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Value at risk models in finance. (2001). Manganelli, Simone ; Engle, Robert.
In: Working Paper Series.
RePEc:ecb:ecbwps:200175.

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  4. A new risk measurement method for Chinas carbon market. (2022). Wagan, Zulfiqar Ali ; Wang, Wenjun ; Yang, YU ; Zhang, Chen.
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  5. Value-at-Risk (VAR) Estimation Methods: Empirical Analysis based on BRICS Markets. (2022). Safer, Imene ; ben Salem, Ameni ; Khefacha, Islem.
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  6. Quantifying Foreign Exchange Risk in the Selected Listed Sectors of the Johannesburg Stock Exchange: An SV-EVT Pairwise Copula Approach. (2022). Eita, Joel ; Tchuinkam, Charles Raoul.
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  7. A high-frequency approach to VaR measures and forecasts based on the HAR-QREG model with jumps. (2022). Song, Yuping ; Xu, Yang ; Huang, Jiefei.
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  8. To VaR, or Not to VaR, That is the Question. (2021). Olkhov, Victor.
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  9. Accrual mispricing, value-at-risk, and expected stock returns. (2021). Simlai, Prodosh.
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  10. The New Standardised Approach as a Credible Fallback. (2021). Rossignolo, Adrian F.
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  11. Value at Risk Estimation For the BRICS Countries : A Comparative Study. (2021). KHEFACHA, ISLEM ; Safer, Imene ; ben Salem, Ameni.
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  12. To VaR, or Not to VaR, That is the Question. (2021). Olkhov, Victor.
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  15. Risk Management after Mergers and Acquisitions. Evidence from the Greek Banking System. (2020). Konstantinos, Kollias ; Evaggelos, Drympetas ; Georgios, Kyriazopoulos.
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  16. Using mixed-frequency and realized measures in quantile regression. (2020). Gallo, Giampiero ; Candila, Vincenzo ; Petrella, Lea.
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  17. Comparison of Block Maxima and Peaks Over Threshold Value-at-Risk models for market risk in various economic conditions. (2019). Chlebus, Marcin ; Marcin, Chlebus ; Filip, Szubzda.
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  18. Exchange Rate Risk and International Equity Portfolio Diversification: A South African Investor’s Perspective. (2019). Muteba Mwamba, John Weirstrasd ; Tchuinkam, Charles Raoul.
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  19. Panel Modeling of Z-score: Evidence from Islamic and Conventional Saudi Banks. (2019). Ghassan, Hassan ; Guendouz, Abdelkarim.
    In: MPRA Paper.
    RePEc:pra:mprapa:95900.

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  20. Panel Modeling of Z-score: Evidence from Islamic and Conventional Saudi Banks. (2019). Ghassan, Hassan ; Guendouz, Abdelkarim .
    In: MPRA Paper.
    RePEc:pra:mprapa:95239.

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  21. Rethinking the forestry in the Aquitaine massif through portfolio management. (2019). Dragicevic, Arnaud Z.
    In: Forest Policy and Economics.
    RePEc:eee:forpol:v:109:y:2019:i:c:s138993411930423x.

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  22. Numerical comparison of multivariate models to forecasting risk measures. (2018). Righi, Marcelo Brutti ; Muller, Fernanda Maria .
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  23. Is CAViaR model really so good in Value at Risk forecasting? Evidence from evaluation of a quality of Value-at-Risk forecasts obtained based on the: GARCH(1,1), GARCH-t(1,1), GARCH-st(1,1), QML-GARCH(. (2017). Chlebus, Marcin ; Buczyski, Mateusz.
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    RePEc:pra:mprapa:80508.

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    In: Turkish Economic Review.
    RePEc:ksp:journ2:v:4:y:2017:i:3:p:275-281.

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  26. Volatility Spillovers from Australias major trading partners across the GFC. (2017). Powell, Robert ; McAleer, Michael ; Allen, David ; Singh, Abhay K.
    In: International Review of Economics & Finance.
    RePEc:eee:reveco:v:47:y:2017:i:c:p:159-175.

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  27. An evaluation of bank measures for market risk before, during and after the financial crisis. (2017). Brien, James O ; Szersze, Pawe J ; Obrien, James .
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:80:y:2017:i:c:p:215-234.

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  28. Mean-VaR portfolio optimization: A nonparametric approach. (2017). Lwin, Khin T ; MacCarthy, Bart L ; Qu, Rong .
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    RePEc:eee:ejores:v:260:y:2017:i:2:p:751-766.

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  29. Estimation of Volatility and Correlation with Multivariate Generalized Autoregressive Conditional Heteroskedasticity Models: An Application to Moroccan Stock Markets. (2017). Belasri, Yassine ; Ellaia, Rachid.
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  30. ESTIMATING THE RETURN OF THE FINANCIAL TITLES OF THE COMPANIES FROM THE MANUFACTURING INDUSTRY, LISTED ON THE BUCHAREST STOCK EXCHANGE. (2017). Nicolae, Baltes ; Alexandra-Gabriela, Dragoe .
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  31. MARKET RISK OF INVESTMENT IN US SUBPRIME CRISIS: COMPARISON OF A PURE DIFFUSION AND A PURE JUMP MODEL. (2016). Mozumder, Sharif ; Rahman, Arafatur .
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    RePEc:pra:mprapa:75460.

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  36. 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.

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  37. Higher order conditional moment dynamics and forecasting value-at-risk (in Russian). (2014). Franguridi, Grigory .
    In: Quantile.
    RePEc:qnt:quantl:y:2014:i:12:p:69-82.

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  38. BACKTESTING VALUE AT RISK MODELS IN THE PRESENCE OF STRUCTURAL BREAK ON THE ROMANIAN AND HUNGARIAN STOCK MARKETS. (2014). Ioan, Cociuba Mihail ; Edina, Kulcsar ; Daniela, Zapodeanu .
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    RePEc:ora:journl:v:1:y:2014:i:1:p:802-812.

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  39. An Evaluation of Bank VaR Measures for Market Risk During and Before the Financial Crisis. (2014). O'Brien, James M. ; Szerszen, Pawel J..
    In: Finance and Economics Discussion Series.
    RePEc:fip:fedgfe:2014-21.

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  40. Risk contributions of trading and non-trading hours: Evidence from Chinese commodity futures markets. (2014). Liu, Qingfu ; An, Yunbi.
    In: Pacific-Basin Finance Journal.
    RePEc:eee:pacfin:v:30:y:2014:i:c:p:17-29.

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  41. 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.

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  42. Measuring Liquidity Risk in an Emerging Market: Liquidity Adjusted Value at Risk Approach for High Frequency Data. (2014). Chokri, Mamoghli ; Emnal, Rouetbi .
    In: International Journal of Economics and Financial Issues.
    RePEc:eco:journ1:2014-01-6.

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  43. EARLY WARNING SYSTEMS: ANÁLISE DE UMMODELO PROBIT DE CONTÁGIO DE CRISE DOS ESTADOS UNIDOS PARA O BRASIL(2000-2010). (2014). DA SILVA, CLAUDECI ; Couto, Joaquim Miguel ; MURILLO, HUGO AGUDELO .
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  45. Extreme conditional value at risk: a coherent scenario for risk management. (2013). Muteba Mwamba, John Weirstrasd ; Mhlanga, Isaah .
    In: MPRA Paper.
    RePEc:pra:mprapa:64387.

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  46. Financial Stability of Islamic and Conventional Banks in Saudi Arabia: Evidence using Pooled and Panel Models. (2013). Ghassan, Hassan ; Taher, Farid B..
    In: MPRA Paper.
    RePEc:pra:mprapa:54472.

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  47. Risk Management with Thinly Traded Securities: Methodology and Implementation. (2013). Bernales, Alejandro ; Beuermann, Diether ; Cortazar, Gonzalo.
    In: IDB Publications (Working Papers).
    RePEc:idb:brikps:4647.

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  48. Estimation of Value-at-Risk on Romanian Stock Exchange Using Volatility Forecasting Models. (2013). OPREANA, Claudiu Ilie .
    In: Expert Journal of Finance.
    RePEc:exp:finnce:v:1:y:2013:i:1:p:4-18.

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  49. Risk models–at–risk. (2013). Maillet, Bertrand ; Danielsson, Jon ; Boucher, Christophe M. ; Kouontchou, Patrick S..
    In: LSE Research Online Documents on Economics.
    RePEc:ehl:lserod:59299.

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  50. Volatility spillovers from the Chinese stock market to economic neighbours. (2013). McAleer, Michael ; Allen, David ; Amram, Ron .
    In: Mathematics and Computers in Simulation (MATCOM).
    RePEc:eee:matcom:v:94:y:2013:i:c:p:238-257.

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  51. EVT and tail-risk modelling: Evidence from market indices and volatility series. (2013). Powell, Robert ; Allen, David ; Singh, Abhay K..
    In: The North American Journal of Economics and Finance.
    RePEc:eee:ecofin:v:26:y:2013:i:c:p:355-369.

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  52. Testing for the Systemically Important Financial Institutions: a Conditional Approach. (2013). Tokpavi, Sessi.
    In: EconomiX Working Papers.
    RePEc:drm:wpaper:2013-27.

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  53. An overview of component unit pricing theory. (2012). Cattell, David.
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    RePEc:taf:conmgt:v:30:y:2012:i:1:p:81-92.

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  54. Estimando o VaR (Value-at-Risk) de carteiras via modelos da família GARCH e via Simulação de Monte Carlo. (2012). Godeiro, Lucas.
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  55. THE ROLE OF VALUE AT RISK IN THE MANAGEMENT OF ASSET AND LIABILITIES. (2012). Petria, Nicolae ; Mihai, Cociuba ; Daniela, Zapodeanu ; Nicolae, Petria.
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    RePEc:ora:journl:v:1:y:2012:i:2:p:635-640.

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  56. Evaluation of VaR models forecasting performance: the case of oil markets. (2012). Gallali, Mohamed ; Zahraa, Raggad .
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    RePEc:ids:ijfsmg:v:5:y:2012:i:3:p:197-215.

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  57. Une évaluation économique du risque de modèle pour les investisseurs de long-terme. (2012). Maillet, Bertrand ; Hamidi, Benjamin ; Kouontchou, Patrick ; Boucher, Christophe.
    In: Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers).
    RePEc:hal:cesptp:halshs-00825337.

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  58. Value-at-Risk models and Basel capital charges. (2012). Rossignolo, Adrian F. ; Shaban, Mohamed.
    In: Journal of Financial Stability.
    RePEc:eee:finsta:v:8:y:2012:i:4:p:303-319.

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  59. Predicting extreme value at risk: Nonparametric quantile regression with refinements from extreme value theory. (2012). Schaumburg, Julia .
    In: Computational Statistics & Data Analysis.
    RePEc:eee:csdana:v:56:y:2012:i:12:p:4081-4096.

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  60. Volatility Spillovers from the Chinese Stock Market to Economic Neighbours. (2011). McAleer, Michael ; Allen, David ; Amram, Ron .
    In: Documentos de Trabajo del ICAE.
    RePEc:ucm:doicae:1138.

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  61. Analytic Approximations to GARCH Aggregated Returns Distributions with Applications to VaR and ETL. (2011). Alexander, Carol ; Stanescu, Silvia ; Lazar, Emese.
    In: ICMA Centre Discussion Papers in Finance.
    RePEc:rdg:icmadp:icma-dp2011-08.

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  62. On downside risk predictability through liquidity and trading activity: a quantile regression approach. (2011). Serrano, Antonio Rubia ; Sanchis-Marco, Lidia .
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  63. Stock market firm-level information and real economic activity. (2011). Fornari, Fabio ; di Mauro, Filippo ; Mannucci, Dario .
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    RePEc:ecb:ecbwps:20111366.

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  64. On Some Models for Value-At-Risk. (2010). Yu, Philip ; Li, Wai Keung ; Jin, Shusong .
    In: Econometric Reviews.
    RePEc:taf:emetrv:v:29:y:2010:i:5-6:p:622-641.

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  65. A comparison of bootstrap and Monte-Carlo testing approaches to value-at-risk diagnosis. (2010). Waichman, Israel ; Herwartz, Helmut.
    In: Computational Statistics.
    RePEc:spr:compst:v:25:y:2010:i:4:p:725-732.

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  66. The predictive power of value-at-risk models in commodity futures markets. (2010). Füss, Roland ; Kaiser, Dieter G ; Adams, Zeno ; Fuss, Roland ; ROLAND FÜSS, .
    In: Journal of Asset Management.
    RePEc:pal:assmgt:v:11:y:2010:i:4:d:10.1057_jam.2009.21.

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  67. Value At Risk (Var) As A Market Risk Measure. (2010). Kozul, Natasha .
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    RePEc:mje:mjejnl:v:6:y:2010:i:11:p:145-148.

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  68. First-passage probability, jump models, and intra-horizon risk. (2010). Panayotov, George ; Bakshi, Gurdip .
    In: Journal of Financial Economics.
    RePEc:eee:jfinec:v:95:y:2010:i:1:p:20-40.

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  69. La Gestión de Riesgo de Liquidez en Economías Emergentes: Un Modelo Valor-en-Riesgo (VaR) Paramétrico de Calibración Indirecta y una Aplicación al Sistema Financiero Boliviano. (2009). Gonzales Martínez, Rolando ; Gonzales-Martinez, Rolando .
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  70. Measuring housing affordability: Looking beyond the median. (2009). Hill, Robert ; Gan, Quan.
    In: Journal of Housing Economics.
    RePEc:eee:jhouse:v:18:y:2009:i:2:p:115-125.

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  71. CAViaR-based forecast for oil price risk. (2009). Fabozzi, Frank ; Yu, Baimin ; Fukushima, Masao ; Huang, Dashan .
    In: Energy Economics.
    RePEc:eee:eneeco:v:31:y:2009:i:4:p:511-518.

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  72. Evaluation of Hedge Fund Returns Value at Risk Using GARCH Models. (2009). Khanniche, Sabrina .
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  73. Comparing univariate and multivariate models to forecast portfolio value-at-risk. (2009). Santos, Andre ; Ruiz, Esther ; Andre A. P., ; Nogales, Francisco J..
    In: DES - Working Papers. Statistics and Econometrics. WS.
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  74. Exchange Rate Risk: Heads or Tails. (2009). Gavril, Ana-Maria .
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  75. Il model risk nella gestione dei rischi di mercato.. (2008). Filagrana, Marco.
    In: Alea Tech Reports.
    RePEc:trt:aleatr:015.

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  76. Measuring Housing Affordability: Looking Beyond the Median. (2008). Hill, Robert ; Gan, Quan.
    In: Discussion Papers.
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  77. Modelling nonlinearities and heavy tails via threshold normal mixture GARCH models. (2008). Vrontos, Ioannis ; Dellaportas, Petros ; Giannikis, D..
    In: Computational Statistics & Data Analysis.
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  78. Measuring financial risk : comparison of alternative procedures to estimate VaR and ES. (2008). Ruiz, Esther ; Nieto, Maria Rosa .
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  79. Comparing Value-at-Risk Methodologies. (2007). Lima, Luiz ; Neri, Breno Pinheiro .
    In: Brazilian Review of Econometrics.
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  80. Distribución condicional de los retornos de la tasa de cambio colombiana: un ejercicio empírico a partir de modelos GARCH multivariados. (2007). Gomez, Karoll ; Portilla, Karoll Gomez .
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  81. Risk Management in Emerging Markets: Practical Methodologies and Empirical Tests. (2006). Xiouros, Costas ; Zenios, Stavros ; Nerouppos, Marios ; Saunders, David.
    In: Multinational Finance Journal.
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  82. Uncertainty in Value-at-risk Estimates under Parametric and Non-parametric Modeling. (2006). Aussenegg, Wolfgang ; Miazhynskaia, Tatiana .
    In: Financial Markets and Portfolio Management.
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  83. Comparing value-at-risk methodologies. (2006). Neri, Breno ; Lima, Luiz.
    In: FGV/EPGE Economics Working Papers (Ensaios Economicos da EPGE).
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  84. Using extreme value theory to measure value-at-risk for daily electricity spot prices. (2006). Chan, Kam Fong ; Gray, Philip.
    In: International Journal of Forecasting.
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  85. Term structure of risk under alternative econometric specifications. (2006). Timmermann, Allan ; Guidolin, Massimo.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:131:y:2006:i:1-2:p:285-308.

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  86. Preserving Biodiversity: Ambiguity and Safety Rules. (2006). Xepapadeas, Anastasios ; Vardas, Giannis.
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  87. Value-at-Risk for long and short trading positions: The case of the Athens Stock Exchange. (2006). Kouretas, Georgios ; Zarangas, Leonidas ; Diamandis, Panayiotis.
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  88. Methodology and Implementation of Value-at-Risk Measures in Emerging Fixed-Income Markets with Infrequent Trading.. (2005). Bernales, Alejandro ; Beuermann, Diether ; Cortazar, Gonzalo.
    In: Finance.
    RePEc:wpa:wuwpfi:0512030.

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  89. Porovnanie prístupov na výpočet hodnoty v riziku menových portfólií. (2005). RIMARK, Marian .
    In: Politická ekonomie.
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  90. Term structure of risk under alternative econometric specifications. (2005). Guidolin, Massimo ; Timmerman, Allan.
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