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Modelling VaR for foreign-asset portfolios in continuous time

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  • Chen, Fen-Ying
  • Liao, Szu-Lang

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  • Chen, Fen-Ying & Liao, Szu-Lang, 2009. "Modelling VaR for foreign-asset portfolios in continuous time," Economic Modelling, Elsevier, vol. 26(1), pages 234-240, January.
    • Handle: RePEc:eee:ecmode:v:26:y:2009:i:1:p:234-240
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    References listed on IDEAS

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    1. Paul H. Kupiec, 1995. "Techniques for verifying the accuracy of risk measurement models," Finance and Economics Discussion Series 95-24, Board of Governors of the Federal Reserve System (U.S.).
    2. Katerina Simons, 1997. "Model error," New England Economic Review, Federal Reserve Bank of Boston, issue Nov, pages 17-28.
    3. Giovanni Barone-Adesi & Kostas Giannopoulos, 2001. "Non parametric VaR Techniques. Myths and Realities," Economic Notes, Banca Monte dei Paschi di Siena SpA, vol. 30(2), pages 167-181, July.
    4. Yu Chuan Huang & Bor-Jing Lin, 2004. "Value-at-Risk Analysis for Taiwan Stock Index Futures: Fat Tails and Conditional Asymmetries in Return Innovations," Review of Quantitative Finance and Accounting, Springer, vol. 22(2), pages 79-95, March.
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    Cited by:

    1. Alex Huang, 2013. "Value at risk estimation by quantile regression and kernel estimator," Review of Quantitative Finance and Accounting, Springer, vol. 41(2), pages 225-251, August.
    2. Zhang, Wei-Guo & Xiao, Wei-Lin & Xu, Wei-Jun, 2010. "A possibilistic portfolio adjusting model with new added assets," Economic Modelling, Elsevier, vol. 27(1), pages 208-213, January.
    3. Lidiema, Caspah, 2018. "Intra-market linkages in the financial sector and their effects on financial inclusion," KBA Centre for Research on Financial Markets and Policy Working Paper Series 28, Kenya Bankers Association (KBA).
    4. Su, Jung-Bin & Lee, Ming-Chih & Chiu, Chien-Liang, 2014. "Why does skewness and the fat-tail effect influence value-at-risk estimates? Evidence from alternative capital markets," International Review of Economics & Finance, Elsevier, vol. 31(C), pages 59-85.

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