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Horizon Problems and Extreme Events in Financial Risk Management. (1998). Schuermann, Til ; Diebold, Francis ; Christoffersen, Peter.
In: Center for Financial Institutions Working Papers.
RePEc:wop:pennin:98-16.

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  1. Intraday and overnight tail risks and return predictability in the crude oil market: Evidence from oil-related regular news and extreme shocks. (2023). Bouri, Elie ; Wang, Cheng ; Zhang, Dingsheng ; Xu, Yahua.
    In: Energy Economics.
    RePEc:eee:eneeco:v:127:y:2023:i:pb:s0140988323006199.

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  2. Risk budgeting portfolios from simulations. (2023). Targino, Rodrigo S ; Pesenti, Silvana M ; Paulo, Freitas B.
    In: European Journal of Operational Research.
    RePEc:eee:ejores:v:311:y:2023:i:3:p:1040-1056.

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  3. Risk Budgeting Portfolios from Simulations. (2023). Targino, Rodrigo S ; Pesenti, Silvana M ; Paulo, Bernardo Freitas.
    In: Papers.
    RePEc:arx:papers:2302.01196.

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  4. The term structure of volatility predictability. (2020). Zakamulin, Valeriy.
    In: International Journal of Forecasting.
    RePEc:eee:intfor:v:36:y:2020:i:2:p:723-737.

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  5. Tail risk and the return-volatility relation. (2018). Chevallier, Julien ; Aboura, Sofiane.
    In: Research in International Business and Finance.
    RePEc:eee:riibaf:v:46:y:2018:i:c:p:16-29.

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  6. Backtesting an equity risk model under Solvency II. (2018). Santomil, Pablo Duran ; Merigo, Jose M ; Cunill, Onofre Martorell ; Gonzalez, Luis Otero.
    In: Journal of Business Research.
    RePEc:eee:jbrese:v:89:y:2018:i:c:p:216-222.

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  7. Value at risk and expected shortfall based on Gram-Charlier-like expansions. (2018). Zoia, Maria ; Nicolussi, Federica ; Biffi, Paola .
    In: Journal of Banking & Finance.
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  8. Measuring long-term tail risk: Evaluating the performance of the square-root-of-time rule. (2018). Wang, Jying-Nan ; Hsu, Yuan-Teng ; Du, Jiangze.
    In: Journal of Empirical Finance.
    RePEc:eee:empfin:v:47:y:2018:i:c:p:120-138.

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  9. Home is Where You Know Your Volatility – Local Investor Sentiment and Stock Market Volatility. (2018). Schneller, D ; Hamid, A ; Heiden, M.
    In: German Economic Review.
    RePEc:bla:germec:v:19:y:2018:i:2:p:209-236.

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

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  11. Value-at-Risk time scaling for long-term risk estimation. (2014). Spadafora, Luca ; Dubrovich, Marco ; Terraneo, Marcello .
    In: Papers.
    RePEc:arx:papers:1408.2462.

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  12. Market risk model selection and medium-term risk with limited data: Application to ocean tanker freight markets. (2011). Kavussanos, Manolis ; Dimitrakopoulos, Dimitris.
    In: International Review of Financial Analysis.
    RePEc:eee:finana:v:20:y:2011:i:5:p:258-268.

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  13. Forecasting VaR and Expected Shortfall using Dynamical Systems: A Risk Management Strategy. (2009). Guegan, Dominique ; Caillault, Cyril.
    In: PSE-Ecole d'économie de Paris (Postprint).
    RePEc:hal:pseptp:halshs-00375765.

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  14. VaR and Liquidity Risk.Impact on Market Behaviour and Measurement Issues.. (2008). Erzegovesi, Luca.
    In: Alea Tech Reports.
    RePEc:trt:aleatr:014.

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  15. I modelli interni per la valutazione del rischio di mercato secondo lapproccio del Value at Risk.. (2008). Bazzana, Flavio.
    In: Alea Tech Reports.
    RePEc:trt:aleatr:011.

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  16. Interpreting Value at Risk (VaR) forecasts. (2008). Gregory, Allan ; Reeves, Jonathan J..
    In: Economic Systems.
    RePEc:eee:ecosys:v:32:y:2008:i:2:p:167-176.

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

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  19. Forecasting volatility: A reality check based on option pricing, utility function, value-at-risk, and predictive likelihood. (2004). Lee, Tae Hwy ; Gonzalez-Rivera, Gloria ; Mishra, Santosh .
    In: International Journal of Forecasting.
    RePEc:eee:intfor:v:20:y:2004:i:4:p:629-645.

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  20. FORECASTING THE CONDITIONAL COVARIANCE MATRIX OF A PORTFOLIO UNDER LONG-RUN TEMPORAL DEPENDENCE. (2003). Ñíguez Grau, Trino ; Rubia, Antonio ; Iguez, Trino-Manuel .
    In: Working Papers. Serie AD.
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  21. 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.

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  22. Long-term value at risk. (2003). Blake, David ; Cairns, Andrew ; Dowd, Kevin.
    In: LSE Research Online Documents on Economics.
    RePEc:ehl:lserod:24867.

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  23. An Evaluation Framework for Alternative VaR Models. (2002). Wolff, Christian ; Lehnert, Thorsten ; Bams, Dennis.
    In: CEPR Discussion Papers.
    RePEc:cpr:ceprdp:3403.

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  24. Subordinated debt and bank capital reform. (2000). Wall, Larry ; Evanoff, Douglas.
    In: Working Paper Series.
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  25. Subordinated debt and bank capital reform. (2000). Wall, Larry ; Evanoff, Douglas.
    In: FRB Atlanta Working Paper.
    RePEc:fip:fedawp:2000-24.

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  26. Value-at-risk: Applying the extreme value approach to Asian markets in the recent financial turmoil. (2000). Burridge, Peter ; Cadle, John ; Theobald, Michael ; Ho, Lan-Chih.
    In: Pacific-Basin Finance Journal.
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  27. Estimation of tail-related risk measures for heteroscedastic financial time series: an extreme value approach. (2000). McNeil, Alexander J. ; Frey, Rudiger.
    In: Journal of Empirical Finance.
    RePEc:eee:empfin:v:7:y:2000:i:3-4:p:271-300.

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  28. Towards a global financial architecture: capital mobility and risk management issues. (2000). Christoffersen, Peter ; Errunza, Vihang.
    In: Emerging Markets Review.
    RePEc:eee:ememar:v:1:y:2000:i:1:p:3-20.

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  29. Pricing systemic crises: monetary and fiscal policy when savers are uncertain. (1999). Passmore, Wayne ; Lehnert, Andreas.
    In: Finance and Economics Discussion Series.
    RePEc:fip:fedgfe:1999-33.

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References

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