. Model Risk in Financial Markets:From Financial Engineering to Risk Management. (2015). Tunaru, Radu.
    In: World Scientific Books.
    RePEc:wsi:wsbook:9524.

    Full description at Econpapers || Download paper

  5. CoMargin. (2015). Harris, Jeffrey ; Cruz Lopez, Jorge ; Hurlin, Christophe ; Perignon, Christophe.
    In: Working Papers.
    RePEc:hal:wpaper:halshs-00979440.

    Full description at Econpapers || Download paper

  6. Public disclosure and risk-adjusted performance at bank holding companies. (2015). Hirtle, Beverly.
    In: Staff Reports.
    RePEc:fip:fednsr:293.

    Full description at Econpapers || Download paper

  7. A comparison of Expected Shortfall estimation models. (2015). Righi, Marcelo Brutti ; Ceretta, Paulo Sergio.
    In: Journal of Economics and Business.
    RePEc:eee:jebusi:v:78:y:2015:i:c:p:14-47.

    Full description at Econpapers || Download paper

  8. Asymmetric GARCH Value-at-Risk over MSCI in Financial Crisis. (2015). Huang, Han-Ching ; Su, Yong-Chern ; Tsui, Jen-Tien .
    In: International Journal of Economics and Financial Issues.
    RePEc:eco:journ1:2015-02-08.

    Full description at Econpapers || Download paper

  9. Thinly traded securities and risk management. (2014). Beuermann, Diether ; Bernales, Alejandro ; Cortazar, Gonzalo.
    In: Estudios de Economia.
    RePEc:udc:esteco:v:41:y:2014:i:1:p:5-48.

    Full description at Econpapers || Download paper

  10. A Monte Carlo Simulation Approach to Forecasting Multi-period Value-at-Risk and Expected Shortfall Using the FIGARCH-skT Specification. (2014). Floros, Christos ; Degiannakis, Stavros ; Dent, Pamela .
    In: MPRA Paper.
    RePEc:pra:mprapa:80431.

    Full description at Econpapers || Download paper

  11. Implied Risk Exposures. (2014). Hurlin, Christophe ; Perignon, Christophe ; Benoit, Sylvain.
    In: Working Papers.
    RePEc:hal:wpaper:halshs-00836280.

    Full description at Econpapers || Download paper

  12. Multifractality and value-at-risk forecasting of exchange rates. (2014). Batten, Jonathan ; Kinateder, Harald ; Wagner, Niklas.
    In: Physica A: Statistical Mechanics and its Applications.
    RePEc:eee:phsmap:v:401:y:2014:i:c:p:71-81.

    Full description at Econpapers || Download paper

  13. Bank regulation and international financial stability: A case against the 2006 Basel framework for controlling tail risk in trading books. (2014). Yan, Shu ; Baptista, Alexandre ; Alexander, Gordon.
    In: Journal of International Money and Finance.
    RePEc:eee:jimfin:v:43:y:2014:i:c:p:107-130.

    Full description at Econpapers || Download paper

  14. Risk models-at-risk. (2014). Maillet, Bertrand ; Danielsson, Jon ; Kouontchou, Patrick S. ; Boucher, Christophe M..
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:44:y:2014:i:c:p:72-92.

    Full description at Econpapers || Download paper

  15. Adaptive trend estimation in financial time series via multiscale change-point-induced basis recovery. (2013). Schröder, Anna Louise ; Schroder, Anna Louise ; Fryzlewicz, Piotr.
    In: MPRA Paper.
    RePEc:pra:mprapa:52379.

    Full description at Econpapers || Download paper

  16. The Implications of VaR and Short-Selling Restrictions on the Portfolio Manager Performance. (2013). Tchana Tchana, Fulbert ; Fulbert, Tchana Tchana ; Georges, Tsafack .
    In: MPRA Paper.
    RePEc:pra:mprapa:43797.

    Full description at Econpapers || Download paper

  17. Adaptive trend estimation in financial time series via multiscale change-point-induced basis recovery. (2013). Schröder, Anna Louise ; Schroeder, Anna Louise ; Fryzlewicz, Piotr.
    In: LSE Research Online Documents on Economics.
    RePEc:ehl:lserod:54934.

    Full description at Econpapers || Download paper

  18. GFC-robust risk management under the Basel Accord using extreme value methodologies. (2013). perez-amaral, teodosio ; McAleer, Michael ; Jimenez-Martin, Juan ; Santos, Paulo Araujo ; AraujoSantos, Paulo .
    In: Mathematics and Computers in Simulation (MATCOM).
    RePEc:eee:matcom:v:94:y:2013:i:c:p:223-237.

    Full description at Econpapers || Download paper

  19. Dynamic factor Value-at-Risk for large heteroskedastic portfolios. (2013). Wu, Jason ; Giudice Rodriguez, Marius del, ; Aramonte, Sirio.
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:37:y:2013:i:11:p:4299-4309.

    Full description at Econpapers || Download paper

  20. The Risk Map: A new tool for validating risk models. (2013). Hurlin, Christophe ; Perignon, Christophe ; Colletaz, Gilbert.
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:37:y:2013:i:10:p:3843-3854.

    Full description at Econpapers || Download paper

  21. Forecasting VaR using analytic higher moments for GARCH processes. (2013). Alexander, Carol ; Stanescu, Silvia ; Lazar, Emese.
    In: International Review of Financial Analysis.
    RePEc:eee:finana:v:30:y:2013:i:c:p:36-45.

    Full description at Econpapers || Download paper

  22. Realized Copula. (2012). Okhrin, Ostap ; Fengler, Matthias.
    In: Economics Working Paper Series.
    RePEc:usg:econwp:2012:14.

    Full description at Econpapers || Download paper

  23. Can VAR Be Predictive for Regulation? Evidence from the Futures Industry in Taiwan. (2012). Hung, Jui-Cheng ; Chang, Matthew C..
    In: Journal for Economic Forecasting.
    RePEc:rjr:romjef:v::y:2012:i:4:p:147-162.

    Full description at Econpapers || Download paper

  24. Pitfalls in Backtesting Historical Simulation VaR Models. (2012). Pei, Pei ; Escanciano, Juan Carlos.
    In: Caepr Working Papers.
    RePEc:inu:caeprp:2012-003.

    Full description at Econpapers || Download paper

  25. Realized Copula. (2012). Okhrin, Ostap ; Fengler, Matthias.
    In: SFB 649 Discussion Papers.
    RePEc:hum:wpaper:sfb649dp2012-034.

    Full description at Econpapers || Download paper

  26. Does Basel II Pillar 3 Risk Exposure Data help to Identify Risky Banks?. (2012). Sabiwalsky, Ralf .
    In: SFB 649 Discussion Papers.
    RePEc:hum:wpaper:sfb649dp2012-008.

    Full description at Econpapers || Download paper

  27. Margin Backtesting. (2012). Hurlin, Christophe ; Perignon, Christophe.
    In: Working Papers.
    RePEc:hal:wpaper:halshs-00746274.

    Full description at Econpapers || Download paper

  28. The Risk Map: A New Tool for Validating Risk Models. (2012). Hurlin, Christophe ; Perignon, Christophe ; Colletaz, Gilbert.
    In: Working Papers.
    RePEc:hal:wpaper:halshs-00746273.

    Full description at Econpapers || Download paper

  29. Pitfalls in backtesting Historical Simulation VaR models. (2012). Escanciano, Juan Carlos ; Pei, Pei.
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:36:y:2012:i:8:p:2233-2244.

    Full description at Econpapers || Download paper

  30. Optimal portfolios with minimum capital requirements. (2012). Santos, Andre ; Ruiz, Esther ; van Dijk, Dick ; Santos, André A. P., ; Nogales, Francisco J..
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:36:y:2012:i:7:p:1928-1942.

    Full description at Econpapers || Download paper

  31. When more is less: Using multiple constraints to reduce tail risk. (2012). Yan, Shu ; Baptista, Alexandre ; Alexander, Gordon.
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:36:y:2012:i:10:p:2693-2716.

    Full description at Econpapers || Download paper

  32. Estimation Adjusted VaR. (2012). Zakoian, Jean-Michel ; gourieroux, christian.
    In: Working Papers.
    RePEc:crs:wpaper:2012-16.

    Full description at Econpapers || Download paper

  33. THE STYLIZED FACTS OF ASSET RETURNS AND THEIR IMPACT ON VALUE-AT-RISK MODELS. (2012). Iorgulescu, Filip ; Filip, IORGULESCU .
    In: Revista Economica.
    RePEc:blg:reveco:v:supplement:y:2012:i:4:p:360-368.

    Full description at Econpapers || Download paper

  34. Financial contagion in developed sovereign bond markets. (2011). Metiu, Norbert.
    In: Research Memorandum.
    RePEc:unm:umamet:2011004.

    Full description at Econpapers || Download paper

  35. A corrected Value-at-Risk predictor. (2010). Lonnbark, Carl .
    In: Applied Economics Letters.
    RePEc:taf:apeclt:v:17:y:2010:i:12:p:1193-1196.

    Full description at Econpapers || Download paper

  36. Financial Regulation in the Crisis Regulation, Market Discipline, Internal Control: The Big Three in turmoil. (2010). Couppey-Soubeyran, Jézabel.
    In: Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers).
    RePEc:hal:cesptp:hal-00627436.

    Full description at Econpapers || Download paper

  37. Risk management of precious metals. (2010). McAleer, Michael ; Hammoudeh, Shawkat ; Malik, F..
    In: Econometric Institute Research Papers.
    RePEc:ems:eureir:20166.

    Full description at Econpapers || Download paper

  38. It Pays to Violate: How Effective are the Basel Accord Penalties?. (2009). McAleer, Michael ; da Veiga, Bernardo ; Chan, Felix.
    In: CIRJE F-Series.
    RePEc:tky:fseres:2009cf683.

    Full description at Econpapers || Download paper

  39. It Pays to Violate: How Effective are the Basel Accord Penalties?. (2009). McAleer, Michael ; da Veiga, Bernardo ; Chan, Felix.
    In: Econometric Institute Research Papers.
    RePEc:ems:eureir:17309.

    Full description at Econpapers || Download paper

  40. It Pays to Violate: How Effective are the Basel Accord Penalties?. (2009). McAleer, Michael ; da Veiga, Bernardo ; Chan, Felix.
    In: CARF F-Series.
    RePEc:cfi:fseres:cf186.

    Full description at Econpapers || Download paper

  41. Backtesting Parametric Value-at-Risk with Estimation Risk. (2007). Olmo, Jose ; Escanciano, Juan Carlos.
    In: Caepr Working Papers.
    RePEc:inu:caeprp:2007005updated.

    Full description at Econpapers || Download paper

  42. Estimation risk effects on backtesting for parametric value-at-risk models. (2007). Olmo, Jose ; Escanciano, Juan Carlos.
    In: Working Papers.
    RePEc:cty:dpaper:07/11.

    Full description at Econpapers || Download paper

  43. The hidden dangers of historical simulation. (2006). Pritsker, Matthew.
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:30:y:2006:i:2:p:561-582.

    Full description at Econpapers || Download paper

  44. Practical volatility and correlation modeling for financial market risk management. (2005). Diebold, Francis ; Christoffersen, Peter ; Bollerslev, Tim ; Andersen, Torben.
    In: CFS Working Paper Series.
    RePEc:zbw:cfswop:200502.

    Full description at Econpapers || Download paper

  45. The supervisors portfolio: the market price risk of German banks from 2001 to 2003 - Analysis and models for risk aggregation. (2005). Memmel, Christoph ; Wehn, Carsten.
    In: Discussion Paper Series 2: Banking and Financial Studies.
    RePEc:zbw:bubdp2:4257.

    Full description at Econpapers || Download paper

  46. Estimating Bank Trading Risk: A Factor Model Approach. (2005). O'Brien, James ; Berkowitz, Jeremy .
    In: NBER Working Papers.
    RePEc:nbr:nberwo:11608.

    Full description at Econpapers || Download paper

  47. Bank Trading Risk and Systemic Risk. (2005). Jorion, Philippe.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:11037.

    Full description at Econpapers || Download paper

  48. Term structure of risk under alternative econometric specifications. (2005). Guidolin, Massimo ; Timmerman, Allan.
    In: Working Papers.
    RePEc:fip:fedlwp:2005-001.

    Full description at Econpapers || Download paper

  49. A review of backtesting and backtesting procedures. (2005). Campbell, Sean D..
    In: Finance and Economics Discussion Series.
    RePEc:fip:fedgfe:2005-21.

    Full description at Econpapers || Download paper

  50. VaR is subject to a significant positive bias. (2005). Kitano, Atsushi ; Kijima, Masaaki ; Inui, Koji.
    In: Statistics & Probability Letters.
    RePEc:eee:stapro:v:72:y:2005:i:4:p:299-311.

    Full description at Econpapers || Download paper

  51. Evaluating interest rate covariance models within a value-at-risk framework. (2004). Lopez, Jose ; Ferreira, Miguel.
    In: Working Paper Series.
    RePEc:fip:fedfwp:2004-03.

    Full description at Econpapers || Download paper

  52. Bias of a Value-at-Risk estimator. (2004). Ullah, Aman ; Bao, Yong.
    In: Finance Research Letters.
    RePEc:eee:finlet:v:1:y:2004:i:4:p:241-249.

    Full description at Econpapers || Download paper

  53. What market risk capital reporting tells us about bank risk. (2003). Hirtle, Beverly.
    In: Economic Policy Review.
    RePEc:fip:fednep:y:2003:i:sep:p:37-54:n:v.9no.3.

    Full description at Econpapers || Download paper

  54. Capital and risk: new evidence on implications of large operational losses. (2003). Rosengren, Eric ; Jordan, John ; DeJesus-Rueff, Virginia ; de Fontnouvelle, Patrick .
    In: Working Papers.
    RePEc:fip:fedbwp:03-5.

    Full description at Econpapers || Download paper

  55. Backtesting Value-at-Risk: A Duration-Based Approach. (2003). Pelletier, Denis ; Christoffersen, Peter.
    In: CIRANO Working Papers.
    RePEc:cir:cirwor:2003s-05.

    Full description at Econpapers || Download paper

  56. The New Basel Capital Accord and Questions for Research. (). Schuermann, Til ; Saidenberg, Marc ; May, .
    In: Center for Financial Institutions Working Papers.
    RePEc:wop:pennin:03-14.

    Full description at Econpapers || Download paper

  57. Too much cocited documents. This list is not complete

Coauthors

Authors registered in RePEc who have wrote about the same topic

Report date: 2025-01-15 10:38:16 || Missing content? Let us know

CitEc is a RePEc service, providing citation data for Economics since 2001. Sponsored by INOMICS. Last updated October, 6 2023. Contact: CitEc Team.