Real-time assessment of value-at-risk and volatility accuracy-Reference-Cited by-同舟云学术

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Real-time assessment of value-at-risk and volatility accuracy

Published:2007-02 Issue:1 Volume:8 Page:323-336
ISSN:1468-1218
Container-title:Nonlinear Analysis: Real World Applications
language:en
Short-container-title:Nonlinear Analysis: Real World Applications

Author:

Sullivan Joe H.,Stoumbos Zachary G.,Brooks Robert

Publisher

Elsevier BV

Subject

Applied Mathematics,Computational Mathematics,General Economics, Econometrics and Finance,General Engineering,General Medicine,Analysis

Reference21 articles.

1. Detection of Abrupt Changes: Theory and Application;Basseville,1993

2. Value at Risk: Theoretical Foundations—Capital Market Strategies;Beckstrom,1995

3. VaR: seductive but dangerous;Beder;Financial Analysts J.,1993

4. How accurate are value-at-risk models at commercial banks?;Berkowitz;J. Finance,2002

5. Implementing Value at Risk;Best,1999

Cited by 2 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. Information-based multi-assets artificial stock market with heterogeneous agents;Nonlinear Analysis: Real World Applications;2011-04

2. A multi-assets artificial stock market with zero-intelligence traders;EPL (Europhysics Letters);2011-01-01

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