The Quality of Value at Risk via Univariate GARCH-Reference-Cited by-同舟云学术

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The Quality of Value at Risk via Univariate GARCH

Published:2003 Issue: Volume: Page:
ISSN:1556-5068
Container-title:SSRN Electronic Journal
language:en
Short-container-title:SSRN Journal

Author:

Burns Patrick J.

Publisher

Elsevier BV

Reference15 articles.

1. VaR without correlations for nonlinear portfolios;G Barone-Adesi;Journal of Futures Markets,1999

2. Generalized Autoregressive Conditional Heteroskedasticity;Tim Bollerslev;Journal of Econometrics,1986

3. ARCH Models;Tim Bollerslev;Handbook of Econometrics, Vol IV,1994

4. Robustness of the Ljung-Box test and its rank equivalent;Patrick Burns;Burns Statistics,2002

5. Correlations and Volatilities of Asynchronous Data;Patrick Burns;The Journal of Derivatives,1998

Cited by 5 articles. 订阅此论文施引文献订阅此论文施引文献，注册后可以免费订阅5篇论文的施引文献，订阅后可以查看论文全部施引文献

1. Semiparametric Score-Driven Exponentially Weighted Moving Average Model;Communications in Computer and Information Science;2024

2. A comprehensive evaluation of value-at-risk models and a comparison of their performance in emerging markets;Journal of Risk Model Validation;2018

3. Intraday Value at Risk (IVaR) using tick-by-tick data with application to the Toronto Stock Exchange;Journal of Empirical Finance;2009-12

4. Intraday Value at Risk (IVaR) Using Tick-by-Tick Data with Application to the Toronto Stock Exchange;SSRN Electronic Journal;2005

5. Robustness of the Ljung-Box Test and its Rank Equivalent;SSRN Electronic Journal;2003

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