IDEAS home Printed from https://ideas.repec.org/f/c/pku379.html
   My authors  Follow this author

Paul H. Kupiec

Citations

Many of the citations below have been collected in an experimental project, CitEc, where a more detailed citation analysis can be found. These are citations from works listed in RePEc that could be analyzed mechanically. So far, only a minority of all works could be analyzed. See under "Corrections" how you can help improve the citation analysis.

Working papers

  1. Paul H. Kupiec, 2019. "Policy uncertainty and bank stress testing," AEI Economics Working Papers 1022739, American Enterprise Institute.

    Cited by:

    1. Avi Lichtig & Helene Mass, 2024. "Optimal Testing in Disclosure Games," CRC TR 224 Discussion Paper Series crctr224_2024_543, University of Bonn and University of Mannheim, Germany.

  2. Paul H. Kupiec, 2018. "On the accuracy of alternative approaches for calibrating bank stress test models," AEI Economics Working Papers 980152, American Enterprise Institute.

    Cited by:

    1. Kupiec, Paul H., 2020. "Policy uncertainty and bank stress testing," Journal of Financial Stability, Elsevier, vol. 51(C).
    2. Pedro Guerra & Mauro Castelli, 2021. "Machine Learning Applied to Banking Supervision a Literature Review," Risks, MDPI, vol. 9(7), pages 1-24, July.
    3. Brummelhuis, Raymond & Luo, Zhongmin, 2019. "Bank Net Interest Margin Forecasting and Capital Adequacy Stress Testing by Machine Learning Techniques," MPRA Paper 94779, University Library of Munich, Germany.
    4. Małgorzata Iwanicz-Drozdowska & Krzysztof Jackowicz & Maciej Karczmarczyk, 2021. "“The Crooked Smile of TCR†: Banks’ Solvency and Restructuring Costs in the European Banking Industry," SAGE Open, , vol. 11(3), pages 21582440211, September.
    5. Bocchio, Cecilia & Crook, Jonathan & Andreeva, Galina, 2023. "The impact of macroeconomic scenarios on recurrent delinquency: A stress testing framework of multi-state models for mortgages," International Journal of Forecasting, Elsevier, vol. 39(4), pages 1655-1677.
    6. Christos Floros & Efstathios Karpouzis & Nikolaos Daskalakis, 2024. "Stock Markets and Stress Test Announcements: Evidence from European Banks," Economies, MDPI, vol. 12(7), pages 1-11, July.
    7. Nguyen, Thach Vu Hong & Ahmed, Shamim & Chevapatrakul, Thanaset & Onali, Enrico, 2020. "Do stress tests affect bank liquidity creation?," Journal of Corporate Finance, Elsevier, vol. 64(C).

  3. Paul H. Kupiec, 2015. "Will TLAC regulations fix the G-SIB too-big-to-fail problem?," AEI Economics Working Papers 850026, American Enterprise Institute.

    Cited by:

    1. Chao, Xiangrui & Ran, Qin & Chen, Jia & Li, Tie & Qian, Qian & Ergu, Daji, 2022. "Regulatory technology (Reg-Tech) in financial stability supervision: Taxonomy, key methods, applications and future directions," International Review of Financial Analysis, Elsevier, vol. 80(C).
    2. Díaz, Fernando & Ramírez, Gabriel G. & Liu, Liuling, 2018. "Corporate bond clawbacks as contingent capital for banks," Journal of Financial Stability, Elsevier, vol. 37(C), pages 11-24.
    3. Kund, Arndt-Gerrit & Hertrampf, Patrick & Neitzert, Florian, 2023. "Bail-in requirements and CoCo bond issuance," Finance Research Letters, Elsevier, vol. 53(C).
    4. Gündüz, Yalin, 2020. "The market impact of systemic risk capital surcharges," Discussion Papers 09/2020, Deutsche Bundesbank.
    5. Michel Crouhy & Dan Galai, 2018. "Are Banks Special?," Quarterly Journal of Finance (QJF), World Scientific Publishing Co. Pte. Ltd., vol. 8(04), pages 1-19, December.
    6. Lele Zhou & Maowei Chen & Hyangsook Lee, 2022. "Supply Chain Finance: A Research Review and Prospects Based on a Systematic Literature Analysis from a Financial Ecology Perspective," Sustainability, MDPI, vol. 14(21), pages 1-27, November.
    7. José Alejandro Fernández Fernández, 2020. "Considerations of the SPE and MPE resolution," Journal of Banking Regulation, Palgrave Macmillan, vol. 21(3), pages 278-287, September.
    8. Homma, Yasutake & Suzuki, Katsushi, 2023. "TLAC bonds and bank risk-taking," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 87(C).
    9. Thomas Conlon & John Cotter, 2019. "Subordinate Resolution ‐‐ An Empirical Analysis of European Union Subsidiary Banks," Journal of Common Market Studies, Wiley Blackwell, vol. 57(4), pages 857-876, July.
    10. G. Gospodarchuk G. & Г. Господарчук Г., 2019. "Резервный буфер капитала как инструмент макропруденциальной политики // Reserve Capital buffer as an Instrument of Macroprudential Policy," Финансы: теория и практика/Finance: Theory and Practice // Finance: Theory and Practice, ФГОБУВО Финансовый университет при Правительстве Российской Федерации // Financial University under The Government of Russian Federation, vol. 23(4), pages 43-56.

  4. Paul H. Kupiec, 2015. "Portfolio diversification in concentrated bond and loan portfolios," AEI Economics Working Papers 837343, American Enterprise Institute.

    Cited by:

    1. Paul H. Kupiec, 2015. "Capital for concentrated credit portfolios," AEI Economics Working Papers 841153, American Enterprise Institute.

  5. Paul H. Kupiec, 2015. "Testing for systemic risk using stock returns," AEI Economics Working Papers 828488, American Enterprise Institute.

    Cited by:

    1. Hai-Chuan Xu & Fredj Jawadi & Jie Zhou & Wei-Xing Zhou, 2023. "Quantifying interconnectedness and centrality ranking among financial institutions with TVP-VAR framework," Empirical Economics, Springer, vol. 65(1), pages 93-110, July.
    2. Dissem, Sonia & Lobez, Frederic, 2020. "Correlation between the 2014 EU-wide stress tests and the market-based measures of systemic risk," Research in International Business and Finance, Elsevier, vol. 51(C).
    3. Chiara Pederzoli & Costanza Torricelli, 2015. "Systemic risk measures and macroprudential stress tests. An assessment over the 2014 EBA exercise," Centro Studi di Banca e Finanza (CEFIN) (Center for Studies in Banking and Finance) 0054, Universita di Modena e Reggio Emilia, Dipartimento di Economia "Marco Biagi".
    4. Zhu, Bo & Lin, Renda & Deng, Yuanyue & Chen, Pingshe & Chevallier, Julien, 2021. "Intersectoral systemic risk spillovers between energy and agriculture under the financial and COVID-19 crises," Economic Modelling, Elsevier, vol. 105(C).
    5. Franklin Allen & Itay Goldstein & Julapa Jagtiani & William W. Lang, 2016. "Enhancing Prudential Standards in Financial Regulations," Journal of Financial Services Research, Springer;Western Finance Association, vol. 49(2), pages 133-149, June.
    6. Wided Khiari & Salim Ben Sassi, 2019. "On Identifying the Systemically Important Tunisian Banks: An Empirical Approach Based on the △CoVaR Measures," Risks, MDPI, vol. 7(4), pages 1-15, December.
    7. Mikhail Stolbov & Maria Shchepeleva, 2018. "Systemic risk in Europe: deciphering leading measures, common patterns and real effects," Annals of Finance, Springer, vol. 14(1), pages 49-91, February.
    8. Pham, Thach N. & Powell, Robert & Bannigidadmath, Deepa, 2021. "Systemically important banks in Asian emerging markets: Evidence from four systemic risk measures," Pacific-Basin Finance Journal, Elsevier, vol. 70(C).
    9. Kreis, Yvonne & Leisen, Dietmar P.J., 2018. "Systemic risk in a structural model of bank default linkages," Journal of Financial Stability, Elsevier, vol. 39(C), pages 221-236.
    10. Javed, Farrukh & Sabzevari, Hassan & Virk, Nader, 2021. "Tail risk emanating from troubled European banking sectors," Finance Research Letters, Elsevier, vol. 43(C).
    11. Zhang, Ailian & Pan, Mengmeng & Liu, Bai & Weng, Yin-Che, 2020. "Systemic risk: The coordination of macroprudential and monetary policies in China," Economic Modelling, Elsevier, vol. 93(C), pages 415-429.
    12. Silva, Walmir & Kimura, Herbert & Sobreiro, Vinicius Amorim, 2017. "An analysis of the literature on systemic financial risk: A survey," Journal of Financial Stability, Elsevier, vol. 28(C), pages 91-114.

  6. Paul H. Kupiec, 2015. "Is Dodd Frank orderly liquidation authority necessary to fix too-big-to-fail?," AEI Economics Working Papers 862164, American Enterprise Institute.

    Cited by:

    1. Paul H. Kupiec, 2015. "Will TLAC regulations fix the G-SIB too-big-to-fail problem?," AEI Economics Working Papers 850026, American Enterprise Institute.
    2. Barth, James R. & Miller, Stephen Matteo, 2018. "Benefits and costs of a higher bank “leverage ratio”," Journal of Financial Stability, Elsevier, vol. 38(C), pages 37-52.

  7. Peter J. Wallison & Paul H. Kupiec, 2014. "Can the 'single point of entry' strategy be used to recapitalize a failing bank?," AEI Economics Working Papers 819414, American Enterprise Institute.

    Cited by:

    1. José Alejandro Fernández Fernández, 2020. "Considerations of the SPE and MPE resolution," Journal of Banking Regulation, Palgrave Macmillan, vol. 21(3), pages 278-287, September.

  8. Mr. Paul H. Kupiec, 2002. "Calibrating Your Intuition: Capital Allocation for Market and Credit Risk," IMF Working Papers 2002/099, International Monetary Fund.

    Cited by:

    1. Lian, Ziying & Cai, Jun & Webb, Robert I., 2020. "Oil stocks, risk factors, and tail behavior," Energy Economics, Elsevier, vol. 91(C).
    2. Yang, Huan & Cai, Jun & Huang, Lin & Marcus, Alan J., 2021. "Bank stocks, risk factors, and tail behavior," Journal of Empirical Finance, Elsevier, vol. 63(C), pages 203-229.
    3. Qiang Ji & Bing-Yue Liu & Juncal Cunado & Rangan Gupta, 2017. "Risk Spillover between the US and the Remaining G7 Stock Markets Using Time-Varying Copulas with Markov Switching: Evidence from Over a Century of Data," Working Papers 201759, University of Pretoria, Department of Economics.
    4. Tiwari, Aviral Kumar & Trabelsi, Nader & Alqahtani, Faisal & Raheem, Ibrahim D., 2020. "Systemic risk spillovers between crude oil and stock index returns of G7 economies: Conditional value-at-risk and marginal expected shortfall approaches," Energy Economics, Elsevier, vol. 86(C).

  9. Mr. Paul H. Kupiec, 2001. "The New Basel Capital Accord: The Devil Is in the (Calibration) Details," IMF Working Papers 2001/113, International Monetary Fund.

    Cited by:

    1. Chami, Ralph & Cosimano, Thomas F., 2010. "Monetary policy with a touch of Basel," Journal of Economics and Business, Elsevier, vol. 62(3), pages 161-175, May.
    2. Sapountzoglou Gerassimos, 2007. "A Quality Index for Evaluating the Bank Capital Adequacy According to Basel I and II," Stochastics and Quality Control, De Gruyter, vol. 22(2), pages 191-195, January.

  10. Paul H. Kupiec & James M. O'Brien, 1997. "Deposit insurance, bank incentives, and the design of regulatory policy," Finance and Economics Discussion Series 1998-10, Board of Governors of the Federal Reserve System (U.S.).

    Cited by:

    1. Robert P. Gray, 2004. "Australia's Implicit Deposit Insurance — Should It Be Reconsidered?," Australian Accounting Review, CPA Australia, vol. 14(32), pages 41-52, March.
    2. Sylvie Mathérat & Vitchett Oung, 2000. "Les modèles d’assurance des dépôts. Présentation du nouveau système en vigueur en France," Revue d'Économie Financière, Programme National Persée, vol. 60(5), pages 225-236.
    3. Arturo Estrella, 1998. "The Future of Regulatory Capital: General Principles and Specific Proposals," Swiss Journal of Economics and Statistics (SJES), Swiss Society of Economics and Statistics (SSES), vol. 134(IV), pages 599-616, December.
    4. Evan Kraft, 2006. "How Competitive Is Croatia's Banking System?," Working Papers 14, The Croatian National Bank, Croatia.
    5. Matousek, Roman & Tzeremes, Nickolaos G., 2016. "CEO compensation and bank efficiency: An application of conditional nonparametric frontiers," European Journal of Operational Research, Elsevier, vol. 251(1), pages 264-273.
    6. Kraft, Evan & Galac, Tomislav, 2007. "Deposit interest rates, asset risk and bank failure in Croatia," Journal of Financial Stability, Elsevier, vol. 2(4), pages 312-336, March.
    7. Arturo Estrella, 2004. "Bank Capital and Risk: Is Voluntary Disclosure Enough?," Journal of Financial Services Research, Springer;Western Finance Association, vol. 26(2), pages 145-160, October.
    8. Kane, Edward J., 2006. "Inadequacy of nation-based and VaR-based safety nets in the European Union," The North American Journal of Economics and Finance, Elsevier, vol. 17(3), pages 375-387, December.
    9. João A. C. Santos, 2000. "Bank capital regulation in contemporary banking theory: a review of the literature," BIS Working Papers 90, Bank for International Settlements.
    10. Knorr Andreas, 1999. "Staatliche Bankenaufsicht – eine effiziente Institution?," ORDO. Jahrbuch für die Ordnung von Wirtschaft und Gesellschaft, De Gruyter, vol. 50(1), pages 345-370, January.
    11. Sylvie Mathérat & Vitchett Oung, 2000. "An Overview of France’s New Deposit Insurance System," Revue d'Économie Financière, Programme National Persée, vol. 60(5), pages 221-232.

  11. Paul H. Kupiec, 1997. "Margin requirements, volatility, and market integrity: what have we learned since the crash?," Finance and Economics Discussion Series 1997-22, Board of Governors of the Federal Reserve System (U.S.).

    Cited by:

    1. Lucy F. Ackert & Bryan K. Church & Richard Deaves, 2002. "Bubbles in experimental asset markets: Irrational exuberance no more," FRB Atlanta Working Paper 2002-24, Federal Reserve Bank of Atlanta.
    2. Brumm, Johannes & Grill, Michael & Kubler, Felix & Schmedders, Karl, 2015. "Margin regulation and volatility," Journal of Monetary Economics, Elsevier, vol. 75(C), pages 54-68.
    3. Nidhi Aggarwal & Susan Thomas, 2011. "When do stock futures dominate price discovery," Indira Gandhi Institute of Development Research, Mumbai Working Papers 2011-016, Indira Gandhi Institute of Development Research, Mumbai, India.
    4. Rashid, Abdul & Ahmad, Shabbir, 2008. "Badla Financing, Stock Returns and Volatility: The Case Study of Karachi Stock Exchange," MPRA Paper 30487, University Library of Munich, Germany.
    5. Lucy F. Ackert & Narat Charupat & Bryan K. Church & Richard Deaves, 2006. "Margin, Short Selling, and Lotteries in Experimental Asset Markets," Southern Economic Journal, John Wiley & Sons, vol. 73(2), pages 419-436, October.
    6. Charoula Daskalaki & George Skiadopoulos, 2014. "The Effects of Margin Changes on Commodity Futures Markets," Working Papers 736, Queen Mary University of London, School of Economics and Finance.
    7. Shi, Wei & Irwin, Scott H., 2006. "What Happens when Peter can't Pay Paul: Risk Management at Futures Exchange Clearinghouses," 2006 Annual meeting, July 23-26, Long Beach, CA 21087, American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association).
    8. Zhang, Wei David & Seyedian, Mojtaba & Li, Jinliang, 2005. "Margin borrowing, stock returns, and market volatility: Evidence from margin credit balance," Economics Letters, Elsevier, vol. 87(2), pages 273-278, May.
    9. Wen-Chung Guo & Frank Yong Wang & Ho-Mou Wu, 2009. "Financial Leverage and Market Volatility with Diverse Beliefs," Finance Working Papers 22887, East Asian Bureau of Economic Research.
    10. Goldstein, Michael A. & Kavajecz, Kenneth A., 2004. "Trading strategies during circuit breakers and extreme market movements," Journal of Financial Markets, Elsevier, vol. 7(3), pages 301-333, June.
    11. Michael Grill & Karl Schmedders & Felix Kubler & Johannes Brumm, 2012. "Margin Requirements and Asset Prices," 2012 Meeting Papers 533, Society for Economic Dynamics.
    12. Shinhua Liu, 2008. "Index Futures and Predictability of the Underlying Stocks’ Returns: The Case of the Nikkei 225," Journal of Financial Services Research, Springer;Western Finance Association, vol. 34(1), pages 77-91, August.
    13. Raymond Knott & Marco Polenghi, 2006. "Assessing central counterparty margin coverage on futures contracts using GARCH models," Bank of England working papers 287, Bank of England.
    14. Douglas J. Elliott & Greg Feldberg & Andreas Lehnert, 2013. "The History of Cyclical Macroprudential Policy in the United States," Working Papers 13-05, Office of Financial Research, US Department of the Treasury.
    15. D. Matsypura & V.G. Timkovsky, 2013. "Integer programs for margining option portfolios by option spreads with more than four legs," Computational Management Science, Springer, vol. 10(1), pages 51-76, February.
    16. Douglas J. Elliott & Greg Feldberg & Andreas Lehnert, 2013. "The history of cyclical macroprudential policy in the United States," Finance and Economics Discussion Series 2013-29, Board of Governors of the Federal Reserve System (U.S.).
    17. Michael A. Goldstein & Kenneth A. Kavajecz, "undated". "Liquidity Provision during Circuit Breakers and Extreme Market Movements," Rodney L. White Center for Financial Research Working Papers 1-00, Wharton School Rodney L. White Center for Financial Research.
    18. Xiong, Wei, 2001. "Convergence trading with wealth effects: an amplification mechanism in financial markets," Journal of Financial Economics, Elsevier, vol. 62(2), pages 247-292, November.
    19. Domian, Dale L. & Racine, Marie D., 2006. "An empirical analysis of margin debt," International Review of Economics & Finance, Elsevier, vol. 15(2), pages 151-163.

  12. Paul H. Kupiec & James M. O'Brien, 1997. "The pre-commitment approach: using incentives to set market risk capital requirements," Finance and Economics Discussion Series 1997-14, Board of Governors of the Federal Reserve System (U.S.).

    Cited by:

    1. Nachane, D M & Narain, Aditya & Ghosh, Saibal & Sahoo, Satyananda, 2001. "Regulating Market Risks in Banks: A Comparison of Alternate Regulatory Regimes," MPRA Paper 17148, University Library of Munich, Germany.
    2. Georges Dionne, 2003. "The Foundationsof Banks' Risk Regulation: A Review of Literature," THEMA Working Papers 2003-46, THEMA (THéorie Economique, Modélisation et Applications), Université de Cergy-Pontoise.
    3. Dr Arup Daripa & Dr. Simone Varotto, 2004. "Ex Ante versus Ex Post Regulation of Bank Capital," ICMA Centre Discussion Papers in Finance icma-dp2004-12, Henley Business School, University of Reading.
    4. Arupratan Daripa & Simone Varotto, 1998. "Value at risk and precommitment: approaches to market risk regulation," Economic Policy Review, Federal Reserve Bank of New York, vol. 4(Oct), pages 137-143.
    5. Alistair Milne & A Elizabeth Whalley, 1999. "Bank capital and risk taking," Bank of England working papers 90, Bank of England.
    6. Ning Gong & Kenneth D. Jones, 2013. "Bailouts, Monitoring, and Penalties: An Integrated Framework of Government Policies to Manage the Too-Big-to-Fail Problem," International Review of Finance, International Review of Finance Ltd., vol. 13(3), pages 299-325, September.
    7. David T. Llewellyn, 2001. "A regulatory regime for financial stability," Working Papers 48, Oesterreichische Nationalbank (Austrian Central Bank).
    8. Xavier Freixas, 2003. "An overall perspective on banking regulation," Economics Working Papers 664, Department of Economics and Business, Universitat Pompeu Fabra.
    9. Jezabel Couppey, 2000. "Vers un nouveau schéma de réglementation prudentielle : une contribution au débat," Revue d'Économie Financière, Programme National Persée, vol. 56(1), pages 37-56.
    10. Borio, Claudio & Tsatsaronis, Kostas, 2004. "Accounting and prudential regulation: from uncomfortable bedfellows to perfect partners?," Journal of Financial Stability, Elsevier, vol. 1(1), pages 111-135, September.
    11. Gerard Caprio & Patrick Honohan, 1999. "Restoring Banking Stability: Beyond Supervised Capital Requirements," Journal of Economic Perspectives, American Economic Association, vol. 13(4), pages 43-64, Fall.
    12. Rochet, Jean-Charles, 1999. "Solvency regulations and the management of banking risks," European Economic Review, Elsevier, vol. 43(4-6), pages 981-990, April.
    13. Jackson, Patricia & Perraudin, William, 2000. "Regulatory implications of credit risk modelling," Journal of Banking & Finance, Elsevier, vol. 24(1-2), pages 1-14, January.
    14. Dal Borgo, Mariela, 2022. "Internal models for deposits: Effects on banks' capital and interest rate risk of assets," Journal of Banking & Finance, Elsevier, vol. 135(C).
    15. Arupratan Daripa & Simone Varotto, 1997. "Agency Incentives and Reputational Distortions: a Comparison of the Effectiveness of Value-at-Risk and Pre-commitment in Regulating Market Risk," Bank of England working papers 69, Bank of England.
    16. Esty, Benjamin C., 1998. "The impact of contingent liability on commercial bank risk taking," Journal of Financial Economics, Elsevier, vol. 47(2), pages 189-218, February.
    17. Lucas, André, 1998. "Testing backtesting : an evaluation of the Basle guidelines for backtesting internal risk management models of banks," Serie Research Memoranda 0001, VU University Amsterdam, Faculty of Economics, Business Administration and Econometrics.
    18. Milne, Alistair, 2002. "Bank capital regulation as an incentive mechanism: Implications for portfolio choice," Journal of Banking & Finance, Elsevier, vol. 26(1), pages 1-23, January.
    19. Li, Jing, 2017. "Accounting for banks, capital regulation and risk-taking," Journal of Banking & Finance, Elsevier, vol. 74(C), pages 102-121.

  13. Paul H. Kupiec & Patricia A. White, 1996. "Regulatory competition and the efficiency of alternative derivative product margining systems," Finance and Economics Discussion Series 96-11, Board of Governors of the Federal Reserve System (U.S.).

    Cited by:

    1. Cotter, John, 2000. "Margin Exceedences for European Stock Index Futures using Extreme Value Theory," MPRA Paper 3534, University Library of Munich, Germany, revised 2001.
    2. Christophe Hurlin & Christophe Pérignon, 2012. "Margin Backtesting," Working Papers halshs-00746274, HAL.
    3. Vasile Cocriş & Bogdan Căpraru, 2011. "Financial Supervision Structure In Romania. A Comparative Approach," Annales Universitatis Apulensis Series Oeconomica, Faculty of Sciences, "1 Decembrie 1918" University, Alba Iulia, vol. 2(13), pages 1-23.
    4. Shi, Wei & Irwin, Scott H., 2006. "What Happens when Peter can't Pay Paul: Risk Management at Futures Exchange Clearinghouses," 2006 Annual meeting, July 23-26, Long Beach, CA 21087, American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association).
    5. Paul Kupiec, 1998. "Margin Requirements, Volatility, and Market Integrity: What Have We Learned Since the Crash?," Journal of Financial Services Research, Springer;Western Finance Association, vol. 13(3), pages 231-255, June.
    6. Robert A. Jones & Christophe Pérignon, 2013. "Derivatives Clearing, Default Risk, and Insurance," Journal of Risk & Insurance, The American Risk and Insurance Association, vol. 80(2), pages 373-400, June.
    7. Hentschel, Ludger & Smith, Clifford Jr., 1997. "Derivatives regulation: Implications for central banks," Journal of Monetary Economics, Elsevier, vol. 40(2), pages 305-346, October.
    8. Luis Garicano & Rosa M. Lastra, 2010. "Towards a New Architecture for Financial Stability: Seven Principles," Journal of International Economic Law, Oxford University Press, vol. 13(3), pages 597-621, September.
    9. Yannick Armenti & Stéphane Crépey, 2017. "Central Clearing Valuation Adjustment," Working Papers hal-01169169, HAL.
    10. Alexander, Carol & Kaeck, Andreas & Sumawong, Anannit, 2019. "A parsimonious parametric model for generating margin requirements for futures," European Journal of Operational Research, Elsevier, vol. 273(1), pages 31-43.
    11. Elder, Adam & Gannon, Gerard, 1998. "Evaluation of volatility forecasts in an economic value framework," International Review of Financial Analysis, Elsevier, vol. 7(3), pages 221-236.
    12. Yannick Armenti & St'ephane Cr'epey, 2015. "Central Clearing Valuation Adjustment," Papers 1506.08595, arXiv.org, revised Feb 2017.

  14. Paul H. Kupiec & James M. O'Brien, 1995. "Recent developments in bank capital regulation of market risks," Finance and Economics Discussion Series 95-51, Board of Governors of the Federal Reserve System (U.S.).

    Cited by:

    1. Marshall, David A. & Prescott, Edward Simpson, 2001. "Bank capital regulation with and without state-contingent penalties," Carnegie-Rochester Conference Series on Public Policy, Elsevier, vol. 54(1), pages 139-184, June.
    2. Edward Simpson Prescott, 2004. "State-contingent bank regulation with unobserved actions and unobserved characteristics," Working Paper 04-02, Federal Reserve Bank of Richmond.
    3. Flavio Bazzana, 2001. "I modelli interni per la valutazione del rischio di mercato secondo l'approccio del Value at Risk," Alea Tech Reports 011, Department of Computer and Management Sciences, University of Trento, Italy, revised 14 Jun 2008.
    4. Paul H. Kupiec & James M. O'Brien, 1997. "The pre-commitment approach: using incentives to set market risk capital requirements," Finance and Economics Discussion Series 1997-14, Board of Governors of the Federal Reserve System (U.S.).
    5. Mr. Sunil Sharma & Mr. Ralph Chami & Mr. Mohsin S. Khan, 2003. "Emerging Issues in Banking Regulation," IMF Working Papers 2003/101, International Monetary Fund.
    6. Arupratan Daripa & Simone Varotto, 1997. "Agency Incentives and Reputational Distortions: a Comparison of the Effectiveness of Value-at-Risk and Pre-commitment in Regulating Market Risk," Bank of England working papers 69, Bank of England.
    7. Mayes, David G., 1997. "A market based approach to maintaining systemic stability: experiences from New Zealand," Bank of Finland Research Discussion Papers 18/1997, Bank of Finland.
    8. David A. Marshall & Edward Simpson Prescott, 2004. "State-Contingent Bank Regulation with Unobserved Actions and Unobserved Characteristics," Working Papers wp2004_0407, CEMFI.
    9. Patricia Jackson & David Maude & William Perraudin, 1998. "Bank Capital and Value at Risk," Bank of England working papers 79, Bank of England.
    10. Edward Simpson Prescott, 1997. "The pre-commitment approach in a model of regulatory banking capital," Economic Quarterly, Federal Reserve Bank of Richmond, issue Win, pages 23-50.

  15. Paul H. Kupiec & James M. O'Brien, 1995. "A pre-commitment approach to capital requirements for market risk," Finance and Economics Discussion Series 95-36, Board of Governors of the Federal Reserve System (U.S.).

    Cited by:

    1. David A. Marshall & Subu Venkataraman, 1997. "Bank capital standards for market risk: a welfare analysis," Proceedings 547, Federal Reserve Bank of Chicago.
    2. Georges Dionne, 2003. "The Foundationsof Banks' Risk Regulation: A Review of Literature," THEMA Working Papers 2003-46, THEMA (THéorie Economique, Modélisation et Applications), Université de Cergy-Pontoise.
    3. Marshall, David A. & Prescott, Edward Simpson, 2001. "Bank capital regulation with and without state-contingent penalties," Carnegie-Rochester Conference Series on Public Policy, Elsevier, vol. 54(1), pages 139-184, June.
    4. Dimson, Elroy & Marsh, Paul, 1997. "Stress tests of capital requirements," Journal of Banking & Finance, Elsevier, vol. 21(11-12), pages 1515-1546, December.
    5. Jose A. Lopez, 1999. "Methods for evaluating value-at-risk estimates," Economic Review, Federal Reserve Bank of San Francisco, pages 3-17.
    6. Jezabel Couppey, 2000. "Vers un nouveau schéma de réglementation prudentielle : une contribution au débat," Revue d'Économie Financière, Programme National Persée, vol. 56(1), pages 37-56.
    7. Edward Simpson Prescott, 1999. "A primer on moral-hazard models," Economic Quarterly, Federal Reserve Bank of Richmond, issue Win, pages 47-78.
    8. Edward Simpson Prescott, 2004. "State-contingent bank regulation with unobserved actions and unobserved characteristics," Working Paper 04-02, Federal Reserve Bank of Richmond.
    9. Allen N. Berger & Rebecca Demsetz & Philip E. Strahan, 1998. "The consolidation of the financial services industry: causes, consequences, and the implications for the future," Staff Reports 55, Federal Reserve Bank of New York.
    10. Jose A. Lopez, 1997. "Regulatory evaluation of value-at-risk models," Research Paper 9710, Federal Reserve Bank of New York.
    11. Shuji Kobayakawa, 1998. "Designing incentive-compatible regulation in banking: the role of penalty in the precommitment approach," Economic Policy Review, Federal Reserve Bank of New York, vol. 4(Oct), pages 145-153.
    12. Flavio Bazzana, 2001. "I modelli interni per la valutazione del rischio di mercato secondo l'approccio del Value at Risk," Alea Tech Reports 011, Department of Computer and Management Sciences, University of Trento, Italy, revised 14 Jun 2008.
    13. Chami, Ralph & Fullenkamp, Connel, 2002. "Trust and efficiency," Journal of Banking & Finance, Elsevier, vol. 26(9), pages 1785-1809, September.
    14. Paul H. Kupiec & James M. O'Brien, 1997. "The pre-commitment approach: using incentives to set market risk capital requirements," Finance and Economics Discussion Series 1997-14, Board of Governors of the Federal Reserve System (U.S.).
    15. Rochet, Jean-Charles, 1999. "Solvency regulations and the management of banking risks," European Economic Review, Elsevier, vol. 43(4-6), pages 981-990, April.
    16. Mr. Ralph Chami & Connel Fullenkamp, 2002. "Trust As a Means of Improving Corporate Governance and Efficiency," IMF Working Papers 2002/033, International Monetary Fund.
    17. Arupratan Daripa & Simone Varotto, 1997. "Agency Incentives and Reputational Distortions: a Comparison of the Effectiveness of Value-at-Risk and Pre-commitment in Regulating Market Risk," Bank of England working papers 69, Bank of England.
    18. Shehzad, Choudhry Tanveer & De Haan, Jakob, 2015. "Supervisory powers and bank risk taking," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 39(C), pages 15-24.
    19. David A. Marshall & Edward Simpson Prescott, 2004. "State-Contingent Bank Regulation with Unobserved Actions and Unobserved Characteristics," Working Papers wp2004_0407, CEMFI.
    20. Blum, Jürg M., 2008. "Why 'Basel II' may need a leverage ratio restriction," Journal of Banking & Finance, Elsevier, vol. 32(8), pages 1699-1707, August.
    21. Arturo Estrella, 2004. "Bank Capital and Risk: Is Voluntary Disclosure Enough?," Journal of Financial Services Research, Springer;Western Finance Association, vol. 26(2), pages 145-160, October.
    22. Jean-Marc Figuet, 2000. "Le prêteur en dernier ressort international," Revue d'Économie Financière, Programme National Persée, vol. 56(1), pages 57-75.
    23. Casellina, Simone & Pandolfo, Giuseppe & Quagliariello, Mario, 2020. "Applying the Pre-Commitment Approach to bottom-up stress tests: A new old story," Journal of Economics and Business, Elsevier, vol. 112(C).

  16. 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.).

    Cited by:

    1. Gürtler, Marc & Rauh, Ronald, 2012. "Challenging traditional risk models by a non-stationary approach with nonparametric heteroscedasticity," Working Papers IF41V1, Technische Universität Braunschweig, Institute of Finance.
    2. Kulp-Tåg, Sofie, 2007. "An Empirical Investigation of Value-at-Risk in Long and Short Trading Positions," Working Papers 526, Hanken School of Economics.
    3. Fantazzini, Dean, 2024. "Adaptive Conformal Inference for computing Market Risk Measures: an Analysis with Four Thousands Crypto-Assets," MPRA Paper 121214, University Library of Munich, Germany.
    4. Demiralay, Sercan & Ulusoy, Veysel, 2014. "Value-at-risk Predictions of Precious Metals with Long Memory Volatility Models," MPRA Paper 53229, University Library of Munich, Germany.
    5. Farkas, Walter & Fringuellotti, Fulvia & Tunaru, Radu, 2020. "A cost-benefit analysis of capital requirements adjusted for model risk," Journal of Corporate Finance, Elsevier, vol. 65(C).
    6. Dark Jonathan Graeme, 2010. "Estimation of Time Varying Skewness and Kurtosis with an Application to Value at Risk," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 14(2), pages 1-50, March.
    7. Nowotarski, Jakub & Weron, Rafał, 2018. "Recent advances in electricity price forecasting: A review of probabilistic forecasting," Renewable and Sustainable Energy Reviews, Elsevier, vol. 81(P1), pages 1548-1568.
    8. Makoto Takahashi & Toshiaki Watanabe & Yasuhiro Omori, 2014. "Volatility and Quantile Forecasts by Realized Stochastic Volatility Models with Generalized Hyperbolic Distribution," CIRJE F-Series CIRJE-F-949, CIRJE, Faculty of Economics, University of Tokyo.
    9. Li, Muyi & Li, Wai Keung & Li, Guodong, 2015. "A new hyperbolic GARCH model," Journal of Econometrics, Elsevier, vol. 189(2), pages 428-436.
    10. Juan Carlos Escanciano & Zaichao Du, 2015. "Backtesting Expected Shortfall: Accounting for Tail Risk," CAEPR Working Papers 2015-001, Center for Applied Economics and Policy Research, Department of Economics, Indiana University Bloomington.
    11. Berens, Tobias & Weiß, Gregor N.F. & Wied, Dominik, 2015. "Testing for structural breaks in correlations: Does it improve Value-at-Risk forecasting?," Journal of Empirical Finance, Elsevier, vol. 32(C), pages 135-152.
    12. Yudong Yao & Yan Wang, 2007. "Measuring downside risk and severity for global output," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 26(1), pages 23-32.
    13. Cathy W. S. Chen & Richard Gerlach & Bruce B. K. Hwang & Michael McAleer, 2011. "Forecasting Value-at-Risk Using Nonlinear Regression Quantiles and the Intra-day Range," KIER Working Papers 775, Kyoto University, Institute of Economic Research.
    14. Rostagno, Luciano Martin, 2005. "Empirical tests of parametric and non-parametric Value-at-Risk (VaR) and Conditional Value-at-Risk (CVaR) measures for the Brazilian stock market index," ISU General Staff Papers 2005010108000021878, Iowa State University, Department of Economics.
    15. Turan G. Bali, 2007. "A Generalized Extreme Value Approach to Financial Risk Measurement," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 39(7), pages 1613-1649, October.
    16. Tang, Ta-Lun & Shieh, Shwu-Jane, 2006. "Long memory in stock index futures markets: A value-at-risk approach," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 366(C), pages 437-448.
    17. Saswat Patra & Malay Bhattacharyya, 2020. "How Risky Are the Options? A Comparison with the Underlying Stock Using MaxVaR as a Risk Measure," Risks, MDPI, vol. 8(3), pages 1-17, July.
    18. Cho, Haeran & Korkas, Karolos K., 2022. "High-dimensional GARCH process segmentation with an application to Value-at-Risk," Econometrics and Statistics, Elsevier, vol. 23(C), pages 187-203.
    19. Pesaran, M. Hashem & Zaffaroni, Paolo, 2005. "Model Averaging and Value-at-Risk Based Evaluation of Large Multi-Asset Volatility Models for Risk Management," CEPR Discussion Papers 5279, C.E.P.R. Discussion Papers.
    20. Brenda Castillo-Brais & Ángel León & Juan Mora, 2022. "Estimating Value-at-Risk and Expected Shortfall: Do Polynomial Expansions Outperform Parametric Densities?," Mathematics, MDPI, vol. 10(22), pages 1-17, November.
    21. Chlebus Marcin, 2017. "EWS-GARCH: New Regime Switching Approach to Forecast Value-at-Risk," Central European Economic Journal, Sciendo, vol. 3(50), pages 01-25, December.
    22. Angelidis, Timotheos & Degiannakis, Stavros, 2005. "Modeling Risk for Long and Short Trading Positions," MPRA Paper 80467, University Library of Munich, Germany.
    23. Benavides Guillermo, 2010. "Forecasting Short-Run Inflation Volatility using Futures Prices: An Empirical Analysis from a Value at Risk Perspective," Working Papers 2010-12, Banco de México.
    24. Wu, Ping-Tsung & Shieh, Shwu-Jane, 2007. "Value-at-Risk analysis for long-term interest rate futures: Fat-tail and long memory in return innovations," Journal of Empirical Finance, Elsevier, vol. 14(2), pages 248-259, March.
    25. Bersimis, Sotirios & Degiannakis, Stavros & Georgakellos, Dimitrios, 2015. "Real Time Monitoring of Carbon Monoxide Using Value-at-Risk Measure and Control Charting," MPRA Paper 65865, University Library of Munich, Germany.
    26. Guilherme Armando Almeida Pereira & Álvaro Veiga, 2019. "Periodic Copula Autoregressive Model Designed to Multivariate Streamflow Time Series Modelling," Water Resources Management: An International Journal, Published for the European Water Resources Association (EWRA), Springer;European Water Resources Association (EWRA), vol. 33(10), pages 3417-3431, August.
    27. Michael S. Gibson, 2001. "Incorporating event risk into value-at-risk," Finance and Economics Discussion Series 2001-17, Board of Governors of the Federal Reserve System (U.S.).
    28. BAUWENS, Luc & BEN OMRANE, Walid & RENGIFO, Erick, 2006. "Intra-daily FX optimal portfolio allocation," LIDAM Discussion Papers CORE 2006010, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
    29. Fei, Fei & Fuertes, Ana-Maria & Kalotychou, Elena, 2017. "Dependence in credit default swap and equity markets: Dynamic copula with Markov-switching," International Journal of Forecasting, Elsevier, vol. 33(3), pages 662-678.
    30. Demiralay, Sercan & Ulusoy, Veysel, 2014. "Non-linear volatility dynamics and risk management of precious metals," The North American Journal of Economics and Finance, Elsevier, vol. 30(C), pages 183-202.
    31. Luca Merlo & Lea Petrella & Valentina Raponi, 2021. "Forecasting VaR and ES using a joint quantile regression and implications in portfolio allocation," Papers 2106.06518, arXiv.org.
    32. Onder Buberkoku, 2018. "Examining the Value-at-risk Performance of Fractionally Integrated GARCH Models: Evidence from Energy Commodities," International Journal of Economics and Financial Issues, Econjournals, vol. 8(3), pages 36-50.
    33. Christophe Boucher & Benjamin Hamidi & Patrick Kouontchou & Bertrand Maillet, 2012. "Une évaluation économique du risque de modèle pour les investisseurs de long-terme," Post-Print hal-01386007, HAL.
    34. Szubzda Filip & Chlebus Marcin, 2019. "Comparison of Block Maxima and Peaks Over Threshold Value-at-Risk models for market risk in various economic conditions," Central European Economic Journal, Sciendo, vol. 6(53), pages 70-85, January.
    35. Chuan-Hsiang Han & Wei-Han Liu & Tzu-Ying Chen, 2014. "VaR/CVaR ESTIMATION UNDER STOCHASTIC VOLATILITY MODELS," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 17(02), pages 1-35.
    36. Marco Rocco, 2011. "Extreme value theory for finance: a survey," Questioni di Economia e Finanza (Occasional Papers) 99, Bank of Italy, Economic Research and International Relations Area.
    37. Pritsker, Matthew, 2006. "The hidden dangers of historical simulation," Journal of Banking & Finance, Elsevier, vol. 30(2), pages 561-582, February.
    38. Gianna Figà-Talamanca & Marco Patacca, 2024. "An explorative analysis of sentiment impact on S&P 500 components returns, volatility and downside risk," Annals of Operations Research, Springer, vol. 342(3), pages 2095-2117, November.
    39. Chuliá, Helena & Garrón, Ignacio & Uribe, Jorge M., 2024. "Daily growth at risk: Financial or real drivers? The answer is not always the same," International Journal of Forecasting, Elsevier, vol. 40(2), pages 762-776.
    40. Dilip Kumar, 2020. "Value-at-Risk in the Presence of Structural Breaks Using Unbiased Extreme Value Volatility Estimator," Journal of Quantitative Economics, Springer;The Indian Econometric Society (TIES), vol. 18(3), pages 587-610, September.
    41. Krzysztof Echaust & Małgorzata Just, 2020. "Value at Risk Estimation Using the GARCH-EVT Approach with Optimal Tail Selection," Mathematics, MDPI, vol. 8(1), pages 1-24, January.
    42. Low, Rand Kwong Yew & Alcock, Jamie & Faff, Robert & Brailsford, Timothy, 2013. "Canonical vine copulas in the context of modern portfolio management: Are they worth it?," Journal of Banking & Finance, Elsevier, vol. 37(8), pages 3085-3099.
    43. Oliveira, Fernando Nascimento de, 2016. "Financial and Real Sector Leading Indicators of Recessions in Brazil Using Probabilistic Models," Revista Brasileira de Economia - RBE, EPGE Brazilian School of Economics and Finance - FGV EPGE (Brazil), vol. 70(3), September.
    44. Mauro Bernardi & Leopoldo Catania, 2015. "Switching-GAS Copula Models With Application to Systemic Risk," Papers 1504.03733, arXiv.org, revised Jan 2016.
    45. Ghorbel, Ahmed & Trabelsi, Abdelwahed, 2014. "Energy portfolio risk management using time-varying extreme value copula methods," Economic Modelling, Elsevier, vol. 38(C), pages 470-485.
    46. Wen Cheong Chin & Min Cherng Lee, 2018. "S&P500 volatility analysis using high-frequency multipower variation volatility proxies," Empirical Economics, Springer, vol. 54(3), pages 1297-1318, May.
    47. Sullivan Hu'e & Christophe Hurlin & Yang Lu, 2024. "Backtesting Expected Shortfall: Accounting for both duration and severity with bivariate orthogonal polynomials," Papers 2405.02012, arXiv.org, revised May 2024.
    48. Mahsa Gorji & Rasoul Sajjad, 2017. "Improving Value-at-Risk Estimation from the Normal EGARCH Model," Contemporary Economics, University of Economics and Human Sciences in Warsaw., vol. 11(1), March.
    49. Maziar Sahamkhadam & Andreas Stephan, 2023. "Portfolio optimization based on forecasting models using vine copulas: An empirical assessment for global financial crises," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 42(8), pages 2139-2166, December.
    50. Benjamin R. Auer & Benjamin Mögel, 2016. "How Accurate are Modern Value-at-Risk Estimators Derived from Extreme Value Theory?," CESifo Working Paper Series 6288, CESifo.
    51. Bujar Huskaj & Marcus Nossman, 2013. "A Term Structure Model for VIX Futures," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 33(5), pages 421-442, May.
    52. Fabrizio Cipollini & Giampiero M. Gallo & Alessandro Palandri, 2023. "Modeling and evaluating conditional quantile dynamics in VaR forecasts," Papers 2305.20067, arXiv.org.
    53. Sbrana, Giacomo & Silvestrini, Andrea, 2013. "Aggregation of exponential smoothing processes with an application to portfolio risk evaluation," Journal of Banking & Finance, Elsevier, vol. 37(5), pages 1437-1450.
    54. Xu, Qifa & Li, Mengting & Jiang, Cuixia & He, Yaoyao, 2019. "Interconnectedness and systemic risk network of Chinese financial institutions: A LASSO-CoVaR approach," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 534(C).
    55. Vahidin Jeleskovic & Mirko Meloni & Zahid Irshad Younas, 2020. "Cryptocurrencies: A Copula Based Approach for Asymmetric Risk Marginal Allocations," MAGKS Papers on Economics 202034, Philipps-Universität Marburg, Faculty of Business Administration and Economics, Department of Economics (Volkswirtschaftliche Abteilung).
    56. Gaetano Iaquinta & Fabio Lamantia & Ivar Massabò & Sergio Ortobelli, 2009. "Moment based approaches to value the risk of contingent claim portfolios," Annals of Operations Research, Springer, vol. 165(1), pages 97-121, January.
    57. Caio Almeida & José Vicente, 2008. "Are Interest Rate Options Important for the Assessment of Interest Rate Risk?," Working Papers Series 179, Central Bank of Brazil, Research Department.
    58. Chkili, Walid & Aloui, Chaker & Nguyen, Duc Khuong, 2012. "Asymmetric effects and long memory in dynamic volatility relationships between stock returns and exchange rates," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 22(4), pages 738-757.
    59. Herrera, R. & Clements, A.E., 2018. "Point process models for extreme returns: Harnessing implied volatility," Journal of Banking & Finance, Elsevier, vol. 88(C), pages 161-175.
    60. José Fajardo & Aquiles Farias, 2002. "Generalized Hyperbolic Distributions and Brazilian Data," Working Papers Series 52, Central Bank of Brazil, Research Department.
    61. Barbara Będowska-Sójka, 2018. "Is intraday data useful for forecasting VaR? The evidence from EUR/PLN exchange rate," Risk Management, Palgrave Macmillan, vol. 20(4), pages 326-346, November.
    62. Righi, Marcelo Brutti & Ceretta, Paulo Sergio, 2013. "Estimating non-linear serial and cross-interdependence between financial assets," Journal of Banking & Finance, Elsevier, vol. 37(3), pages 837-846.
    63. H. Kaibuchi & Y. Kawasaki & G. Stupfler, 2022. "GARCH-UGH: a bias-reduced approach for dynamic extreme Value-at-Risk estimation in financial time series," Quantitative Finance, Taylor & Francis Journals, vol. 22(7), pages 1277-1294, July.
    64. Luis Fernando Melo Velandia & Oscar reinaldo Becerra Camargo, 2005. "Medidas de Riesgo, Características y Técnicas de Medición: Una Aplicación del VAR y el ES a la Tasa Interbancaria de Colombia," Borradores de Economia 343, Banco de la Republica de Colombia.
    65. Santos, André A. P. & Nogales, Francisco J., 2009. "Comparing univariate and multivariate models to forecast portfolio value-at-risk," DES - Working Papers. Statistics and Econometrics. WS ws097222, Universidad Carlos III de Madrid. Departamento de Estadística.
    66. Yizhuo Li & Peng Zhou & Fangyi Li & Xiao Yang, 2021. "An Improved Reinforcement Learning Model Based on Sentiment Analysis," Papers 2111.15354, arXiv.org.
    67. Fernando N. de Oliveira, 2015. "Financial and Real Sector Leading Indicators of Recessions in Brazil using Probabilistic Models," Working Papers Series 402, Central Bank of Brazil, Research Department.
    68. Evangelos Vasileiou, 2022. "Inaccurate Value at Risk Estimations: Bad Modeling or Inappropriate Data?," Computational Economics, Springer;Society for Computational Economics, vol. 59(3), pages 1155-1171, March.
    69. Wied, Dominik & Weiß, Gregor N.F. & Ziggel, Daniel, 2016. "Evaluating Value-at-Risk forecasts: A new set of multivariate backtests," Journal of Banking & Finance, Elsevier, vol. 72(C), pages 121-132.
    70. Denisa Banulescu & Christophe Hurlin & Jeremy Leymarie & O. Scaillet, 2019. "Backtesting Marginal Expected Shortfall and Related Systemic Risk Measures," Swiss Finance Institute Research Paper Series 19-48, Swiss Finance Institute.
    71. Gupta, Anurag & Liang, Bing, 2005. "Do hedge funds have enough capital? A value-at-risk approach," Journal of Financial Economics, Elsevier, vol. 77(1), pages 219-253, July.
    72. Opschoor, Anne & van Dijk, Dick & van der Wel, Michel, 2014. "Predicting volatility and correlations with Financial Conditions Indexes," Journal of Empirical Finance, Elsevier, vol. 29(C), pages 435-447.
    73. GIOT, Pierre & LAURENT, Sébastien, 2003. "Value-at-Risk for long and short trading positions," LIDAM Reprints CORE 1707, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
    74. Fortin, Alain-Philippe & Simonato, Jean-Guy & Dionne, Georges, 2018. "Forecasting Expected Shortfall: Should we use a Multivariate Model for Stock Market Factors?," Working Papers 18-4, HEC Montreal, Canada Research Chair in Risk Management, revised 25 Jun 2021.
    75. Erik Kole & Thijs Markwat & Anne Opschoor & Dick van Dijk, 2017. "Forecasting Value-at-Risk under Temporal and Portfolio Aggregation," Journal of Financial Econometrics, Oxford University Press, vol. 15(4), pages 649-677.
    76. Giacomo Bormetti & Maria Elena De Giuli & Danilo Delpini & Claudia Tarantola, 2008. "Bayesian Analysis of Value-at-Risk with Product Partition Models," Papers 0809.0241, arXiv.org, revised May 2009.
    77. Christophe Hurlin & Christophe Pérignon, 2012. "Margin Backtesting," Working Papers halshs-00746274, HAL.
    78. Lima, Luiz Renato & Néri, Breno Pinheiro, 2007. "Comparing Value-at-Risk Methodologies," Brazilian Review of Econometrics, Sociedade Brasileira de Econometria - SBE, vol. 27(1), May.
    79. Jeroen V.K. Rombouts & Marno Verbeek, 2004. "Evaluating Portfolio Value-at-Risk using Semi-Parametric GARCH Models," Cahiers de recherche 04-14, HEC Montréal, Institut d'économie appliquée.
    80. Rosnan, Chotard & Michel, Dacorogna & Marie, Kratz, 2016. "Risk Measure Estimates in Quiet and Turbulent Times:An Empirical Study," ESSEC Working Papers WP1618, ESSEC Research Center, ESSEC Business School.
    81. Ra l De Jes s Guti rrez & Lidia E. Carvajal Guti rrez & Oswaldo Garcia Salgado, 2023. "Value at Risk and Expected Shortfall Estimation for Mexico s Isthmus Crude Oil Using Long-Memory GARCH-EVT Combined Approaches," International Journal of Energy Economics and Policy, Econjournals, vol. 13(4), pages 467-480, July.
    82. Sonia Benito Muela & Mª Ángeles Navarro, 2018. "Assessing the importance of the choice threshold in quantifying market risk under the POT method (EVT)," Documentos de Trabajo del ICAE 2018-20, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
    83. Syuhada, Khreshna & Hakim, Arief, 2024. "Risk quantification and validation for green energy markets: New insight from a credibility theory approach," Finance Research Letters, Elsevier, vol. 62(PA).
    84. Christophe Perignon & D. Smith, 2009. "The Level and Quality of Value-at-Risk Disclosure by Commercial Banks," Post-Print hal-00496102, HAL.
    85. Eduardo Ramos-P'erez & Pablo J. Alonso-Gonz'alez & Jos'e Javier N'u~nez-Vel'azquez, 2022. "Mack-Net model: Blending Mack's model with Recurrent Neural Networks," Papers 2205.07334, arXiv.org.
    86. Riadh Aloui & Mohamed Safouane Ben Aissa & Khuong Nguyen Duc, 2010. "Global Financial Crisis, Extreme Interdependences, and Contagion E§ects: The Role of Economic Structure," Working Papers 15, Development and Policies Research Center (DEPOCEN), Vietnam.
    87. Dahen, Hela & Dionne, Georges, 2010. "Scaling models for the severity and frequency of external operational loss data," Journal of Banking & Finance, Elsevier, vol. 34(7), pages 1484-1496, July.
    88. Paulo Araújo Santos & Juan-Ángel Jiménez-Martín & Michael McAleer & Teodosio Pérez Amaral, 2011. "GFC-Robust Risk Management Under the Basel Accord Using Extreme Value Methodologies," Working Papers in Economics 11/28, University of Canterbury, Department of Economics and Finance.
    89. Castillo, Brenda & León, Ángel & Ñíguez, Trino-Manuel, 2021. "Backtesting VaR under the COVID-19 sudden changes in volatility," Finance Research Letters, Elsevier, vol. 43(C).
    90. Fang, Libing & Sun, Boyang & Li, Huijing & Yu, Honghai, 2018. "Systemic risk network of Chinese financial institutions," Emerging Markets Review, Elsevier, vol. 35(C), pages 190-206.
    91. Zolotko, Mikhail & Okhrin, Ostap, 2014. "Modelling the general dependence between commodity forward curves," Energy Economics, Elsevier, vol. 43(C), pages 284-296.
    92. Dimson, Elroy & Marsh, Paul, 1997. "Stress tests of capital requirements," Journal of Banking & Finance, Elsevier, vol. 21(11-12), pages 1515-1546, December.
    93. Guillaume Bagnarosa & Mark Cummins & Michael Dowling & Fearghal Kearney, 2022. "Commodity risk in European dairy firms," European Review of Agricultural Economics, Oxford University Press and the European Agricultural and Applied Economics Publications Foundation, vol. 49(1), pages 151-181.
    94. Dominique Guegan & Pierre-André Maugis, 2010. "An Econometric Study of Vine Copulas," Documents de travail du Centre d'Economie de la Sorbonne 10040, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne.
    95. Leong, Soon Heng, 2021. "Global crude oil and the Chinese oil-intensive sectors: A comprehensive causality study," Energy Economics, Elsevier, vol. 103(C).
    96. Bartosz Uniejewski, 2023. "Smoothing Quantile Regression Averaging: A new approach to probabilistic forecasting of electricity prices," Papers 2302.00411, arXiv.org, revised Nov 2024.
    97. Gürtler, Marc & Kreiss, Jens-Peter & Rauh, Ronald, 2009. "A non-stationary approach for financial returns with nonparametric heteroscedasticity," Working Papers IF31V2, Technische Universität Braunschweig, Institute of Finance.
    98. Polanski, Arnold & Stoja, Evarist, 2017. "Forecasting multidimensional tail risk at short and long horizons," International Journal of Forecasting, Elsevier, vol. 33(4), pages 958-969.
    99. Huiling Yuan & Yulei Sun & Lu Xu & Yong Zhou & Xiangyu Cui, 2022. "A new volatility model: GQARCH‐ItÔ model," Journal of Time Series Analysis, Wiley Blackwell, vol. 43(3), pages 345-370, May.
    100. Timo Dimitriadis & iaochun Liu & Julie Schnaitmann, 2023. "Encompassing Tests for Value at Risk and Expected Shortfall Multistep Forecasts Based on Inference on the Boundary," Journal of Financial Econometrics, Oxford University Press, vol. 21(2), pages 412-444.
    101. Chen, Qian & Gerlach, Richard H., 2013. "The two-sided Weibull distribution and forecasting financial tail risk," International Journal of Forecasting, Elsevier, vol. 29(4), pages 527-540.
    102. I. E. Okorie & A. C. Akpanta & J. Ohakwe & D. C. Chikezie & C. U. Onyemachi & M. C. Ugwu, 2021. "Modeling the Relationships Across Nigeria Inflation, Exchange Rate, and Stock Market Returns and Further Analysis," Annals of Data Science, Springer, vol. 8(2), pages 295-329, June.
    103. Pesaran, M. Hashem & Schleicher, Christoph & Zaffaroni, Paolo, 2009. "Model averaging in risk management with an application to futures markets," Journal of Empirical Finance, Elsevier, vol. 16(2), pages 280-305, March.
    104. Sabrina Khanniche, 2009. "Evaluation of Hedge Fund Returns Value at Risk Using GARCH Models," EconomiX Working Papers 2009-46, University of Paris Nanterre, EconomiX.
    105. Mustafa Demirel & Gazanfer Unal, 2020. "Applying multivariate-fractionally integrated volatility analysis on emerging market bond portfolios," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 6(1), pages 1-29, December.
    106. Caporin Massimiliano & Paruolo Paolo, 2005. "Spatial effects in multivariate ARCH," Economics and Quantitative Methods qf0501, Department of Economics, University of Insubria.
    107. Sander Barendse & Erik Kole & Dick van Dijk, 2023. "Backtesting Value-at-Risk and Expected Shortfall in the Presence of Estimation Error," Journal of Financial Econometrics, Oxford University Press, vol. 21(2), pages 528-568.
    108. Julia S. Mehlitz & Benjamin R. Auer, 2021. "Time‐varying dynamics of expected shortfall in commodity futures markets," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 41(6), pages 895-925, June.
    109. Shawkat Hammoudeh & Sang Hoon Kang & Walid Mensi & Duc Khuong Nguyen, 2016. "Dynamic Global Linkages of the BRICS Stock Markets with the United States and Europe Under External Crisis Shocks: Implications for Portfolio Risk Forecasting," The World Economy, Wiley Blackwell, vol. 39(11), pages 1703-1727, November.
    110. GIOT, Pierre, 2000. "Intraday value-at-risk," LIDAM Discussion Papers CORE 2000045, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
    111. Liyuan Chen & Paola Zerilli & Christopher F Baum, 2018. "Leverage effects and stochastic volatility in spot oil returns: A Bayesian approach with VaR and CVaR applications," Boston College Working Papers in Economics 953, Boston College Department of Economics.
    112. Carol Alexander & José María Sarabia, 2012. "Quantile Uncertainty and Value‐at‐Risk Model Risk," Risk Analysis, John Wiley & Sons, vol. 32(8), pages 1293-1308, August.
    113. Polanski, Arnold & Stoja, Evarist, 2017. "Forecasting multidimensional tail risk at short and long horizons," Bank of England working papers 660, Bank of England.
    114. van Mierlo, J.G.A., 2001. "Over de verhouding tussen overheid, marktwerking en privatisering. Een economische meta-analyse," Research Memorandum 014, Maastricht University, Maastricht Research School of Economics of Technology and Organization (METEOR).
    115. Lin, Edward M.H. & Sun, Edward W. & Yu, Min-Teh, 2020. "Behavioral data-driven analysis with Bayesian method for risk management of financial services," International Journal of Production Economics, Elsevier, vol. 228(C).
    116. Wei Kuang, 2022. "Oil tail-risk forecasts: from financial crisis to COVID-19," Risk Management, Palgrave Macmillan, vol. 24(4), pages 420-460, December.
    117. Vincenzo Candila, 2013. "A Comparison of the Forecasting Performances of Multivariate Volatility Models," Working Papers 3_228, Dipartimento di Scienze Economiche e Statistiche, Università degli Studi di Salerno.
    118. Zoia, Maria Grazia & Biffi, Paola & Nicolussi, Federica, 2018. "Value at risk and expected shortfall based on Gram-Charlier-like expansions," Journal of Banking & Finance, Elsevier, vol. 93(C), pages 92-104.
    119. Ojea-Ferreiro, Javier & Reboredo, Juan C., 2022. "Exchange rates and the global transmission of equity market shocks," Economic Modelling, Elsevier, vol. 114(C).
    120. Kwangmin Jung & Donggyu Kim & Seunghyeon Yu, 2022. "Next generation models for portfolio risk management: An approach using financial big data," Journal of Risk & Insurance, The American Risk and Insurance Association, vol. 89(3), pages 765-787, September.
    121. Bucci, Andrea & Palomba, Giulio & Rossi, Eduardo, 2023. "The role of uncertainty in forecasting volatility comovements across stock markets," Economic Modelling, Elsevier, vol. 125(C).
    122. Wang, Xinya & Liu, Huifang & Huang, Shupei & Lucey, Brian, 2019. "Identifying the multiscale financial contagion in precious metal markets," International Review of Financial Analysis, Elsevier, vol. 63(C), pages 209-219.
    123. Sobreira, Nuno & Louro, Rui, 2020. "Evaluation of volatility models for forecasting Value-at-Risk and Expected Shortfall in the Portuguese stock market," Finance Research Letters, Elsevier, vol. 32(C).
    124. Wong, Woon K & Copeland, Laurence, 2008. "Risk Measurement and Management in a Crisis-Prone World," Cardiff Economics Working Papers E2008/14, Cardiff University, Cardiff Business School, Economics Section.
    125. Angelica Gianfreda & Derek Bunn, 2018. "A Stochastic Latent Moment Model for Electricity Price Formation," BEMPS - Bozen Economics & Management Paper Series BEMPS46, Faculty of Economics and Management at the Free University of Bozen.
    126. Timotheos Angelidis & Alexandros Benos & Stavros Degiannakis, 2007. "A robust VaR model under different time periods and weighting schemes," Review of Quantitative Finance and Accounting, Springer, vol. 28(2), pages 187-201, February.
    127. E. Ramos-P'erez & P. J. Alonso-Gonz'alez & J. J. N'u~nez-Vel'azquez, 2020. "Forecasting volatility with a stacked model based on a hybridized Artificial Neural Network," Papers 2006.16383, arXiv.org, revised Aug 2020.
    128. Alin Marius Andrieş & Simona Nistor, 2018. "Systemic Risk and Foreign Currency Positions of Banks: Evidence from Emerging Europe," Eastern European Economics, Taylor & Francis Journals, vol. 56(5), pages 382-421, September.
    129. Kobor, Adam & Szekely, Istvan P., 2004. "Foreign exchange market volatility in EU accession countries in the run-up to Euro adoption: weathering uncharted waters," Economic Systems, Elsevier, vol. 28(4), pages 337-352, December.
    130. Dominique Guegan & Pierre-André Maugis, 2011. "An econometric Study for Vine Copulas," Post-Print halshs-00645799, HAL.
    131. Leonardo Ieracitano Vieira & Márcio Poletti Laurini, 2023. "Time-varying higher moments in Bitcoin," Digital Finance, Springer, vol. 5(2), pages 231-260, June.
    132. Uniejewski, Bartosz & Weron, Rafał, 2021. "Regularized quantile regression averaging for probabilistic electricity price forecasting," Energy Economics, Elsevier, vol. 95(C).
    133. Ewald, Christian & Hadina, Jelena & Haugom, Erik & Lien, Gudbrand & Størdal, Ståle & Yahya, Muhammad, 2023. "Sample frequency robustness and accuracy in forecasting Value-at-Risk for Brent Crude Oil futures," Finance Research Letters, Elsevier, vol. 58(PA).
    134. J. Carlos Escanciano & Carlos Velasco, 2010. "Specification tests of parametric dynamic conditional quantiles," Post-Print hal-00732534, HAL.
    135. Emese Lazar & Ning Zhang, 2017. "Model Risk of Expected Shortfall," ICMA Centre Discussion Papers in Finance icma-dp2017-10, Henley Business School, University of Reading.
    136. Matthew Pritsker, 2001. "The hidden dangers of historical simulation," Finance and Economics Discussion Series 2001-27, Board of Governors of the Federal Reserve System (U.S.).
    137. Giot, Pierre & Laurent, Sebastien, 2004. "Modelling daily Value-at-Risk using realized volatility and ARCH type models," Journal of Empirical Finance, Elsevier, vol. 11(3), pages 379-398, June.
    138. Gerlach, Richard & Wang, Chao, 2020. "Semi-parametric dynamic asymmetric Laplace models for tail risk forecasting, incorporating realized measures," International Journal of Forecasting, Elsevier, vol. 36(2), pages 489-506.
    139. Martin Waltz & Abhay Kumar Singh & Ostap Okhrin, 2022. "Vulnerability-CoVaR: Investigating the Crypto-market," Papers 2203.10777, arXiv.org.
    140. Julio César Alonso & Paul Seeman, 2010. "Cálculo del VaR con volatilidad no constante en R," Apuntes de Economía 9097, Universidad Icesi.
    141. Arupratan Daripa & Simone Varotto, 1998. "Value at risk and precommitment: approaches to market risk regulation," Economic Policy Review, Federal Reserve Bank of New York, vol. 4(Oct), pages 137-143.
    142. Hamid, Alain & Heiden, Moritz, 2015. "Forecasting volatility with empirical similarity and Google Trends," Journal of Economic Behavior & Organization, Elsevier, vol. 117(C), pages 62-81.
    143. Saeed Shaker-Akhtekhane & Solmaz Poorabbas, 2023. "Value-at-Risk Estimation Using an Interpolated Distribution of Financial Returns Series," Journal of Applied Finance & Banking, SCIENPRESS Ltd, vol. 13(1), pages 1-6.
    144. Wagner Piazza Gaglianone & Luiz Renato Lima & Oliver Linton & Daniel R. Smith, 2011. "Evaluating Value-at-Risk Models via Quantile Regression," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 29(1), pages 150-160, January.
    145. Dilip Kumar & S. Maheswaran, 2013. "Return, Volatility and Risk Spillover from Oil Prices and the US Dollar Exchange Rate to the Indian Industrial Sectors," Margin: The Journal of Applied Economic Research, National Council of Applied Economic Research, vol. 7(1), pages 61-91, February.
    146. Kenjiro Suzuki & Yasunori Okabe & Takaaki Fujii, 2006. "On a Non-linear Risk Analysis for Stock Market Indexes," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 13(3), pages 235-258, September.
    147. Royer, Julien, 2023. "Conditional asymmetry in Power ARCH(∞) models," Journal of Econometrics, Elsevier, vol. 234(1), pages 178-204.
    148. Zhimin Wu & Guanghui Cai, 2024. "Can intraday data improve the joint estimation and prediction of risk measures? Evidence from a variety of realized measures," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 43(6), pages 1956-1974, September.
    149. Mateusz Buczynski & Marcin Chlebus, 2024. "GARCHNet: Value-at-Risk Forecasting with GARCH Models Based on Neural Networks," Computational Economics, Springer;Society for Computational Economics, vol. 63(5), pages 1949-1979, May.
    150. Degiannakis, Stavros & Potamia, Artemis, 2017. "Multiple-days-ahead value-at-risk and expected shortfall forecasting for stock indices, commodities and exchange rates: Inter-day versus intra-day data," International Review of Financial Analysis, Elsevier, vol. 49(C), pages 176-190.
    151. Duc Khuong Nguyen & Thomas Walther, 2020. "Modeling and forecasting commodity market volatility with long‐term economic and financial variables," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 39(2), pages 126-142, March.
    152. Wang, Zhuqing & Wang, Xinyu & Cheng, Qiuying & Shi, Song, 2024. "Heterogeneous impact of economic and political uncertainty on green bond volatility: Evidence from the MRS-GARCH-MIDAS-Skewed T model," International Review of Financial Analysis, Elsevier, vol. 95(PB).
    153. Mensi, Walid & Hammoudeh, Shawkat & Vinh Vo, Xuan & Hoon Kang, Sang, 2021. "Volatility spillovers between oil and equity markets and portfolio risk implications in the US and vulnerable EU countries," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 75(C).
    154. Luca Vincenzo Ballestra & Enzo D’Innocenzo & Andrea Guizzardi, 2024. "Score-Driven Modeling with Jumps: An Application to S&P500 Returns and Options," Journal of Financial Econometrics, Oxford University Press, vol. 22(2), pages 375-406.
    155. Christophe Boucher & Jon Danielsson & Patrick Kouontchou & Bertrand Maillet, 2014. "Risk models-at-risk," Post-Print hal-02312332, HAL.
    156. Abdul Hakim & Michael McAleer, 2009. "VaR Forecasts and Dynamic Conditional Correlations for Spot and Futures Returns on Stocks and Bonds," CARF F-Series CARF-F-178, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo.
    157. Peter Christoffersen & Denis Pelletier, 2003. "Backtesting Value-at-Risk: A Duration-Based Approach," CIRANO Working Papers 2003s-05, CIRANO.
    158. Bufalo, Michele & Ceci, Claudia & Orlando, Giuseppe, 2024. "Addressing the financial impact of natural disasters in the era of climate change," The North American Journal of Economics and Finance, Elsevier, vol. 73(C).
    159. Alexander, Carol & Sheedy, Elizabeth, 2008. "Developing a stress testing framework based on market risk models," Journal of Banking & Finance, Elsevier, vol. 32(10), pages 2220-2236, October.
    160. Georges Dionne & Maria Pacurar & Xiaozhou Zhou, 2014. "Liquidity-adjusted Intraday Value at Risk modeling and Risk Management: an Application to Data from Deutsche Börse," Cahiers de recherche 1414, CIRPEE.
    161. Aloui, Chaker & Hamida, Hela ben, 2014. "Modelling and forecasting value at risk and expected shortfall for GCC stock markets: Do long memory, structural breaks, asymmetry, and fat-tails matter?," The North American Journal of Economics and Finance, Elsevier, vol. 29(C), pages 349-380.
    162. Yun Feng & Weijie Hou & Yuping Song, 2024. "Tail risk forecasting and its application to margin requirements in the commodity futures market," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 43(5), pages 1513-1529, August.
    163. Peña, Juan Ignacio & Rodríguez, Rosa & Mayoral, Silvia, 2020. "Tail risk of electricity futures," Energy Economics, Elsevier, vol. 91(C).
    164. Go, You-How & Lau, Wee-Yeap, 2021. "Extreme risk spillovers between crude palm oil prices and exchange rates," The North American Journal of Economics and Finance, Elsevier, vol. 58(C).
    165. Jinglun Yao & Sabine Laurent & Brice B'enaben, 2017. "Managing Volatility Risk: An Application of Karhunen-Lo\`eve Decomposition and Filtered Historical Simulation," Papers 1710.00859, arXiv.org.
    166. Rachida Hennani & Michel Terraza, 2015. "Contributions of a noisy chaotic model to the stressed Value-at-Risk," Economics Bulletin, AccessEcon, vol. 35(2), pages 1262-1273.
    167. Saissi Hassani, Samir & Dionne, Georges, 2021. "The new international regulation of market risk: Roles of VaR and CVaR in model validation," Working Papers 20-3, HEC Montreal, Canada Research Chair in Risk Management.
    168. Barbara Choroś-Tomczyk & Wolfgang Karl H�rdle & Ludger Overbeck, 2014. "Copula dynamics in CDOs," Quantitative Finance, Taylor & Francis Journals, vol. 14(9), pages 1573-1585, September.
    169. Edward W. Sun & Yu-Jen Wang & Min-Teh Yu, 2018. "Integrated Portfolio Risk Measure: Estimation and Asymptotics of Multivariate Geometric Quantiles," Computational Economics, Springer;Society for Computational Economics, vol. 52(2), pages 627-652, August.
    170. Eduardo Rossi & Paolo Santucci de Magistris, 2009. "Long Memory and Tail dependence in Trading Volume and Volatility," CREATES Research Papers 2009-30, Department of Economics and Business Economics, Aarhus University.
    171. Jean-François Carpantier & Arnaud Dufays, 2013. "Commodities Inventory Effect," DEM Discussion Paper Series 13-07, Department of Economics at the University of Luxembourg.
    172. Francesco Audrino & Simon D. Knaus, 2016. "Lassoing the HAR Model: A Model Selection Perspective on Realized Volatility Dynamics," Econometric Reviews, Taylor & Francis Journals, vol. 35(8-10), pages 1485-1521, December.
    173. Chiuling Lu & Sheng‐Ching Wu & Lan‐Chih Ho, 2009. "Applying VaR to REITs: A comparison of alternative methods," Review of Financial Economics, John Wiley & Sons, vol. 18(2), pages 97-102, April.
    174. Wang, Jying-Nan & Du, Jiangze & Hsu, Yuan-Teng, 2018. "Measuring long-term tail risk: Evaluating the performance of the square-root-of-time rule," Journal of Empirical Finance, Elsevier, vol. 47(C), pages 120-138.
    175. Anupam Dutta & Kakali Kanjilal & Sajal Ghosh & Donghyun Park & Gazi Salah Uddin, 2023. "Impact of crude oil volatility jumps on sustainable investments: Evidence from India," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 43(10), pages 1450-1468, October.
    176. Angelidis, Timotheos & Degiannakis, Stavros, 2007. "Backtesting VaR Models: A Τwo-Stage Procedure," MPRA Paper 80418, University Library of Munich, Germany.
    177. Massimiliano Caporin & Eduardo Rossi & Paolo Santucci de Magistris, 2014. "Volatility jumps and their economic determinants," CREATES Research Papers 2014-27, Department of Economics and Business Economics, Aarhus University.
    178. Berger, Theo, 2016. "On the isolated impact of copulas on risk measurement: Asimulation study," Economic Modelling, Elsevier, vol. 58(C), pages 475-481.
    179. Giuseppe Buccheri & Stefano Grassi & Giorgio Vocalelli, 2021. "Estimating Risk in Illiquid Markets: a Model of Market Friction with Stochastic Volatility," CEIS Research Paper 506, Tor Vergata University, CEIS, revised 08 Nov 2021.
    180. Emrah ALTUN & Morad ALIZADEH & Gamze OZEL & Hüseyin TATLIDIL & Najmieh MAKSAYI, 2017. "Forecasting Value-At-Risk With Two-Step Method: Garch-Exponentiated Odd Log-Logistic Normal Model," Journal for Economic Forecasting, Institute for Economic Forecasting, vol. 0(4), pages 97-115, December.
    181. Zhou, Xinmiao & Qian, Huanhuan & Pérez-Rodríguez, Jorge. V. & González López-Valcárcel, Beatriz, 2020. "Risk dependence and cointegration between pharmaceutical stock markets: The case of China and the USA," The North American Journal of Economics and Finance, Elsevier, vol. 52(C).
    182. Javier Ojea Ferreiro, 2018. "Contagion spillovers between sovereign and financial European sector from a Delta CoVaR approach," Documentos de Trabajo del ICAE 2018-12, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
    183. Halkos, George & Tzirivis, Apostolos, 2018. "Effective energy commodities’ risk management: Econometric modeling of price volatility," MPRA Paper 90781, University Library of Munich, Germany.
    184. Sean D. Campbell, 2005. "A review of backtesting and backtesting procedures," Finance and Economics Discussion Series 2005-21, Board of Governors of the Federal Reserve System (U.S.).
    185. C. Stéphan & S. Skander, 2003. "Statistical analysis of financial time series under the assuption of local stationarity," THEMA Working Papers 2003-23, THEMA (THéorie Economique, Modélisation et Applications), Université de Cergy-Pontoise.
    186. Giuseppe Storti & Luc Bauwens, 2006. "A component GARCH model with time varying weights," Computing in Economics and Finance 2006 388, Society for Computational Economics.
    187. Grzegorz Marcjasz & Micha{l} Narajewski & Rafa{l} Weron & Florian Ziel, 2022. "Distributional neural networks for electricity price forecasting," Papers 2207.02832, arXiv.org, revised Dec 2022.
    188. Jui‐Cheng Hung & Hung‐Chun Liu & J. Jimmy Yang, 2023. "Does the tail risk index matter in forecasting downside risk?," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 28(3), pages 3451-3466, July.
    189. Brechmann Eike Christain & Czado Claudia, 2013. "Risk management with high-dimensional vine copulas: An analysis of the Euro Stoxx 50," Statistics & Risk Modeling, De Gruyter, vol. 30(4), pages 307-342, December.
    190. Kerkhof, F.L.J. & Melenberg, B. & Schumacher, J.M., 2003. "Testing Expected Shortfall Models for Derivative Positions," Other publications TiSEM 98c22c46-0588-477f-b532-4, Tilburg University, School of Economics and Management.
    191. Umar, Zaghum & Usman, Muhammad & Choi, Sun-Yong & Rice, John, 2023. "Diversification benefits of NFTs for conventional asset investors: Evidence from CoVaR with higher moments and optimal hedge ratios," Research in International Business and Finance, Elsevier, vol. 65(C).
    192. Feng, Zhen-Hua & Wei, Yi-Ming & Wang, Kai, 2012. "Estimating risk for the carbon market via extreme value theory: An empirical analysis of the EU ETS," Applied Energy, Elsevier, vol. 99(C), pages 97-108.
    193. Hubner, Stefan, 2016. "Topics in nonparametric identification and estimation," Other publications TiSEM 08fce56b-3193-46e0-871b-0, Tilburg University, School of Economics and Management.
    194. Tobias Eckernkemper & Bastian Gribisch, 2021. "Intraday conditional value at risk: A periodic mixed‐frequency generalized autoregressive score approach," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 40(5), pages 883-910, August.
    195. Marta Małecka & Radosław Pietrzyk, 2024. "A spectral approach to evaluating VaR forecasts: stock market evidence from the subprime mortgage crisis, through COVID-19, to the Russo–Ukrainian war," Quality & Quantity: International Journal of Methodology, Springer, vol. 58(5), pages 4533-4567, October.
    196. Christos Agiakloglou & Charalampos Agiropoulos, 2011. "The sensitivity of Value-at-Risk estimates using Monte Carlo approach," SPOUDAI Journal of Economics and Business, SPOUDAI Journal of Economics and Business, University of Piraeus, vol. 61(1-2), pages 7-12, January -.
    197. Xun Lu & Kin Lai & Liang Liang, 2014. "Portfolio value-at-risk estimation in energy futures markets with time-varying copula-GARCH model," Annals of Operations Research, Springer, vol. 219(1), pages 333-357, August.
    198. Chakraborty, Sandip & Kakani, Ram Kumar & Sampath, Aravind, 2022. "Portfolio risk and stress across the business cycle," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 80(C).
    199. Laurent Fresard & C. Pérignon & A. Wilhelmsson, 2010. "The pernicious effects of contaminated data in risk management," Post-Print hal-00554131, HAL.
    200. Manuela Braione & Nicolas K. Scholtes, 2016. "Forecasting Value-at-Risk under Different Distributional Assumptions," Econometrics, MDPI, vol. 4(1), pages 1-27, January.
    201. Marco Bottone & Lea Petrella & Mauro Bernardi, 2021. "Unified Bayesian conditional autoregressive risk measures using the skew exponential power distribution," Statistical Methods & Applications, Springer;Società Italiana di Statistica, vol. 30(3), pages 1079-1107, September.
    202. Allaj, Erindi & Sanfelici, Simona, 2023. "Early Warning Systems for identifying financial instability," International Journal of Forecasting, Elsevier, vol. 39(4), pages 1777-1803.
    203. Antonio Díaz & Gonzalo García-Donato & Andrés Mora-Valencia, 2017. "Risk quantification in turmoil markets," Risk Management, Palgrave Macmillan, vol. 19(3), pages 202-224, August.
    204. Zhang, Yue-Jun & Bouri, Elie & Gupta, Rangan & Ma, Shu-Jiao, 2021. "Risk spillover between Bitcoin and conventional financial markets: An expectile-based approach," The North American Journal of Economics and Finance, Elsevier, vol. 55(C).
    205. Takayuki Morimoto, 2004. "Estimating and forecasting instantaneous volatility through a duration model : An assessment based on VaR," Econometric Society 2004 Far Eastern Meetings 592, Econometric Society.
    206. Khurram Shehzad & Umer Zaman & Xiaoxing Liu & Jarosław Górecki & Carlo Pugnetti, 2021. "Examining the Asymmetric Impact of COVID-19 Pandemic and Global Financial Crisis on Dow Jones and Oil Price Shock," Sustainability, MDPI, vol. 13(9), pages 1-13, April.
    207. Hotta, Luiz Koodi & Trucíos Maza, Carlos César & Pereira, Pedro L. Valls & Zevallos Herencia, Mauricio Henrique, 2024. "Forecasting VaR and ES through Markov-switching GARCH models: does the specication matter?," Textos para discussão 567, FGV EESP - Escola de Economia de São Paulo, Fundação Getulio Vargas (Brazil).
    208. Beck Alexander & Kim Young Shin Aaron & Rachev Svetlozar & Feindt Michael & Fabozzi Frank, 2013. "Empirical analysis of ARMA-GARCH models in market risk estimation on high-frequency US data," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 17(2), pages 167-177, April.
    209. Degiannakis, Stavros, 2004. "Volatility Forecasting: Evidence from a Fractional Integrated Asymmetric Power ARCH Skewed-t Model," MPRA Paper 96330, University Library of Munich, Germany.
    210. Gonzalo Cortazar & Alejandro Bernales & Diether Beuermann, 2005. "Methodology and Implementation of Value-at-Risk Measures in Emerging Fixed-Income Markets with Infrequent Trading," Finance 0512030, University Library of Munich, Germany.
    211. Michael B. Gordy & Alexander J. McNeil, 2017. "Spectral backtests of forecast distributions with application to risk management," Papers 1708.01489, arXiv.org, revised Jul 2019.
    212. Cathy W. S. Chen & Hong Than-Thi & Manabu Asai, 2021. "On a Bivariate Hysteretic AR-GARCH Model with Conditional Asymmetry in Correlations," Computational Economics, Springer;Society for Computational Economics, vol. 58(2), pages 413-433, August.
    213. Enrique Molina‐Muñoz & Andrés Mora‐Valencia & Javier Perote, 2021. "Backtesting expected shortfall for world stock index ETFs with extreme value theory and Gram–Charlier mixtures," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 26(3), pages 4163-4189, July.
    214. Marius Galabe Sampid & Haslifah M Hasim & Hongsheng Dai, 2018. "Refining value-at-risk estimates using a Bayesian Markov-switching GJR-GARCH copula-EVT model," PLOS ONE, Public Library of Science, vol. 13(6), pages 1-33, June.
    215. Degiannakis, Stavros & Livada, Alexandra & Panas, Epaminondas, 2008. "Rolling-sampled parameters of ARCH and Levy-stable models," MPRA Paper 80464, University Library of Munich, Germany.
    216. Chiu, Yen-Chen & Chuang, I-Yuan, 2016. "The performance of the switching forecast model of value-at-risk in the Asian stock markets," Finance Research Letters, Elsevier, vol. 18(C), pages 43-51.
    217. Federico Pasquale Cortese, 2019. "Tail Dependence in Financial Markets: A Dynamic Copula Approach," Risks, MDPI, vol. 7(4), pages 1-14, November.
    218. Wong, Shiu Fung & Tong, Howell & Siu, Tak Kuen & Lu, Zudi, 2017. "A new multivariate nonlinear time series model for portfolio risk measurement: the threshold copula-based TAR approach," LSE Research Online Documents on Economics 78515, London School of Economics and Political Science, LSE Library.
    219. Christophe Hurlin & Sessi Tokpavi, 2007. "Une Evaluation des Procédures de Backtesting," Working Papers halshs-00159846, HAL.
    220. Farid Bagheri & Diego Reforgiato Recupero & Espen Sirnes, 2023. "Leveraging Return Prediction Approaches for Improved Value-at-Risk Estimation," Data, MDPI, vol. 8(8), pages 1-22, August.
    221. Qiang Xia & Heung Wong & Jinshan Liu & Rubing Liang, 2017. "Bayesian Analysis of Power-Transformed and Threshold GARCH Models: A Griddy-Gibbs Sampler Approach," Computational Economics, Springer;Society for Computational Economics, vol. 50(3), pages 353-372, October.
    222. Jiménez, Inés & Mora-Valencia, Andrés & Perote, Javier, 2022. "Semi-nonparametric risk assessment with cryptocurrencies," Research in International Business and Finance, Elsevier, vol. 59(C).
    223. Cifter, Atilla, 2012. "Volatility Forecasting with Asymmetric Normal Mixture Garch Model: Evidence from South Africa," Journal for Economic Forecasting, Institute for Economic Forecasting, vol. 0(2), pages 127-142, June.
    224. Bei, Shuhua & Yang, Aijun & Pei, Haotian & Si, Xiaoli, 2023. "Price Risk Analysis using GARCH Family Models: Evidence from Shanghai Crude Oil Futures Market," Economic Modelling, Elsevier, vol. 125(C).
    225. Azizpour, S & Giesecke, K. & Schwenkler, G., 2018. "Exploring the sources of default clustering," Journal of Financial Economics, Elsevier, vol. 129(1), pages 154-183.
    226. Stelios Bekiros & Nikolaos Loukeris & Iordanis Eleftheriadis & Christos Avdoulas, 2019. "Tail-Related Risk Measurement and Forecasting in Equity Markets," Computational Economics, Springer;Society for Computational Economics, vol. 53(2), pages 783-816, February.
    227. Jose A. Lopez, 1999. "Methods for evaluating value-at-risk estimates," Economic Review, Federal Reserve Bank of San Francisco, pages 3-17.
    228. Alfonso Novales & Laura Garcia-Jorcano, 2019. "Backtesting Extreme Value Theory models of expected shortfall," Documentos de Trabajo del ICAE 2019-24, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
    229. Krzysztof Echaust & Małgorzata Just, 2021. "Tail Dependence between Crude Oil Volatility Index and WTI Oil Price Movements during the COVID-19 Pandemic," Energies, MDPI, vol. 14(14), pages 1-21, July.
    230. André Lucas & Xin Zhang, 2014. "Score Driven exponentially Weighted Moving Average and Value-at-Risk Forecasting," Tinbergen Institute Discussion Papers 14-092/IV/DSF77, Tinbergen Institute, revised 09 Sep 2015.
    231. Ortobelli, Sergio & Rachev, Svetlozar T. & Fabozzi, Frank J., 2010. "Risk management and dynamic portfolio selection with stable Paretian distributions," Journal of Empirical Finance, Elsevier, vol. 17(2), pages 195-211, March.
    232. Weron, Rafał, 2014. "Electricity price forecasting: A review of the state-of-the-art with a look into the future," International Journal of Forecasting, Elsevier, vol. 30(4), pages 1030-1081.
    233. Adnan Kasman, 2009. "Estimating Value-at-Risk for the Turkish Stock Index Futures in the Presence of Long Memory Volatility," Central Bank Review, Research and Monetary Policy Department, Central Bank of the Republic of Turkey, vol. 9(1), pages 1-14.
    234. Arnold Polanski & Evarist Stoja, 2013. "Co-dependence of Extreme Events in High Frequency FX Returns," University of East Anglia Applied and Financial Economics Working Paper Series 040, School of Economics, University of East Anglia, Norwich, UK..
    235. Ewa Ratuszny, 2013. "Robust Estimation in VaR Modelling - Univariate Approaches using Bounded Innovation Propagation and Regression Quantiles Methodology," Central European Journal of Economic Modelling and Econometrics, Central European Journal of Economic Modelling and Econometrics, vol. 5(1), pages 35-63, March.
    236. Christophe Boucher & Gregory Jannin & Patrick Kouontchou & Bertrand Maillet, 2013. "An Economic Evaluation of Model Risk in Long-term Asset Allocations," Post-Print hal-01369201, HAL.
    237. Gaglianone, Wagner Piazza & Marins, Jaqueline Terra Moura, 2017. "Evaluation of exchange rate point and density forecasts: An application to Brazil," International Journal of Forecasting, Elsevier, vol. 33(3), pages 707-728.
    238. Stavros Degiannakis & Apostolos Kiohos, 2014. "Multivariate modelling of 10-day-ahead VaR and dynamic correlation for worldwide real estate and stock indices," Journal of Economic Studies, Emerald Group Publishing Limited, vol. 41(2), pages 216-232, March.
    239. Dionne, Georges & Saissi-Hassani, Samir, 2016. "Hidden Markov Regimes in Operational Loss Data: Application to the Recent Financial Crisis," Working Papers 15-3, HEC Montreal, Canada Research Chair in Risk Management.
    240. Mateusz Buczyński & Marcin Chlebus, 2021. "GARCHNet - Value-at-Risk forecasting with novel approach to GARCH models based on neural networks," Working Papers 2021-08, Faculty of Economic Sciences, University of Warsaw.
    241. Billio, Monica & Pelizzon, Loriana, 2000. "Value-at-Risk: a multivariate switching regime approach," Journal of Empirical Finance, Elsevier, vol. 7(5), pages 531-554, December.
    242. Christophe Pérignon & Zi Yin Deng & Zhi Jun Wang, 2008. "Do banks overstate their Value-at-Risk?," Post-Print hal-00461046, HAL.
    243. Buczyński Mateusz & Chlebus Marcin, 2018. "Comparison of Semi-Parametric and Benchmark Value-At-Risk Models in Several Time Periods with Different Volatility Levels," Financial Internet Quarterly (formerly e-Finanse), Sciendo, vol. 14(2), pages 67-82, June.
    244. Cerrone, Rosaria & Cocozza, Rosa & Curcio, Domenico & Gianfrancesco, Igor, 2017. "Does prudential regulation contribute to effective measurement and management of interest rate risk? Evidence from Italian banks," Journal of Financial Stability, Elsevier, vol. 30(C), pages 126-138.
    245. Wang, Gang-Jin & Xie, Chi & Jiang, Zhi-Qiang & Stanley, H. Eugene, 2016. "Extreme risk spillover effects in world gold markets and the global financial crisis," International Review of Economics & Finance, Elsevier, vol. 46(C), pages 55-77.
    246. Huthaifa Alqaralleh & Alaa Adden Abuhommous & Ahmad Alsaraireh, 2020. "Modelling and Forecasting the Volatility of Cryptocurrencies: A Comparison of Nonlinear GARCH-Type Models," International Journal of Financial Research, International Journal of Financial Research, Sciedu Press, vol. 11(4), pages 346-356, July.
    247. M. Akhtaruzzaman & A.K. Banerjee & S. Boubaker & F. Moussa, 2023. "Does Green Improve Portfolio Optimisation?," Post-Print hal-04435509, HAL.
    248. Fan, Ying & Zhang, Yue-Jun & Tsai, Hsien-Tang & Wei, Yi-Ming, 2008. "Estimating 'Value at Risk' of crude oil price and its spillover effect using the GED-GARCH approach," Energy Economics, Elsevier, vol. 30(6), pages 3156-3171, November.
    249. Michele Leonardo Bianchi & Gian Luca Tassinari & Frank J. Fabozzi, 2016. "Riding With The Four Horsemen And The Multivariate Normal Tempered Stable Model," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 19(04), pages 1-28, June.
    250. Bali, Turan G. & Mo, Hengyong & Tang, Yi, 2008. "The role of autoregressive conditional skewness and kurtosis in the estimation of conditional VaR," Journal of Banking & Finance, Elsevier, vol. 32(2), pages 269-282, February.
    251. Bukre Yildirim Kulekci & Gulden Poyraz & Ismail Gur & Ozan Evkaya, 2023. "Dependence Analysis of the ISE100 Banking Sector Using Vine Copula," Istanbul Journal of Economics-Istanbul Iktisat Dergisi, Istanbul University, Faculty of Economics, vol. 73(73-1), pages 55-81, June.
    252. Royer, Julien, 2021. "Conditional asymmetry in Power ARCH($\infty$) models," MPRA Paper 109118, University Library of Munich, Germany.
    253. Jezabel Couppey, 2000. "Vers un nouveau schéma de réglementation prudentielle : une contribution au débat," Revue d'Économie Financière, Programme National Persée, vol. 56(1), pages 37-56.
    254. Christophe Boucher & Benjamin Hamidi & Patrick Kouontchou & Bertrand Maillet, 2012. "Une évaluation économique du risque de modèle pour les investisseurs de long-terme," Working Papers halshs-00825337, HAL.
    255. Harish Kamal & Samit Paul, 2024. "Liquidity‐adjusted value‐at‐risk using extreme value theory and copula approach," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 43(6), pages 1747-1769, September.
    256. Manel Youssef & Lotfi Belkacem & Khaled Mokni, 2015. "Extreme Value Theory and long-memory-GARCH Framework: Application to Stock Market," International Journal of Economics and Empirical Research (IJEER), The Economics and Social Development Organization (TESDO), vol. 3(8), pages 371-388, August.
    257. Jézabel Couppey-Soubeyran, 2010. "Financial Regulation in the Crisis Regulation, Market Discipline, Internal Control: The Big Three in turmoil," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) hal-00627436, HAL.
    258. Zongwu Cai & Chaoqun Ma & Xianhua Mi, 2020. "Realized Volatility Forecasting Based on Dynamic Quantile Model Averaging," WORKING PAPERS SERIES IN THEORETICAL AND APPLIED ECONOMICS 202016, University of Kansas, Department of Economics, revised Sep 2020.
    259. Steven J. Cochran & Iqbal Mansur & Babatunde Odusami, 2016. "Conditional higher order moments in metal asset returns," Quantitative Finance, Taylor & Francis Journals, vol. 16(1), pages 151-167, January.
    260. Fantazzini, Dean, 2009. "The effects of misspecified marginals and copulas on computing the value at risk: A Monte Carlo study," Computational Statistics & Data Analysis, Elsevier, vol. 53(6), pages 2168-2188, April.
    261. Zhang, Yue-Jun & Fan, Ying & Tsai, Hsien-Tang & Wei, Yi-Ming, 2008. "Spillover effect of US dollar exchange rate on oil prices," Journal of Policy Modeling, Elsevier, vol. 30(6), pages 973-991.
    262. Lisi, Francesco & Grossi, Luigi & Quaglia, Federico, 2023. "Evaluation of Cost-at-Risk related to the procurement of resources in the ancillary services market. The case of the Italian electricity market," Energy Economics, Elsevier, vol. 121(C).
    263. Laura Garcia-Jorcano & Lidia Sanchis-Marco, 2023. "Measuring Systemic Risk Using Multivariate Quantile-Located ES Models," Journal of Financial Econometrics, Oxford University Press, vol. 21(1), pages 1-72.
    264. Alan Cosme Rodrigues da Silva & Claudio Henrique da Silveira Barbedo & Gustavo Silva Araújo & Myrian Beatriz Eiras das Neves, 2006. "Internal Model Validation in Brazil: Analysis of VaR Backtesting Methodologies," Brazilian Review of Finance, Brazilian Society of Finance, vol. 4(1), pages 97-118.
    265. Lopez, Jose A. & Saidenberg, Marc R., 2000. "Evaluating credit risk models," Journal of Banking & Finance, Elsevier, vol. 24(1-2), pages 151-165, January.
    266. Liu, Xiangli & Cheng, Siwei & Wang, Shouyang & Hong, Yongmiao & Li, Yi, 2008. "An empirical study on information spillover effects between the Chinese copper futures market and spot market," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 387(4), pages 899-914.
    267. Saralees Nadarajah & Emmanuel Afuecheta & Stephen Chan, 2015. "A note on "Modelling exchange rate returns: which flexible distribution to use?"," Quantitative Finance, Taylor & Francis Journals, vol. 15(11), pages 1777-1785, November.
    268. Nasr, Adnen Ben & Lux, Thomas & Ajm, Ahdi Noomen & Gupta, Rangan, 2014. "Forecasting the volatility of the dow jones islamic stock market index: Long memory vs. regime switching," Economics Working Papers 2014-07, Christian-Albrechts-University of Kiel, Department of Economics.
    269. Deepak K. Jadhav & Ramanathan Thekke Variyam, 2023. "Modified Expected Shortfall: a Coherent Risk Measure for Elliptical Family of Distributions," Sankhya B: The Indian Journal of Statistics, Springer;Indian Statistical Institute, vol. 85(1), pages 234-256, May.
    270. Martin Iseringhausen, 2018. "The Time-Varying Asymmetry Of Exchange Rate Returns: A Stochastic Volatility – Stochastic Skewness Model," Working Papers of Faculty of Economics and Business Administration, Ghent University, Belgium 18/944, Ghent University, Faculty of Economics and Business Administration.
    271. Cathy W. S. Chen & Takaaki Koike & Wei‐Hsuan Shau, 2024. "Tail risk forecasting with semiparametric regression models by incorporating overnight information," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 43(5), pages 1492-1512, August.
    272. Louzis, Dimitrios P. & Xanthopoulos-Sisinis, Spyros & Refenes, Apostolos P., 2011. "Are realized volatility models good candidates for alternative Value at Risk prediction strategies?," MPRA Paper 30364, University Library of Munich, Germany.
    273. Jian, Zhihong & Wu, Shuai & Zhu, Zhican, 2018. "Asymmetric extreme risk spillovers between the Chinese stock market and index futures market: An MV-CAViaR based intraday CoVaR approach," Emerging Markets Review, Elsevier, vol. 37(C), pages 98-113.
    274. Donggyu Kim & Minseok Shin & Yazhen Wang, 2023. "Overnight GARCH-Itô Volatility Models," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 41(4), pages 1215-1227, October.
    275. Derek W. Bunn & Angelica Gianfreda & Stefan Kermer, 2018. "A Trading-Based Evaluation of Density Forecasts in a Real-Time Electricity Market," Energies, MDPI, vol. 11(10), pages 1-13, October.
    276. Croonenbroeck, Carsten & Stadtmann, Georg, 2019. "Renewable generation forecast studies – Review and good practice guidance," Renewable and Sustainable Energy Reviews, Elsevier, vol. 108(C), pages 312-322.
    277. Peter Christoffersen & Jeremy Berkowitz & Denis Pelletier, 2008. "Evaluating Value-at-Risk Models with Desk-Level Data," CREATES Research Papers 2009-35, Department of Economics and Business Economics, Aarhus University.
    278. Degiannakis, Stavros, 2004. "Forecasting Realized Intra-day Volatility and Value at Risk: Evidence from a Fractional Integrated Asymmetric Power ARCH Skewed-t Model," MPRA Paper 80488, University Library of Munich, Germany.
    279. Liu Xiaochun & Luger Richard, 2018. "Markov-switching quantile autoregression: a Gibbs sampling approach," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 22(2), pages 1, April.
    280. Annalisa Molino & Carlo Sala, 2021. "Forecasting value at risk and conditional value at risk using option market data," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 40(7), pages 1190-1213, November.
    281. Pınar Kaya Soylu & Mustafa Okur & Özgür Çatıkkaş & Z. Ayca Altintig, 2020. "Long Memory in the Volatility of Selected Cryptocurrencies: Bitcoin, Ethereum and Ripple," JRFM, MDPI, vol. 13(6), pages 1-21, May.
    282. Silvia Stanescu & Radu Tunaru, 2013. "Quantifying the uncertainty in VaR and expected shortfall estimates," Chapters, in: Adrian R. Bell & Chris Brooks & Marcel Prokopczuk (ed.), Handbook of Research Methods and Applications in Empirical Finance, chapter 15, pages 357-372, Edward Elgar Publishing.
    283. Angelidis, Timotheos & Benos, Alexandros & Degiannakis, Stavros, 2004. "The Use of GARCH Models in VaR Estimation," MPRA Paper 96332, University Library of Munich, Germany.
    284. C. A. Abanto-Valle & V. H. Lachos & Dipak K. Dey, 2015. "Bayesian Estimation of a Skew-Student-t Stochastic Volatility Model," Methodology and Computing in Applied Probability, Springer, vol. 17(3), pages 721-738, September.
    285. Li, Leon, 2017. "Testing and comparing the performance of dynamic variance and correlation models in value-at-risk estimation," The North American Journal of Economics and Finance, Elsevier, vol. 40(C), pages 116-135.
    286. Laporta, Alessandro G. & Merlo, Luca & Petrella, Lea, 2018. "Selection of Value at Risk Models for Energy Commodities," Energy Economics, Elsevier, vol. 74(C), pages 628-643.
    287. Yinhong Yao & Jianping Li, 2022. "Operational risk assessment of third-party payment platforms: a case study of China," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 8(1), pages 1-20, December.
    288. Baum, Christopher F. & Zerilli, Paola & Chen, Liyuan, 2021. "Stochastic volatility, jumps and leverage in energy and stock markets: Evidence from high frequency data," Energy Economics, Elsevier, vol. 93(C).
    289. Jorge V Pérez-Rodríguez & Juan M Hernández & Julián Andrada-Félix, 2024. "Modelling prices and volatilities in the sharing economy," Tourism Economics, , vol. 30(5), pages 1189-1215, August.
    290. Hammoudeh, Shawkat & Araújo Santos, Paulo & Al-Hassan, Abdullah, 2013. "Downside risk management and VaR-based optimal portfolios for precious metals, oil and stocks," The North American Journal of Economics and Finance, Elsevier, vol. 25(C), pages 318-334.
    291. Fu, Jin-Yu & Lin, Jin-Guan & Hao, Hong-Xia, 2023. "Volatility analysis for the GARCH–Itô–Jumps model based on high-frequency and low-frequency financial data," International Journal of Forecasting, Elsevier, vol. 39(4), pages 1698-1712.
    292. Laura Garcia‐Jorcano & Alfonso Novales, 2021. "Volatility specifications versus probability distributions in VaR forecasting," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 40(2), pages 189-212, March.
    293. Fantazzini, Dean & Shangina, Tamara, 2019. "The importance of being informed: forecasting market risk measures for the Russian RTS index future using online data and implied volatility over two decades," Applied Econometrics, Russian Presidential Academy of National Economy and Public Administration (RANEPA), vol. 55, pages 5-31.
    294. Charfeddine, Lanouar, 2016. "Breaks or long range dependence in the energy futures volatility: Out-of-sample forecasting and VaR analysis," Economic Modelling, Elsevier, vol. 53(C), pages 354-374.
    295. Zouheir Mighri & Raouf Jaziri, 2023. "Long-Memory, Asymmetry and Fat-Tailed GARCH Models in Value-at-Risk Estimation: Empirical Evidence from the Global Real Estate Markets," Journal of Quantitative Economics, Springer;The Indian Econometric Society (TIES), vol. 21(1), pages 41-97, March.
    296. Aloui, Chaker & Mabrouk, Samir, 2010. "Value-at-risk estimations of energy commodities via long-memory, asymmetry and fat-tailed GARCH models," Energy Policy, Elsevier, vol. 38(5), pages 2326-2339, May.
    297. Storti, G., 2006. "Minimum distance estimation of GARCH(1,1) models," Computational Statistics & Data Analysis, Elsevier, vol. 51(3), pages 1803-1821, December.
    298. Knowledge Chinhamu & Chun-Kai Huang & Chun-Sung Huang & Jahvaid Hammujuddy, 2015. "Empirical Analyses of Extreme Value Models for the South African Mining Index," South African Journal of Economics, Economic Society of South Africa, vol. 83(1), pages 41-55, March.
    299. Krehbiel, Tim & Adkins, Lee C., 2008. "Extreme daily changes in U.S. Dollar London inter-bank offer rates," International Review of Economics & Finance, Elsevier, vol. 17(3), pages 397-411.
    300. Alizadeh, Amir H. & Huang, Chih-Yueh & Marsh, Ian W., 2021. "Modelling the volatility of TOCOM energy futures: A regime switching realised volatility approach," Energy Economics, Elsevier, vol. 93(C).
    301. Alemany, Ramon & Bolancé, Catalina & Guillén, Montserrat, 2013. "A nonparametric approach to calculating value-at-risk," Insurance: Mathematics and Economics, Elsevier, vol. 52(2), pages 255-262.
    302. Javed Iqbal & Sara Azher & Ayesha Ijaz, 2010. "Predictive Ability of Value-at-Risk Methods: Evidence from the Karachi Stock Exchange-100 Index," EERI Research Paper Series EERI_RP_2010_18, Economics and Econometrics Research Institute (EERI), Brussels.
    303. Eduardo Rossi & Paolo Santucci de Magistris, 2013. "A No‐Arbitrage Fractional Cointegration Model for Futures and Spot Daily Ranges," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 33(1), pages 77-102, January.
    304. Jie Cheng, 2024. "Evaluating Density Forecasts Using Weighted Multivariate Scores in a Risk Management Context," Computational Economics, Springer;Society for Computational Economics, vol. 64(6), pages 3617-3643, December.
    305. Chrétien, Stéphane & Coggins, Frank, 2010. "Performance and conservatism of monthly FHS VaR: An international investigation," International Review of Financial Analysis, Elsevier, vol. 19(5), pages 323-333, December.
    306. Jorge E. Galán & María Rodríguez Moreno, 2020. "At-risk measures and financial stability," Financial Stability Review, Banco de España, issue Autumn.
    307. Hasan A. Fallahgoul & David Veredas & Frank J. Fabozzi, 2019. "Quantile-Based Inference for Tempered Stable Distributions," Computational Economics, Springer;Society for Computational Economics, vol. 53(1), pages 51-83, January.
    308. Kurita, Takamitsu, 2014. "Dynamic characteristics of the daily yen–dollar exchange rate," Research in International Business and Finance, Elsevier, vol. 30(C), pages 72-82.
    309. Amaro, Raphael & Pinho, Carlos, 2022. "Energy commodities: A study on model selection for estimating Value-at-Risk," Applied Econometrics, Russian Presidential Academy of National Economy and Public Administration (RANEPA), vol. 68, pages 5-27.
    310. Jeremy Berkowitz & James M. O'Brien, 2001. "How accurate are Value-at-Risk models at commercial banks?," Finance and Economics Discussion Series 2001-31, Board of Governors of the Federal Reserve System (U.S.).
    311. Herrera, Rodrigo & Rodriguez, Alejandro & Pino, Gabriel, 2017. "Modeling and forecasting extreme commodity prices: A Markov-Switching based extreme value model," Energy Economics, Elsevier, vol. 63(C), pages 129-143.
    312. Aloui, Riadh & Aïssa, Mohamed Safouane Ben & Hammoudeh, Shawkat & Nguyen, Duc Khuong, 2014. "Dependence and extreme dependence of crude oil and natural gas prices with applications to risk management," Energy Economics, Elsevier, vol. 42(C), pages 332-342.
    313. Cathy W.S. Chen & Toshiaki Watanabe, 2019. "Bayesian modeling and forecasting of Value‐at‐Risk via threshold realized volatility," Applied Stochastic Models in Business and Industry, John Wiley & Sons, vol. 35(3), pages 747-765, May.
    314. Leandro Maciel, 2021. "Cryptocurrencies value‐at‐risk and expected shortfall: Do regime‐switching volatility models improve forecasting?," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 26(3), pages 4840-4855, July.
    315. Zaichao Du & Pei Pei, 2020. "Backtesting portfolio value‐at‐risk with estimated portfolio weights," Journal of Time Series Analysis, Wiley Blackwell, vol. 41(5), pages 605-619, September.
    316. Yuexu Zhao & Weiqi Xu, 2023. "Measurement of risk spillover effect based on EV-Copula method," Palgrave Communications, Palgrave Macmillan, vol. 10(1), pages 1-10, December.
    317. Fabozzi Frank J. & Stoyanov Stoyan V. & Rachev Svetlozar T., 2013. "Computational aspects of portfolio risk estimation in volatile markets: a survey," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 17(1), pages 103-120, February.
    318. Guangying Liu & Ziyan Zhuang & Min Wang, 2024. "Forecasting the high‐frequency volatility based on the LSTM‐HIT model," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 43(5), pages 1356-1373, August.
    319. Marco Bee & Maria Michela Dickson & Flavio Santi, 2017. "Likelihood-based Risk Estimation for Variance-Gamma Models," DEM Working Papers 2017/03, Department of Economics and Management.
    320. Escanciano, J. C. & Olmo, J., 2007. "Estimation risk effects on backtesting for parametric value-at-risk models," Working Papers 07/11, Department of Economics, City University London.
    321. Carol Alexander & Jose Maria Sarabia, 2010. "Endogenizing Model Risk to Quantile Estimates," ICMA Centre Discussion Papers in Finance icma-dp2010-07, Henley Business School, University of Reading.
    322. Giovanni De Luca & Giorgia Rivieccio, 2009. "Archimedean copulae for risk measurement," Journal of Applied Statistics, Taylor & Francis Journals, vol. 36(8), pages 907-924.
    323. Turan Bali & Panayiotis Theodossiou, 2007. "A conditional-SGT-VaR approach with alternative GARCH models," Annals of Operations Research, Springer, vol. 151(1), pages 241-267, April.
    324. David Walsh-Jones & Daniel Jones & Christoph Reisinger, 2014. "Modelling of dependence in high-dimensional financial time series by cluster-derived canonical vines," Papers 1411.4970, arXiv.org.
    325. Anubha Goel & Puneet Pasricha & Juho Kanniainen, 2024. "Time-Series Foundation Model for Value-at-Risk Forecasting," Papers 2410.11773, arXiv.org, revised Jan 2025.
    326. Degiannakis, Stavros & Floros, Christos, 2013. "Modeling CAC40 Volatility Using Ultra-high Frequency Data," MPRA Paper 80445, University Library of Munich, Germany.
    327. Douglas D. Evanoff & Larry D. Wall, 2000. "Subordinated debt and bank capital reform," Working Paper Series WP-00-7, Federal Reserve Bank of Chicago.
    328. Wagner Piazza Gaglianone & Jaqueline Terra Moura Marins, 2014. "Risk Assessment of the Brazilian FX Rate," Working Papers Series 344, Central Bank of Brazil, Research Department.
    329. Gilbert Colletaz & Christophe Hurlin & Sessi Tokpavi, 2008. "Backtesting Value-at-Risk : A GMM Duration-based Test," Post-Print halshs-00363165, HAL.
    330. Katarzyna Maciejowska & Weronika Nitka, 2024. "Multiple split approach -- multidimensional probabilistic forecasting of electricity markets," Papers 2407.07795, arXiv.org.
    331. Travkin, Alexandr, 2013. "Pair copula constructions in portfolio optimization ploblem," Applied Econometrics, Russian Presidential Academy of National Economy and Public Administration (RANEPA), vol. 32(4), pages 110-133.
    332. Shawkat Hammoudeh & Farooq Malik & Michael McAleer, 2010. "Risk Management of Precious Metals," Working Papers in Economics 10/37, University of Canterbury, Department of Economics and Finance.
    333. Abad, Pilar & Benito, Sonia, 2013. "A detailed comparison of value at risk estimates," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 94(C), pages 258-276.
    334. F. Lilla, 2016. "High Frequency vs. Daily Resolution: the Economic Value of Forecasting Volatility Models," Working Papers wp1084, Dipartimento Scienze Economiche, Universita' di Bologna.
    335. Carlos A. Abanto‐Valle & Roland Langrock & Ming‐Hui Chen & Michel V. Cardoso, 2017. "Maximum likelihood estimation for stochastic volatility in mean models with heavy‐tailed distributions," Applied Stochastic Models in Business and Industry, John Wiley & Sons, vol. 33(4), pages 394-408, August.
    336. Anastassios A. Drakos & Georgios P. Kouretas & Leonidas P. Zarangas, 2010. "Forecasting financial volatility of the Athens stock exchange daily returns: an application of the asymmetric normal mixture GARCH model," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 15(4), pages 331-350.
    337. Rosella Giacometti & Gabriele Torri & Kamonchai Rujirarangsan & Michela Cameletti, 2023. "Spatial Multivariate GARCH Models and Financial Spillovers," JRFM, MDPI, vol. 16(9), pages 1-23, September.
    338. Mattia Ciprian & Stefano d'Addona, 2005. "Time Varying Sensitivities on a GRID architecture," Finance 0511007, University Library of Munich, Germany.
    339. Ostap Okhrin & Anastasija Tetereva, 2017. "The Realized Hierarchical Archimedean Copula in Risk Modelling," Econometrics, MDPI, vol. 5(2), pages 1-31, June.
    340. Braione, Manuela & Scholtes, Nicolas K., 2014. "Construction of value-at-risk forecasts under different distributional assumptions within a BEKK framework," LIDAM Discussion Papers CORE 2014059, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
    341. Jiang, Cuixia & Li, Yuqian & Xu, Qifa & Liu, Yezheng, 2021. "Measuring risk spillovers from multiple developed stock markets to China: A vine-copula-GARCH-MIDAS model," International Review of Economics & Finance, Elsevier, vol. 75(C), pages 386-398.
    342. Han, Yingying & Gong, Pu & Zhou, Xiang, 2016. "Correlations and risk contagion between mixed assets and mixed-asset portfolio VaR measurements in a dynamic view: An application based on time varying copula models," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 444(C), pages 940-953.
    343. Donggyu Kim & Minseog Oh & Yazhen Wang, 2022. "Conditional quantile analysis for realized GARCH models," Journal of Time Series Analysis, Wiley Blackwell, vol. 43(4), pages 640-665, July.
    344. Zhi-Fu Mi & Yue-Jun Zhang, 2010. "Estimating the 'value at risk' of EUA futures prices based on the extreme value theory," CEEP-BIT Working Papers 9, Center for Energy and Environmental Policy Research (CEEP), Beijing Institute of Technology.
    345. Candia, Claudio & Herrera, Rodrigo, 2024. "An empirical review of dynamic extreme value models for forecasting value at risk, expected shortfall and expectile," Journal of Empirical Finance, Elsevier, vol. 77(C).
    346. Makushkin, Mikhail & Lapshin, Victor, 2020. "Modelling tail dependencies between Russian and foreign stock markets: Application for market risk valuation," Applied Econometrics, Russian Presidential Academy of National Economy and Public Administration (RANEPA), vol. 57, pages 30-52.
    347. Sarno, Lucio & Valente, Giorgio, 2005. "Empirical exchange rate models and currency risk: some evidence from density forecasts," Journal of International Money and Finance, Elsevier, vol. 24(2), pages 363-385, March.
    348. Steven Kou & Xianhua Peng, 2016. "On the Measurement of Economic Tail Risk," Operations Research, INFORMS, vol. 64(5), pages 1056-1072, October.
    349. Yong Ma & Lu Yan & Dongtao Pan, 2024. "The power of news data in forecasting tail risk: evidence from China," Empirical Economics, Springer, vol. 67(6), pages 2607-2642, December.
    350. Leung, Melvern & Li, Youwei & Pantelous, Athanasios A. & Vigne, Samuel A., 2021. "Bayesian Value-at-Risk backtesting: The case of annuity pricing," European Journal of Operational Research, Elsevier, vol. 293(2), pages 786-801.
    351. Dominique Guegan & Pierre-André Maugis, 2010. "An Econometric Study of Vine Copulas," Post-Print halshs-00492124, HAL.
    352. Su, Jung-Bin, 2014. "Empirical analysis of long memory, leverage, and distribution effects for stock market risk estimates," The North American Journal of Economics and Finance, Elsevier, vol. 30(C), pages 1-39.
    353. Hussein Khraibani & Bilal Nehme & Olivier Strauss, 2018. "Interval Estimation of Value-at-Risk Based on Nonparametric Models," Econometrics, MDPI, vol. 6(4), pages 1-30, December.
    354. Benavides Guillermo, 2020. "Asymmetric Volatility Effects in Risk Management: An Empirical Analysis using a Stock Index Futures," Working Papers 2020-10, Banco de México.
    355. Katherine Uylangco & Siqiwen Li, 2016. "An evaluation of the effectiveness of Value-at-Risk (VaR) models for Australian banks under Basel III," Australian Journal of Management, Australian School of Business, vol. 41(4), pages 699-718, November.
    356. Emrah Altun, 2019. "Two-sided exponential–geometric distribution: inference and volatility modeling," Computational Statistics, Springer, vol. 34(3), pages 1215-1245, September.
    357. Andrea BUCCI, 2017. "Forecasting Realized Volatility A Review," Journal of Advanced Studies in Finance, ASERS Publishing, vol. 8(2), pages 94-138.
    358. Dai, Xingyu & Wang, Qunwei & Zha, Donglan & Zhou, Dequn, 2020. "Multi-scale dependence structure and risk contagion between oil, gold, and US exchange rate: A wavelet-based vine-copula approach," Energy Economics, Elsevier, vol. 88(C).
    359. Pierluigi Vallarino, 2024. "Dynamic kernel models," Tinbergen Institute Discussion Papers 24-082/III, Tinbergen Institute.
    360. Vica Tendenan & Richard Gerlach & Chao Wang, 2020. "Tail risk forecasting using Bayesian realized EGARCH models," Papers 2008.05147, arXiv.org, revised Aug 2020.
    361. Rama Cont & Mihai Cucuringu & Renyuan Xu & Chao Zhang, 2022. "Tail-GAN: Learning to Simulate Tail Risk Scenarios," Papers 2203.01664, arXiv.org, revised Mar 2023.
    362. Jinyu Zhang & Kang Gao & Yong Li & Qiaosen Zhang, 2022. "Maximum Likelihood Estimation Methods for Copula Models," Computational Economics, Springer;Society for Computational Economics, vol. 60(1), pages 99-124, June.
    363. Bonaccolto, Giovanni & Borri, Nicola & Consiglio, Andrea, 2023. "Breakup and default risks in the great lockdown," Journal of Banking & Finance, Elsevier, vol. 147(C).
    364. Wentao Hu, 2019. "SlideVaR: a risk measure with variable risk attitudes," Papers 1907.11855, arXiv.org.
    365. James M. O'Brien & Pawel J. Szerszen, 2014. "An Evaluation of Bank VaR Measures for Market Risk During and Before the Financial Crisis," Finance and Economics Discussion Series 2014-21, Board of Governors of the Federal Reserve System (U.S.).
    366. Ning Zhang & Yujing Gong & Xiaohan Xue, 2023. "Less disagreement, better forecasts: Adjusted risk measures in the energy futures market," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 43(10), pages 1332-1372, October.
    367. Kakade, Kshitij & Jain, Ishan & Mishra, Aswini Kumar, 2022. "Value-at-Risk forecasting: A hybrid ensemble learning GARCH-LSTM based approach," Resources Policy, Elsevier, vol. 78(C).
    368. Guglielmo Maria Caporale & Timur Zekokh, 2018. "Modelling Volatility of Cryptocurrencies Using Markov-Switching Garch Models," CESifo Working Paper Series 7167, CESifo.
    369. Bonga-Bonga, Lumengo & Nleya, Lebogang, 2016. "Assessing portfolio market risk in the BRICS economies: use of multivariate GARCH models," MPRA Paper 75809, University Library of Munich, Germany.
    370. Chaker Aloui & Hela BEN HAMIDA, 2015. "Estimation and Performance Assessment of Value-at-Risk and Expected Shortfall Based on Long-Memory GARCH-Class Models," Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, vol. 65(1), pages 30-54, January.
    371. Amiri , Hossein & Najafi Nejad , Mahmood & Mousavi , Seyede Mohadese, 2021. "Estimation of Value at Risk (VaR) Based On Lévy-GARCH Models: Evidence from Tehran Stock Exchange," Journal of Money and Economy, Monetary and Banking Research Institute, Central Bank of the Islamic Republic of Iran, vol. 16(2), pages 165-186, June.
    372. R. J. Almeida & U. Kaymak, 2009. "Probabilistic fuzzy systems in value‐at‐risk estimation," Intelligent Systems in Accounting, Finance and Management, John Wiley & Sons, Ltd., vol. 16(1‐2), pages 49-70, January.
    373. Tan, Shay-Kee & Ng, Kok-Haur & Chan, Jennifer So-Kuen & Mohamed, Ibrahim, 2019. "Quantile range-based volatility measure for modelling and forecasting volatility using high frequency data," The North American Journal of Economics and Finance, Elsevier, vol. 47(C), pages 537-551.
    374. Chen, Cathy W.S. & Gerlach, Richard & Lin, Edward M.H., 2014. "Bayesian estimation of smoothly mixing time-varying parameter GARCH models," Computational Statistics & Data Analysis, Elsevier, vol. 76(C), pages 194-209.
    375. Michele Bonollo & Davide Morandi & Chiara Pederzoli & Costanza Torricelli, 2007. "Model risk and techniques for controlling market parameters. The experience in Banco Popolare," Centro Studi di Banca e Finanza (CEFIN) (Center for Studies in Banking and Finance) 0005, Universita di Modena e Reggio Emilia, Dipartimento di Economia "Marco Biagi".
    376. Frank Tuyl & Richard Gerlach & Kerrie Mengersen, 2009. "The Rule of Three, its Variants and Extensions," International Statistical Review, International Statistical Institute, vol. 77(2), pages 266-275, August.
    377. Giacomo Bormetti & Maria Elena De Giuli & Danilo Delpini & Claudia Tarantola, 2012. "Bayesian Value-at-Risk with product partition models," Quantitative Finance, Taylor & Francis Journals, vol. 12(5), pages 769-780, November.
    378. Girardi, Giulio & Tolga Ergün, A., 2013. "Systemic risk measurement: Multivariate GARCH estimation of CoVaR," Journal of Banking & Finance, Elsevier, vol. 37(8), pages 3169-3180.
    379. Chen, Zhenlong & Chang, Jing & Hao, Xiaozhen, 2024. "Portfolio selection via high-dimensional stochastic factor Copula," Finance Research Letters, Elsevier, vol. 67(PA).
    380. Tomasz R. Bielecki & Igor Cialenco & Marcin Pitera & Thorsten Schmidt, 2019. "Fair Estimation of Capital Risk Allocation," Papers 1902.10044, arXiv.org, revised Nov 2019.
    381. Makushkin, Mikhail & Lapshin, Victor, 2023. "Dynamic Nelson–Siegel model for market risk estimation of bonds: Practical implementation," Applied Econometrics, Russian Presidential Academy of National Economy and Public Administration (RANEPA), vol. 69, pages 5-27.
    382. Ayala Astrid & Blazsek Szabolcs & Escribano Alvaro, 2023. "Anticipating extreme losses using score-driven shape filters," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 27(4), pages 449-484, September.
    383. Tófoli, Paula Virgínia & Ziegelmann, Flávio Augusto & Silva Filho, Osvaldo Candido & Pereira, Pedro L. Valls, 2016. "Dynamic D-Vine copula model with applications to Value-at-Risk (VaR)," Textos para discussão 424, FGV EESP - Escola de Economia de São Paulo, Fundação Getulio Vargas (Brazil).
    384. Díaz, Antonio & Esparcia, Carlos & Huélamo, Diego, 2023. "Stablecoins as a tool to mitigate the downside risk of cryptocurrency portfolios," The North American Journal of Economics and Finance, Elsevier, vol. 64(C).
    385. David Happersberger & Harald Lohre & Ingmar Nolte, 2020. "Estimating portfolio risk for tail risk protection strategies," European Financial Management, European Financial Management Association, vol. 26(4), pages 1107-1146, September.
    386. Mohamed CHIKHI & Ali BENDOB & Ahmed Ramzi SIAGH, 2019. "Day-of-the-week and month-of-the-year effects on French Small-Cap Volatility: the role of asymmetry and long memory," Eastern Journal of European Studies, Centre for European Studies, Alexandru Ioan Cuza University, vol. 10, pages 221-248, December.
    387. Bangzhu Zhu & Shunxin Ye & Kaijian He & Julien Chevallier & Rui Xie, 2019. "Measuring the risk of European carbon market: an empirical mode decomposition-based value at risk approach," Annals of Operations Research, Springer, vol. 281(1), pages 373-395, October.
    388. Michel Aglietta, 1996. "Financial Market Failures and Systemic Risk," Working Papers 1996-01, CEPII research center.
    389. Giovanni Barone‐Adesi & Chiara Legnazzi & Carlo Sala, 2019. "Option‐implied risk measures: An empirical examination on the S&P 500 index," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 24(4), pages 1409-1428, October.
    390. Hood, Matthew & Malik, Farooq, 2018. "Estimating downside risk in stock returns under structural breaks," International Review of Economics & Finance, Elsevier, vol. 58(C), pages 102-112.
    391. Antonio Rubia Serrano & Lidia Sanchis-Marco, 2015. "Measuring Tail-Risk Cross-Country Exposures in the Banking Industry," Working Papers. Serie AD 2015-01, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie).
    392. Soren Bettels & Sojung Kim & Stefan Weber, 2022. "Multinomial Backtesting of Distortion Risk Measures," Papers 2201.06319, arXiv.org, revised Aug 2024.
    393. Bauwens, Luc & Ben Omrane, Walid & Rengifo, Erick, 2010. "Intradaily dynamic portfolio selection," Computational Statistics & Data Analysis, Elsevier, vol. 54(11), pages 2400-2418, November.
    394. Iván Blanco, Juan Ignacio Peña, and Rosa Rodriguez, 2018. "Modelling Electricity Swaps with Stochastic Forward Premium Models," The Energy Journal, International Association for Energy Economics, vol. 0(Number 2).
    395. Chang, Chia-Lin & González-Serrano, Lydia & Jimenez-Martin, Juan-Angel, 2013. "Currency hedging strategies using dynamic multivariate GARCH," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 94(C), pages 164-182.
    396. Anand, Abhinav & Li, Tiantian & Kurosaki, Tetsuo & Kim, Young Shin, 2016. "Foster–Hart optimal portfolios," Journal of Banking & Finance, Elsevier, vol. 68(C), pages 117-130.
    397. Chuang, Chung-Chu & Wang, Yi-Hsien & Yeh, Tsai-Jung & Chuang, Shuo-Li, 2014. "Backtesting VaR in consideration of the higher moments of the distribution for minimum-variance hedging portfolios," Economic Modelling, Elsevier, vol. 42(C), pages 15-19.
    398. Arnold Polanski & Evarist Stoja, 2010. "Incorporating higher moments into value-at-risk forecasting," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 29(6), pages 523-535.
    399. He Juan & Jiang Xianglin & Wang Jian & Chen Lei, 2012. "Finance, production, manufacturing and logistics: VaR models for dynamic Impawn rate of steel in inventory financing," E3 Journal of Business Management and Economics., E3 Journals, vol. 3(3), pages 127-137.
    400. Nieto, María Rosa, 2008. "Measuring financial risk : comparison of alternative procedures to estimate VaR and ES," DES - Working Papers. Statistics and Econometrics. WS ws087326, Universidad Carlos III de Madrid. Departamento de Estadística.
    401. Argyropoulos, Christos & Panopoulou, Ekaterini, 2019. "Backtesting VaR and ES under the magnifying glass," International Review of Financial Analysis, Elsevier, vol. 64(C), pages 22-37.
    402. Maziar Sahamkhadam & Andreas Stephan, 2019. "Portfolio optimization based on forecasting models using vine copulas: An empirical assessment for the financial crisis," Papers 1912.10328, arXiv.org.
    403. Stindl, Tom, 2023. "Forecasting intraday market risk: A marked self-exciting point process with exogenous renewals," Journal of Empirical Finance, Elsevier, vol. 70(C), pages 182-198.
    404. Guo, Zi-Yi, 2017. "Models with Short-Term Variations and Long-Term Dynamics in Risk Management of Commodity Derivatives," EconStor Preprints 167619, ZBW - Leibniz Information Centre for Economics.
    405. Ravi Summinga-Sonagadu & Jason Narsoo, 2019. "Risk Model Validation: An Intraday VaR and ES Approach Using the Multiplicative Component GARCH," Risks, MDPI, vol. 7(1), pages 1-23, January.
    406. Giuseppe Orlando & Michele Bufalo, 2022. "A generalized two‐factor square‐root framework for modeling occurrences of natural catastrophes," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 41(8), pages 1608-1622, December.
    407. Mikhail Semenov & Daulet Smagulov, 2017. "Portfolio Risk Assessment using Copula Models," Papers 1707.03516, arXiv.org.
    408. Sinha, Pankaj & Agnihotri, Shalini, 2014. "Sensitivity of Value at Risk estimation to NonNormality of returns and Market capitalization," MPRA Paper 56307, University Library of Munich, Germany, revised 26 May 2014.
    409. Kleppe, Tore Selland & Liesenfeld, Roman & Moura, Guilherme Valle & Oglend, Atle, 2022. "Analyzing Commodity Futures Using Factor State-Space Models with Wishart Stochastic Volatility," Econometrics and Statistics, Elsevier, vol. 23(C), pages 105-127.
    410. Jose A. Lopez, 1997. "Regulatory evaluation of value-at-risk models," Research Paper 9710, Federal Reserve Bank of New York.
    411. Yu, Wenhua & Yang, Kun & Wei, Yu & Lei, Likun, 2018. "Measuring Value-at-Risk and Expected Shortfall of crude oil portfolio using extreme value theory and vine copula," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 490(C), pages 1423-1433.
    412. Tu, Anthony H. & Chen, Cathy Yi-Hsuan, 2016. "What derives the bond portfolio value-at-risk: Information roles of macroeconomic and financial stress factors," SFB 649 Discussion Papers 2016-006, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
    413. Wided Khiari & Salim Ben Sassi, 2019. "On Identifying the Systemically Important Tunisian Banks: An Empirical Approach Based on the △CoVaR Measures," Risks, MDPI, vol. 7(4), pages 1-15, December.
    414. Bruzda, Joanna, 2019. "Quantile smoothing in supply chain and logistics forecasting," International Journal of Production Economics, Elsevier, vol. 208(C), pages 122-139.
    415. J. R. Aragonés & C. Blanco & P. García Estévez, 2005. "Improving expected tail loss estimates with neural networks," Intelligent Systems in Accounting, Finance and Management, John Wiley & Sons, Ltd., vol. 13(2), pages 81-94, June.
    416. Araújo Santos, Paulo & Fraga Alves, Isabel & Hammoudeh, Shawkat, 2013. "High quantiles estimation with Quasi-PORT and DPOT: An application to value-at-risk for financial variables," The North American Journal of Economics and Finance, Elsevier, vol. 26(C), pages 487-496.
    417. Niels S. Hansen & Asger Lunde, 2013. "Analyzing Oil Futures with a Dynamic Nelson-Siegel Model," CREATES Research Papers 2013-36, Department of Economics and Business Economics, Aarhus University.
    418. Toktam Valizadeh & Saeid Rezakhah & Ferdous Mohammadi Basatini, 2021. "On time‐varying amplitude HGARCH model," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 26(2), pages 2538-2547, April.
    419. Chao Wang & Richard Gerlach & Qian Chen, 2018. "A Semi-parametric Realized Joint Value-at-Risk and Expected Shortfall Regression Framework," Papers 1807.02422, arXiv.org, revised Jan 2021.
    420. Georges Tsafack & James Cataldo, 2021. "Backtesting and estimation error: value-at-risk overviolation rate," Empirical Economics, Springer, vol. 61(3), pages 1351-1396, September.
    421. Amélie Charles & Olivier Darné, 2014. "Large shocks in the volatility of the Dow Jones Industrial Average index: 1928–2013," Post-Print hal-01122507, HAL.
    422. Weshah Razzak, "undated". "On the GCC Currency Union," API-Working Paper Series 0910, Arab Planning Institute - Kuwait, Information Center.
    423. Paula V. Tofoli & Flavio A. Ziegelmann & Osvaldo Candido, 2017. "A Comparison Study of Copula Models for Europea Financial Index Returns," International Journal of Economics and Finance, Canadian Center of Science and Education, vol. 9(10), pages 155-178, October.
    424. Wang, Zongrun & Wang, Wuchao & Chen, Xiaohong & Jin, Yanbo & Zhou, Yanju, 2012. "Using BS-PSD-LDA approach to measure operational risk of Chinese commercial banks," Economic Modelling, Elsevier, vol. 29(6), pages 2095-2103.
    425. Youssef, Manel & Belkacem, Lotfi & Mokni, Khaled, 2015. "Value-at-Risk estimation of energy commodities: A long-memory GARCH–EVT approach," Energy Economics, Elsevier, vol. 51(C), pages 99-110.
    426. Fengler, Matthias & Okhrin, Ostap, 2012. "Realized Copula," Economics Working Paper Series 1214, University of St. Gallen, School of Economics and Political Science.
    427. Jitender, 2021. "Value-at-Risk Estimation of Equity Market Risk in India," Acta Universitatis Sapientiae, Economics and Business, Sciendo, vol. 9(1), pages 1-24, September.
    428. Tsyplakov, Alexander, 2014. "Theoretical guidelines for a partially informed forecast examiner," MPRA Paper 55017, University Library of Munich, Germany.
    429. Yanzhi Duan & Chunlei He & Li Yao & Yue Wang & Nan Tang & Zhong Wang, 2023. "Research on Risk Measurement of China’s Carbon Trading Market," Energies, MDPI, vol. 16(23), pages 1-28, December.
    430. Gang-Jin Wang & Chi Xie & Kaijian He & H. Eugene Stanley, 2017. "Extreme risk spillover network: application to financial institutions," Quantitative Finance, Taylor & Francis Journals, vol. 17(9), pages 1417-1433, September.
    431. Wu, Qi & Yan, Xing, 2019. "Capturing deep tail risk via sequential learning of quantile dynamics," Journal of Economic Dynamics and Control, Elsevier, vol. 109(C).
    432. Eduardo Rossi & Paolo Santucci de Magistris, 2009. "A No Arbitrage Fractional Cointegration Analysis Of The Range Based Volatility," CREATES Research Papers 2009-31, Department of Economics and Business Economics, Aarhus University.
    433. Halkos, George E. & Tsirivis, Apostolos S., 2019. "Value-at-risk methodologies for effective energy portfolio risk management," Economic Analysis and Policy, Elsevier, vol. 62(C), pages 197-212.
    434. David E Allen & Mohammad.A. Ashraf & Michael McAleer & Robert J Powell & Abhay K Singh, 2013. "Financial Dependence Analysis: Applications of Vine Copulae," KIER Working Papers 843, Kyoto University, Institute of Economic Research.
    435. Calvet, Laurent E. & Fisher, Adlai J. & Thompson, Samuel B., 2006. "Volatility comovement: a multifrequency approach," Journal of Econometrics, Elsevier, vol. 131(1-2), pages 179-215.
    436. Ramon Alemany & Catalina Bolance & Montserrat Guillen, 2014. "Accounting for severity of risk when pricing insurance products," Working Papers 2014-05, Universitat de Barcelona, UB Riskcenter.
    437. Huang, Chun-Kai & North, Delia & Zewotir, Temesgen, 2017. "Exchangeability, extreme returns and Value-at-Risk forecasts," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 477(C), pages 204-216.
    438. Xiongwei Ju & Neil D. Pearson, 1998. "Using Value-at-Risk to Control Risk Taking: How Wrong Can you Be?," Finance 9810002, University Library of Munich, Germany.
    439. Khoo, Zhi De & Ng, Kok Haur & Koh, You Beng & Ng, Kooi Huat, 2024. "Forecasting volatility of stock indices: Improved GARCH-type models through combined weighted volatility measure and weighted volatility indicators," The North American Journal of Economics and Finance, Elsevier, vol. 71(C).
    440. Jiang, Kunliang & Zeng, Linhui & Song, Jiashan & Liu, Yimeng, 2022. "Forecasting Value-at-Risk of cryptocurrencies using the time-varying mixture-accelerating generalized autoregressive score model," Research in International Business and Finance, Elsevier, vol. 61(C).
    441. Tomáš Konderla & Václav Klepáč, 2017. "Using HMM Approach for Assessing Quality of Value at Risk Estimation: Evidence from PSE Listed Company," Acta Universitatis Agriculturae et Silviculturae Mendelianae Brunensis, Mendel University Press, vol. 65(5), pages 1687-1694.
    442. Derek Bunn, Arne Andresen, Dipeng Chen, Sjur Westgaard, 2016. "Analysis and Forecasting of Electricty Price Risks with Quantile Factor Models," The Energy Journal, International Association for Energy Economics, vol. 0(Number 1).
    443. Ziggel, Daniel & Berens, Tobias & Weiß, Gregor N.F. & Wied, Dominik, 2014. "A new set of improved Value-at-Risk backtests," Journal of Banking & Finance, Elsevier, vol. 48(C), pages 29-41.
    444. Arian, Hamid & Moghimi, Mehrdad & Tabatabaei, Ehsan & Zamani, Shiva, 2022. "Encoded Value-at-Risk: A machine learning approach for portfolio risk measurement," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 202(C), pages 500-525.
    445. Górecki, Jan & Hofert, Marius & Okhrin, Ostap, 2021. "Outer power transformations of hierarchical Archimedean copulas: Construction, sampling and estimation," Computational Statistics & Data Analysis, Elsevier, vol. 155(C).
    446. Sasa Zikovic & Rafal Weron & Ivana Tomas Zikovic, 2014. "Evaluating the performance of VaR models in energy markets," HSC Research Reports HSC/14/12, Hugo Steinhaus Center, Wroclaw University of Science and Technology.
    447. Leccadito, Arturo & Boffelli, Simona & Urga, Giovanni, 2014. "Evaluating the accuracy of value-at-risk forecasts: New multilevel tests," International Journal of Forecasting, Elsevier, vol. 30(2), pages 206-216.
    448. Degiannakis, Stavros & Floros, Christos & Livada, Alexandra, 2012. "Evaluating Value-at-Risk Models before and after the Financial Crisis of 2008: International Evidence," MPRA Paper 80463, University Library of Munich, Germany.
    449. Rebekka Buse & Konstantin Gorgen & Melanie Schienle, 2022. "Predicting Value at Risk for Cryptocurrencies With Generalized Random Forests," Papers 2203.08224, arXiv.org, revised Dec 2024.
    450. Nader Trabelsi & Aviral Kumar Tiwari, 2023. "CO2 Emission Allowances Risk Prediction with GAS and GARCH Models," Computational Economics, Springer;Society for Computational Economics, vol. 61(2), pages 775-805, February.
    451. Wong, Woon K., 2008. "Backtesting trading risk of commercial banks using expected shortfall," Journal of Banking & Finance, Elsevier, vol. 32(7), pages 1404-1415, July.
    452. Jiangze Du & Xizhuo Chen & Jincheng Gong & Xiao Lin & Kin Keung Lai, 2023. "Analysis of stock markets risk spillover with copula models under the background of Chinese financial opening," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 28(4), pages 3997-4019, October.
    453. Alex Karagrigoriou & George-Jason Siouris & Despoina Skilogianni, 2019. "Adjusted Evaluation Measures for Asymmetrically Important Data," Econometric Research in Finance, SGH Warsaw School of Economics, Collegium of Economic Analysis, vol. 4(1), pages 41-66, June.
    454. Ze Shen & Minglu Wang & Qing Wan, 2023. "Tail risk of coal futures in China's market," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 63(S2), pages 2827-2845, June.
    455. Xin Chen & Zhangming Shan & Decai Tang & Biao Zhou & Valentina Boamah, 2023. "Interest rate risk of Chinese commercial banks based on the GARCH-EVT model," Palgrave Communications, Palgrave Macmillan, vol. 10(1), pages 1-11, December.
    456. Chao Wang & Richard Gerlach, 2019. "Semi-parametric Realized Nonlinear Conditional Autoregressive Expectile and Expected Shortfall," Papers 1906.09961, arXiv.org.
    457. Chien-Liang Chiu & Ming-Chih Lee & Jui-Cheng Hung, 2005. "Estimation of Value-at-Risk under jump dynamics and asymmetric information," Applied Financial Economics, Taylor & Francis Journals, vol. 15(15), pages 1095-1106.
    458. Liu, Lu, 2014. "Extreme downside risk spillover from the United States and Japan to Asia-Pacific stock markets," International Review of Financial Analysis, Elsevier, vol. 33(C), pages 39-48.
    459. Cavallo, Michele & Majnoni, Giovanni, 2001. "Do Banks provision for bad loans in good times? empirical evidence and policy implications," Policy Research Working Paper Series 2619, The World Bank.
    460. Bangzhu Zhu & Ping Wang & Julien Chevallier & Yi‐Ming Wei, 2023. "Enriching the value‐at‐risk framework to ensemble empirical mode decomposition with an application to the European carbon market," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 28(3), pages 2975-2988, July.
    461. Lehar, Alfred & Scheicher, Martin & Schittenkopf, Christian, 2002. "GARCH vs. stochastic volatility: Option pricing and risk management," Journal of Banking & Finance, Elsevier, vol. 26(2-3), pages 323-345, March.
    462. Julio César Alonso & Paul Seeman, 2009. "Cálculo del Valor en Riesgo y Pérdida Esperada mediante R: Empleando modelos con volatilidad constante," Apuntes de Economía 9096, Universidad Icesi.
    463. Sreekha Pullaykkodi & Rajesh H. Acharya, 2024. "The Effects of Overnight Events on Daytime Return: A Market Microstructure Analysis of Market Quality," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 31(3), pages 497-542, September.
    464. Tubbenhauer, Tobias & Fieberg, Christian & Poddig, Thorsten, 2021. "Multi-agent-based VaR forecasting," Journal of Economic Dynamics and Control, Elsevier, vol. 131(C).
    465. Marcelo Bianconi & Joe A. Yoshino, 2013. "Risk Factors and Value at Risk in Publicly Trades Companies of the Nonrenewable Energy Sector," Discussion Papers Series, Department of Economics, Tufts University 0773, Department of Economics, Tufts University.
    466. Kiesel, Rüdiger & Rahe, Florentin, 2017. "Option pricing under time-varying risk-aversion with applications to risk forecasting," Journal of Banking & Finance, Elsevier, vol. 76(C), pages 120-138.
    467. Emrah Altun & Huseyin Tatlidil & Gamze Ozel & Saralees Nadarajah, 2018. "Does the Assumption on Innovation Process Play an Important Role for Filtered Historical Simulation Model?," JRFM, MDPI, vol. 11(1), pages 1-13, January.
    468. Bradley T. Ewing & Farooq Malik & Hassan Anjum, 2019. "Forecasting value‐at‐risk in oil prices in the presence of volatility shifts," Review of Financial Economics, John Wiley & Sons, vol. 37(3), pages 341-350, July.
    469. Colletaz, Gilbert & Hurlin, Christophe & Pérignon, Christophe, 2013. "The Risk Map: A new tool for validating risk models," Journal of Banking & Finance, Elsevier, vol. 37(10), pages 3843-3854.
    470. Dangl, Thomas & Lehar, Alfred, 2004. "Value-at-risk vs. building block regulation in banking," Journal of Financial Intermediation, Elsevier, vol. 13(2), pages 96-131, April.
    471. Silahli, Baykar & Dingec, Kemal Dincer & Cifter, Atilla & Aydin, Nezir, 2021. "Portfolio value-at-risk with two-sided Weibull distribution: Evidence from cryptocurrency markets," Finance Research Letters, Elsevier, vol. 38(C).
    472. Fuentes, Fernanda & Herrera, Rodrigo & Clements, Adam, 2023. "Forecasting extreme financial risk: A score-driven approach," International Journal of Forecasting, Elsevier, vol. 39(2), pages 720-735.
    473. Zhao, Lu-Tao & Wang, Dai-Song & Ren, Zhong-Yuan, 2024. "The impact of joint events on oil price volatility: Evidence from a dynamic graphical news analysis model," Economic Modelling, Elsevier, vol. 130(C).
    474. Jian Zhou, 2012. "Extreme risk measures for REITs: a comparison among alternative methods," Applied Financial Economics, Taylor & Francis Journals, vol. 22(2), pages 113-126, January.
    475. Chan Jennifer So Kuen & Ng Kok-Haur & Nitithumbundit Thanakorn & Peiris Shelton, 2019. "Efficient estimation of financial risk by regressing the quantiles of parametric distributions: An application to CARR models," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 23(2), pages 1-22, April.
    476. Laura Garcia-Jorcano & Alfonso Novales, 2019. "A dominance approach for comparing the performance of VaR forecasting models," Documentos de Trabajo del ICAE 2019-23, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
    477. Zou, Yingchao & Yu, Lean & Tso, Geoffrey K.F. & He, Kaijian, 2020. "Risk forecasting in the crude oil market: A multiscale Convolutional Neural Network approach," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 541(C).
    478. Cifter, Atilla, 2011. "Value-at-risk estimation with wavelet-based extreme value theory: Evidence from emerging markets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 390(12), pages 2356-2367.
    479. Hammoudeh, Shawkat & Kang, Sang Hoon & Mensi, Walid & Nguyen, Duc Khuong, 2014. "Dynamic global linkages of the BRICS stock markets with the U.S. and Europe under external crisis shocks: Implications for portfolio risk forecasting," MPRA Paper 73400, University Library of Munich, Germany, revised Mar 2016.
    480. Vasilios Sogiakas, 2017. "On the implementation of asymmetric VaR models for managing and forecasting market risk," Journal of Applied Finance & Banking, SCIENPRESS Ltd, vol. 7(6), pages 1-2.
    481. Xiaohang Ren & Yiying Li & Xianming Sun & Ruijun Bu & Fredj Jawadi, 2023. "Modeling extreme risk spillovers between crude oil and Chinese energy futures markets," Post-Print hal-04478730, HAL.
    482. Abdul-Aziz Ibn Musah & Jianguo Du & Hira Salah Ud din Khan & Alhassan Alolo Abdul-Rasheed Akeji, 2018. "The Asymptotic Decision Scenarios of an Emerging Stock Exchange Market: Extreme Value Theory and Artificial Neural Network," Risks, MDPI, vol. 6(4), pages 1-24, November.
    483. Gong, Pu & Weng, Yingliang, 2016. "Value-at-Risk forecasts by a spatiotemporal model in Chinese stock market," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 441(C), pages 173-191.
    484. Jeremy Berkowitz & James O'Brien, 2002. "How Accurate Are Value‐at‐Risk Models at Commercial Banks?," Journal of Finance, American Finance Association, vol. 57(3), pages 1093-1111, June.
    485. Mirjana Miletić & Siniša Miletić, 2016. "Performance of VaR in Developed and CEE Countries during the Global Financial Crisis," Journal for Economic Forecasting, Institute for Economic Forecasting, vol. 0(1), pages 54-75, March.
    486. Sun, Chuting & Wu, Qi & Yan, Xing, 2024. "Dynamic CVaR portfolio construction with attention-powered generative factor learning," Journal of Economic Dynamics and Control, Elsevier, vol. 160(C).
    487. Chorro, Christophe & Guégan, Dominique & Ielpo, Florian & Lalaharison, Hanjarivo, 2018. "Testing for leverage effects in the returns of US equities," Journal of Empirical Finance, Elsevier, vol. 48(C), pages 290-306.
    488. Rubia, Antonio & Sanchis-Marco, Lidia, 2013. "On downside risk predictability through liquidity and trading activity: A dynamic quantile approach," International Journal of Forecasting, Elsevier, vol. 29(1), pages 202-219.
    489. Cong-Duc Tran & Minh-Tuan Phung & Fu-Ju Yang & Yi-Hsien Wang, 2020. "The Role of Gender Diversity in Downside Risk: Empirical Evidence from Vietnamese Listed Firms," Mathematics, MDPI, vol. 8(6), pages 1-22, June.
    490. Soosung Hwang & Steve E. Satchell & Pedro L. Valls Pereira, 2007. "How Persistent is Stock Return Volatility? An Answer with Markov Regime Switching Stochastic Volatility Models," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 34(5‐6), pages 1002-1024, June.
    491. Lang, Korbinian & Auer, Benjamin R., 2020. "The economic and financial properties of crude oil: A review," The North American Journal of Economics and Finance, Elsevier, vol. 52(C).
    492. Mateusz Pipien, 2006. "The Predictive Value at Risk and Capital Requirements for Market Risk. The case of PLN/USD Exchange Rate," Dynamic Econometric Models, Uniwersytet Mikolaja Kopernika, vol. 7, pages 179-188.
    493. Maria Grazia Zoia & Gianmarco Vacca & Laura Barbieri, 2020. "Modeling Multivariate Financial Series and Computing Risk Measures via Gram–Charlier-Like Expansions," Risks, MDPI, vol. 8(4), pages 1-21, November.
    494. Yingchao Zou & Kaijian He, 2022. "Forecasting Crude Oil Risk Using a Multivariate Multiscale Convolutional Neural Network Model," Mathematics, MDPI, vol. 10(14), pages 1-11, July.
    495. Araújo Santos, P. & Fraga Alves, M.I., 2013. "Forecasting Value-at-Risk with a duration-based POT method," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 94(C), pages 295-309.
    496. Longin, Francois M., 2000. "From value at risk to stress testing: The extreme value approach," Journal of Banking & Finance, Elsevier, vol. 24(7), pages 1097-1130, July.
    497. Richard Gerlach & Chao Wang, 2016. "Bayesian Semi-parametric Realized-CARE Models for Tail Risk Forecasting Incorporating Realized Measures," Papers 1612.08488, arXiv.org.
    498. Richard Gerlach & Declan Walpole & Chao Wang, 2017. "Semi-parametric Bayesian tail risk forecasting incorporating realized measures of volatility," Quantitative Finance, Taylor & Francis Journals, vol. 17(2), pages 199-215, February.
    499. Richard Gerlach & Chao Wang, 2018. "Semi-parametric Dynamic Asymmetric Laplace Models for Tail Risk Forecasting, Incorporating Realized Measures," Papers 1805.08653, arXiv.org.
    500. Carlos A. Abanto-Valle & Hernán B. Garrafa-Aragón, 2019. "Threshold Stochastic Volatility Models with Heavy Tails:A Bayesian Approach," Revista Economía, Fondo Editorial - Pontificia Universidad Católica del Perú, vol. 42(83), pages 32-53.
    501. Christophe Boucher & Bertrand Maillet, 2011. "The Riskiness of Risk Models," Post-Print halshs-00587779, HAL.
    502. Crook, Jonathan & Moreira, Fernando, 2011. "Checking for asymmetric default dependence in a credit card portfolio: A copula approach," Journal of Empirical Finance, Elsevier, vol. 18(4), pages 728-742, September.
    503. Guo, Zi-Yi, 2022. "Risk management of Bitcoin futures with GARCH models," Finance Research Letters, Elsevier, vol. 45(C).
    504. Levent C. Uslu & Burak Evre, 2017. "Liquidity Adjusted Value At Risk: Integrating The Uncertainty In Depth And Tightness," Eurasian Journal of Business and Management, Eurasian Publications, vol. 5(1), pages 55-69.
    505. José Carlos Ramirez Sánchez, 2004. "Usos y limitaciones de los procesos estocásticos en el tratamiento de distribuciones de rendimientos con colas gordas," Revista de Analisis Economico – Economic Analysis Review, Universidad Alberto Hurtado/School of Economics and Business, vol. 19(1), pages 51-76, June.
    506. Bianchi, Michele Leonardo & De Luca, Giovanni & Rivieccio, Giorgia, 2023. "Non-Gaussian models for CoVaR estimation," International Journal of Forecasting, Elsevier, vol. 39(1), pages 391-404.
    507. Asmerilda Hitaj & Cesario Mateus & Ilaria Peri, 2018. "Lambda Value at Risk and Regulatory Capital: A Dynamic Approach to Tail Risk," Risks, MDPI, vol. 6(1), pages 1-18, March.
    508. Murphy, David & Vause, Nicholas, 2021. "A CBA of APC: analysing approaches to procyclicality reduction in CCP initial margin models," Bank of England working papers 950, Bank of England.
    509. Huang, Yirong & Luo, Yi, 2024. "Forecasting conditional volatility based on hybrid GARCH-type models with long memory, regime switching, leverage effect and heavy-tail: Further evidence from equity market," The North American Journal of Economics and Finance, Elsevier, vol. 72(C).
    510. Liu, Xiaochun & Luger, Richard, 2015. "Unfolded GARCH models," Journal of Economic Dynamics and Control, Elsevier, vol. 58(C), pages 186-217.
    511. Chiu, Chien-Liang & Chiang, Shu-Mei & Hung, Jui-Cheng & Chen, Yu-Lung, 2006. "Clearing margin system in the futures markets—Applying the value-at-risk model to Taiwanese data," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 367(C), pages 353-374.
    512. Christophe HURLIN & Sessi TOKPAVI, 2006. "Backtesting VaR Accuracy: A Simple and Powerful Test," LEO Working Papers / DR LEO 268, Orleans Economics Laboratory / Laboratoire d'Economie d'Orleans (LEO), University of Orleans.
    513. GIOT, Pierre & LAURENT, Sébastien, 2003. "Market risk in commodity markets: a VaR approach," LIDAM Reprints CORE 1682, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
    514. Trucíos, Carlos & Hotta, Luiz K. & Valls Pereira, Pedro L., 2019. "On the robustness of the principal volatility components," Journal of Empirical Finance, Elsevier, vol. 52(C), pages 201-219.
    515. Walid Chkili & Shawkat Hammoudeh & Duc Khuong Nguyen, 2014. "Volatility forecasting and risk management for commodity markets in the presence of asymmetry and long memory," Working Papers 2014-389, Department of Research, Ipag Business School.
    516. Chai, Shanglei & Zhou, P., 2018. "The Minimum-CVaR strategy with semi-parametric estimation in carbon market hedging problems," Energy Economics, Elsevier, vol. 76(C), pages 64-75.
    517. Semeyutin, Artur & O’Neill, Robert, 2019. "A brief survey on the choice of parameters for: “Kernel density estimation for time series data”," The North American Journal of Economics and Finance, Elsevier, vol. 50(C).
    518. Leopoldo Catania & Nima Nonejad, 2016. "Density Forecasts and the Leverage Effect: Some Evidence from Observation and Parameter-Driven Volatility Models," Papers 1605.00230, arXiv.org, revised Nov 2016.
    519. Jézabel Couppey-Soubeyran, 2010. "Financial Regulation in the Crisis Regulation, Market Discipline, Internal Control: The Big Three in turmoil," Post-Print hal-00627436, HAL.
    520. Christophe M. Boucher & Bertrand B. Maillet, 2013. "Learning by Failing: A Simple VaR Buffer," Financial Markets, Institutions & Instruments, John Wiley & Sons, vol. 22(2), pages 113-127, May.
    521. Degiannakis, Stavros & Filis, George & Klein, Tony & Walther, Thomas, 2019. "Forecasting Realized Volatility of Agricultural Commodities," MPRA Paper 96267, University Library of Munich, Germany.
    522. Jeremy Berkowitz, 1999. "Evaluating the forecasts of risk models," Finance and Economics Discussion Series 1999-11, Board of Governors of the Federal Reserve System (U.S.).
    523. Peter S. Sephton, 2009. "Fractional integration in agricultural futures price volatilities revisited," Agricultural Economics, International Association of Agricultural Economists, vol. 40(1), pages 103-111, January.
    524. Reza Habibi, 2011. "A Simple Estimate of VAR under Garch Modelling," Ekonomia, Cyprus Economic Society and University of Cyprus, vol. 14(2), pages 127-136, Winter.
    525. Gürtler, Marc & Rauh, Ronald, 2009. "Shortcomings of a parametric VaR approach and nonparametric improvements based on a non-stationary return series model," Working Papers IF32V2, Technische Universität Braunschweig, Institute of Finance.
    526. Stavros Degiannakis & Pamela Dent & Christos Floros, 2014. "A Monte Carlo Simulation Approach to Forecasting Multi-period Value-at-Risk and Expected Shortfall Using the FIGARCH-skT Specification," Manchester School, University of Manchester, vol. 82(1), pages 71-102, January.
    527. Thiele, Stephen, 2019. "Detecting underestimates of risk in VaR models," Journal of Banking & Finance, Elsevier, vol. 101(C), pages 12-20.
    528. Catania, Leopoldo & Luati, Alessandra, 2023. "Semiparametric modeling of multiple quantiles," Journal of Econometrics, Elsevier, vol. 237(2).
    529. Gery Geenens & Richard Dunn, 2017. "A nonparametric copula approach to conditional Value-at-Risk," Papers 1712.05527, arXiv.org, revised Oct 2019.
    530. Mohamed Chikhi & Claude Diebolt & Tapas Mishra, 2019. "Measuring Success: Does Predictive Ability of an Asset Price Rest in 'Memory'? Insights from a New Approach," Working Papers 11-19, Association Française de Cliométrie (AFC).
    531. Rita Pimentel & Morten Risstad & Sjur Westgaard, 2022. "Predicting interest rate distributions using PCA & quantile regression," Digital Finance, Springer, vol. 4(4), pages 291-311, December.
    532. Ergün, A. Tolga & Jun, Jongbyung, 2010. "Time-varying higher-order conditional moments and forecasting intraday VaR and Expected Shortfall," The Quarterly Review of Economics and Finance, Elsevier, vol. 50(3), pages 264-272, August.
    533. Wu, Xinyu & Xia, Michelle & Zhang, Huanming, 2020. "Forecasting VaR using realized EGARCH model with skewness and kurtosis," Finance Research Letters, Elsevier, vol. 32(C).
    534. Fuertes, Ana-Maria & Olmo, Jose, 2013. "Optimally harnessing inter-day and intra-day information for daily value-at-risk prediction," International Journal of Forecasting, Elsevier, vol. 29(1), pages 28-42.
    535. Jian, Zhihong & Li, Xupei & Zhu, Zhican, 2022. "Extreme risk transmission channels between the stock index futures and spot markets: Evidence from China," The North American Journal of Economics and Finance, Elsevier, vol. 59(C).
    536. Ke, Rui & Yang, Luyao & Tan, Changchun, 2022. "Forecasting tail risk for Bitcoin: A dynamic peak over threshold approach," Finance Research Letters, Elsevier, vol. 49(C).
    537. DAVID G. McMILLAN & ALAN E. H. SPEIGHT, 2007. "Value‐at‐Risk in Emerging Equity Markets: Comparative Evidence for Symmetric, Asymmetric, and Long‐Memory GARCH Models," International Review of Finance, International Review of Finance Ltd., vol. 7(1‐2), pages 1-19, March.
    538. Lazar, Emese & Xue, Xiaohan, 2020. "Forecasting risk measures using intraday data in a generalized autoregressive score framework," International Journal of Forecasting, Elsevier, vol. 36(3), pages 1057-1072.
    539. Giacomini, Raffaella & Gottschling, Andreas & Haefke, Christian & White, Halbert, 2007. "Mixtures of t-distributions for Finance and Forecasting," Economics Series 216, Institute for Advanced Studies.
    540. Wentao Hu, 2019. "calculation worst-case Value-at-Risk prediction using empirical data under model uncertainty," Papers 1908.00982, arXiv.org.
    541. Liao, Yin, 2013. "The benefit of modeling jumps in realized volatility for risk prediction: Evidence from Chinese mainland stocks," Pacific-Basin Finance Journal, Elsevier, vol. 23(C), pages 25-48.
    542. Chen, Cathy W.S. & Hsu, Hsiao-Yun & Watanabe, Toshiaki, 2023. "Tail risk forecasting of realized volatility CAViaR models," Finance Research Letters, Elsevier, vol. 51(C).
    543. Wong, Woon K., 2010. "Backtesting value-at-risk based on tail losses," Journal of Empirical Finance, Elsevier, vol. 17(3), pages 526-538, June.
    544. Dennis Frestad & Fred Espen Benth & Steen Koekebakker, 2010. "Modeling Term Structure Dynamics in the Nordic Electricity Swap Market," The Energy Journal, , vol. 31(2), pages 53-86, April.
    545. Eduardo Ramos-Pérez & Pablo J. Alonso-González & José Javier Núñez-Velázquez, 2021. "Multi-Transformer: A New Neural Network-Based Architecture for Forecasting S&P Volatility," Mathematics, MDPI, vol. 9(15), pages 1-18, July.
    546. Wei Kuang, 2021. "Dynamic VaR forecasts using conditional Pearson type IV distribution," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 40(3), pages 500-511, April.
    547. Loffler, Gunter, 2003. "The effects of estimation error on measures of portfolio credit risk," Journal of Banking & Finance, Elsevier, vol. 27(8), pages 1427-1453, August.
    548. Leh-Chyan So & Jun-Yang Yu, 2015. "IMPROVED DETECTION OF RARE-EVENT RISK OF A PORTFOLIO WITH U.S. REITs," Annals of Financial Economics (AFE), World Scientific Publishing Co. Pte. Ltd., vol. 10(02), pages 1-25, December.
    549. Rice, Gregory & Wirjanto, Tony & Zhao, Yuqian, 2020. "Forecasting value at risk with intra-day return curves," International Journal of Forecasting, Elsevier, vol. 36(3), pages 1023-1038.
    550. Ramon Alemany & Catalina Bolancé & Montserrat Guillén, 2012. "Nonparametric estimation of Value-at-Risk," Working Papers XREAP2012-19, Xarxa de Referència en Economia Aplicada (XREAP), revised Oct 2012.
    551. Orla Mccullagh & Mark Cummins & Sheila Killian, 2023. "The Fundamental Review of the Trading Book: Implications for Portfolio and Risk Management in the Banking Sector," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 55(7), pages 1785-1816, October.
    552. Mei-Ling Tang & Trung K. Do, 2019. "In search of robust methods for multi-currency portfolio construction by value at risk," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 26(1), pages 107-126, March.
    553. Zi‐Yi Guo, 2020. "Stochastic multifactor models in risk management of energy futures," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 40(12), pages 1918-1934, December.
    554. Fengler, Matthias R. & Okhrin, Ostap, 2016. "Managing risk with a realized copula parameter," Computational Statistics & Data Analysis, Elsevier, vol. 100(C), pages 131-152.
    555. Timotheos Angelidis & Alexandros Benos, 2008. "Value-at-Risk for Greek Stocks," Multinational Finance Journal, Multinational Finance Journal, vol. 12(1-2), pages 67-104, March-Jun.
    556. Wilson Calmon & Eduardo Ferioli & Davi Lettieri & Johann Soares & Adrian Pizzinga, 2021. "An Extensive Comparison of Some Well‐Established Value at Risk Methods," International Statistical Review, International Statistical Institute, vol. 89(1), pages 148-166, April.
    557. Mawuli Segnon & Mark Trede, 2017. "Forecasting Market Risk of Portfolios: Copula-Markov Switching Multifractal Approach," CQE Working Papers 6617, Center for Quantitative Economics (CQE), University of Muenster.
    558. da Veiga, Bernardo & Chan, Felix & McAleer, Michael, 2008. "Evaluating the impact of market reforms on Value-at-Risk forecasts of Chinese A and B shares," Pacific-Basin Finance Journal, Elsevier, vol. 16(4), pages 453-475, September.
    559. Sarafrazi, Soodabeh & Hammoudeh, Shawkat & AraújoSantos, Paulo, 2014. "Downside risk, portfolio diversification and the financial crisis in the euro-zone," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 32(C), pages 368-396.
    560. Abhinav Anand & Tiantian Li & Tetsuo Kurosaki & Young Shin Kim, 2017. "The equity risk posed by the too-big-to-fail banks: a Foster–Hart estimation," Annals of Operations Research, Springer, vol. 253(1), pages 21-41, June.
    561. Benjamin Beckers & Helmut Herwartz & Moritz Seidel, 2017. "Risk forecasting in (T)GARCH models with uncorrelated dependent innovations," Quantitative Finance, Taylor & Francis Journals, vol. 17(1), pages 121-137, January.
    562. Song, Shijia & Tian, Fei & Li, Handong, 2021. "An intraday-return-based Value-at-Risk model driven by dynamic conditional score with censored generalized Pareto distribution," Journal of Asian Economics, Elsevier, vol. 74(C).
    563. Hotta, Luiz & Trucíos, Carlos, 2015. "Robust bootstrap forecast densities for GARCH models: returns, volatilities and value-at-risk," DES - Working Papers. Statistics and Econometrics. WS ws1523, Universidad Carlos III de Madrid. Departamento de Estadística.
    564. Jacopo Corbetta & Ilaria Peri, 2016. "Backtesting Lambda Value at Risk," Papers 1602.07599, arXiv.org, revised Jun 2017.
    565. Beatriz Vaz de Melo Mendes & Cecília Aíube, 2011. "Copula based models for serial dependence," International Journal of Managerial Finance, Emerald Group Publishing Limited, vol. 7(1), pages 68-82, February.
    566. Hu, Shuowen & Poskitt, D.S. & Zhang, Xibin, 2021. "Bayesian estimation for a semiparametric nonlinear volatility model," Economic Modelling, Elsevier, vol. 98(C), pages 361-370.
    567. Vatis Christian Kemezang & André Ilaire Djou & Ivette Gnitedem Keubeng, 2024. "Measuring market risk with GARCH models under Basel III: selection and application to German firms," SN Business & Economics, Springer, vol. 4(10), pages 1-30, October.
    568. Xing Yan & Weizhong Zhang & Lin Ma & Wei Liu & Qi Wu, 2020. "Parsimonious Quantile Regression of Financial Asset Tail Dynamics via Sequential Learning," Papers 2010.08263, arXiv.org.
    569. Ibrahim, Omar, 2019. "Modelling Risk on the Egyptian Stock Market: Evidence from a Markov-Regime Switching GARCH Process," MPRA Paper 98091, University Library of Munich, Germany.
    570. Edimilson Costa Lucas & Wesley Mendes Da Silva & Gustavo Silva Araujo, 2017. "Does Extreme Rainfall Lead to Heavy Economic Losses in the Food Industry?," Working Papers Series 462, Central Bank of Brazil, Research Department.
    571. David E. Allen & Michael McAleer & Abhay K. Singh, 2014. "Risk Measurement and Risk Modelling using Applications of Vine Copulas," Tinbergen Institute Discussion Papers 14-054/III, Tinbergen Institute.
    572. Demers, Jean-Guy, 2009. "Multiple zone power forwards: A value at risk framework," Energy Economics, Elsevier, vol. 31(5), pages 714-726, September.
    573. Zhou, Jian, 2014. "Modeling conditional covariance for mixed-asset portfolios," Economic Modelling, Elsevier, vol. 40(C), pages 242-249.
    574. Yiing Fei Tan & Kok Haur Ng & You Beng Koh & Shelton Peiris, 2022. "Modelling Trade Durations Using Dynamic Logarithmic Component ACD Model with Extended Generalised Inverse Gaussian Distribution," Mathematics, MDPI, vol. 10(10), pages 1-20, May.
    575. Diewald, Laszlo & Prokopczuk, Marcel & Wese Simen, Chardin, 2015. "Time-variations in commodity price jumps," Journal of Empirical Finance, Elsevier, vol. 31(C), pages 72-84.
    576. Michele Leonardo Bianchi & Giovanni De Luca & Giorgia Rivieccio, 2020. "CoVaR with volatility clustering, heavy tails and non-linear dependence," Papers 2009.10764, arXiv.org.
    577. Geenens, Gery & Dunn, Richard, 2022. "A nonparametric copula approach to conditional Value-at-Risk," Econometrics and Statistics, Elsevier, vol. 21(C), pages 19-37.
    578. Shay Kee Tan & Kok Haur Ng & Jennifer So-Kuen Chan, 2022. "Predicting Returns, Volatilities and Correlations of Stock Indices Using Multivariate Conditional Autoregressive Range and Return Models," Mathematics, MDPI, vol. 11(1), pages 1-24, December.
    579. Mohamed Chikhi & Claude Diebolt & Tapas Mishra, 2019. "Memory that Drives! New Insights into Forecasting Performance of Stock Prices from SEMIFARMA-AEGAS Model," Working Papers of BETA 2019-24, Bureau d'Economie Théorique et Appliquée, UDS, Strasbourg.
    580. Theo Berger & Christina Uffmann, 2021. "Assessing liquidity‐adjusted risk forecasts," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 40(7), pages 1179-1189, November.
    581. Onour, Ibrahim, 2009. "Extreme Risk and Fat-tails Distribution Model:Empirical Analysis," MPRA Paper 17736, University Library of Munich, Germany, revised 20 Sep 2009.
    582. Kim, Young Shin & Rachev, Svetlozar T. & Bianchi, Michele Leonardo & Mitov, Ivan & Fabozzi, Frank J., 2011. "Time series analysis for financial market meltdowns," Journal of Banking & Finance, Elsevier, vol. 35(8), pages 1879-1891, August.
    583. Deniz Erer, 2023. "The Impact of News Related Covid-19 on Exchange Rate Volatility:A New Evidence From Generalized Autoregressive Score Model," EKOIST Journal of Econometrics and Statistics, Istanbul University, Faculty of Economics, vol. 0(38), pages 105-126, June.
    584. Wang, Keli & Liu, Xiaoquan & Ye, Wuyi, 2023. "Intraday VaR: A copula-based approach," Journal of Empirical Finance, Elsevier, vol. 74(C).
    585. Paul H. Kupiec & James M. O'Brien, 1997. "The pre-commitment approach: using incentives to set market risk capital requirements," Finance and Economics Discussion Series 1997-14, Board of Governors of the Federal Reserve System (U.S.).
    586. Tafakori, Laleh & Pourkhanali, Armin & Fard, Farzad Alavi, 2018. "Forecasting spikes in electricity return innovations," Energy, Elsevier, vol. 150(C), pages 508-526.
    587. Joanna Bruzda, 2020. "Multistep quantile forecasts for supply chain and logistics operations: bootstrapping, the GARCH model and quantile regression based approaches," Central European Journal of Operations Research, Springer;Slovak Society for Operations Research;Hungarian Operational Research Society;Czech Society for Operations Research;Österr. Gesellschaft für Operations Research (ÖGOR);Slovenian Society Informatika - Section for Operational Research;Croatian Operational Research Society, vol. 28(1), pages 309-336, March.
    588. Cui, Zhenyu & Kirkby, J. Lars & Nguyen, Duy, 2021. "A data-driven framework for consistent financial valuation and risk measurement," European Journal of Operational Research, Elsevier, vol. 289(1), pages 381-398.
    589. Liu, Shouwei & Tse, Yiu-Kuen, 2015. "Intraday Value-at-Risk: An asymmetric autoregressive conditional duration approach," Journal of Econometrics, Elsevier, vol. 189(2), pages 437-446.
    590. Lu-Tao Zhao & Li-Na Liu & Zi-Jie Wang & Ling-Yun He, 2019. "Forecasting Oil Price Volatility in the Era of Big Data: A Text Mining for VaR Approach," Sustainability, MDPI, vol. 11(14), pages 1-20, July.
    591. Jones, David & Mingo, John, 1999. "Credit risk modeling and internal capital allocation processes: implications for a models-based regulatory bank capital standard," Journal of Economics and Business, Elsevier, vol. 51(2), pages 79-108, March.
    592. Choi, Pilsun & Nam, Kiseok, 2008. "Asymmetric and leptokurtic distribution for heteroscedastic asset returns: The SU-normal distribution," Journal of Empirical Finance, Elsevier, vol. 15(1), pages 41-63, January.
    593. Pavol Krasnovský, 2015. "Estimating the Value-at-Risk from High-frequency Data," European Financial and Accounting Journal, Prague University of Economics and Business, vol. 2015(2), pages 5-11.
    594. Huang, Zhuo & Liang, Fang & Wang, Tianyi & Li, Chao, 2021. "Modeling dynamic higher moments of crude oil futures," Finance Research Letters, Elsevier, vol. 39(C).
    595. Abdul Hakim, 2009. "Forcasting portofolio value-at-risk for international stocks, bonds, and foreign exchange emerging market evidence," Economic Journal of Emerging Markets, Universitas Islam Indonesia, vol. 1(1), pages 13-26, April.
    596. Halkos, George & Tsirivis, Apostolos, 2019. "Using Value-at-Risk for effective energy portfolio risk management," MPRA Paper 91674, University Library of Munich, Germany.
    597. Lu, Chiuling & Wu, Sheng-Ching & Ho, Lan-Chih, 2009. "Applying VaR to REITs: A comparison of alternative methods," Review of Financial Economics, Elsevier, vol. 18(2), pages 97-102, April.
    598. Sonia Benito & Carmen López-Martín & Mª Ángeles Navarro, 2023. "Assessing the importance of the choice threshold in quantifying market risk under the POT approach (EVT)," Risk Management, Palgrave Macmillan, vol. 25(1), pages 1-31, March.
    599. Bakshi, Gurdip & Panayotov, George, 2010. "First-passage probability, jump models, and intra-horizon risk," Journal of Financial Economics, Elsevier, vol. 95(1), pages 20-40, January.
    600. Bayer, Sebastian, 2018. "Combining Value-at-Risk forecasts using penalized quantile regressions," Econometrics and Statistics, Elsevier, vol. 8(C), pages 56-77.
    601. de Jesús, Raúl & Ortiz, Edgar & Cabello, Alejandra, 2013. "Long run peso/dollar exchange rates and extreme value behavior: Value at Risk modeling," The North American Journal of Economics and Finance, Elsevier, vol. 24(C), pages 139-152.
    602. Fantazzini, Dean & Zimin, Stephan, 2019. "A multivariate approach for the simultaneous modelling of market risk and credit risk for cryptocurrencies," MPRA Paper 95988, University Library of Munich, Germany.
    603. Minhyuk Jeong & Kwangwon Ahn, 2024. "Modeling the tail risk of crude oil futures using a quantum approach," Palgrave Communications, Palgrave Macmillan, vol. 11(1), pages 1-10, December.
    604. Juan Ignacio Pe~na & Rosa Rodriguez & Silvia Mayoral, 2022. "Tail Risk of Electricity Futures," Papers 2202.01732, arXiv.org.
    605. Felipe de Oliveira & Sinézio Fernandes Maia, 2017. "Volatility Forecasting before the Subprime Crisis," EcoMod2017 10376, EcoMod.
    606. Díaz, Antonio & Esparcia, Carlos & Huélamo, Diego, 2023. "Unveiling the diversification capabilities of carbon markets in NFT portfolios," Finance Research Letters, Elsevier, vol. 58(PD).
    607. Marcelo Brutti Righi & Paulo Sergio Ceretta, 2013. "Pair Copula Construction based Expected Shortfall estimation," Economics Bulletin, AccessEcon, vol. 33(2), pages 1067-1072.
    608. Nico Herrig, 2025. "Risk forecasting using Long Short-Term Memory Mixture Density Networks," Papers 2501.01278, arXiv.org.
    609. Bernardi, Mauro & Maruotti, Antonello & Petrella, Lea, 2017. "Multiple risk measures for multivariate dynamic heavy–tailed models," Journal of Empirical Finance, Elsevier, vol. 43(C), pages 1-32.
    610. Juan, He & Xianglin, Jiang & Jian, Wang & Daoli, Zhu & Lei, Zhen, 2012. "VaR methods for the dynamic impawn rate of steel in inventory financing under autocorrelative return," European Journal of Operational Research, Elsevier, vol. 223(1), pages 106-115.
    611. Till Barz & Andreas Nastansky, 2024. "Herausforderungen des finanziellen Risikomanagements: Eine empirische Untersuchung des Value at Risk-Ansatzes in Stresssituationen," Statistische Diskussionsbeiträge 57, Universität Potsdam, Wirtschafts- und Sozialwissenschaftliche Fakultät.
    612. Diamandis, Panayiotis F. & Drakos, Anastassios A. & Kouretas, Georgios P. & Zarangas, Leonidas, 2011. "Value-at-risk for long and short trading positions: Evidence from developed and emerging equity markets," International Review of Financial Analysis, Elsevier, vol. 20(3), pages 165-176, June.
    613. Eduardo Ramos-P'erez & Pablo J. Alonso-Gonz'alez & Jos'e Javier N'u~nez-Vel'azquez, 2020. "Stochastic reserving with a stacked model based on a hybridized Artificial Neural Network," Papers 2008.07564, arXiv.org.
    614. Vincenzo Candila & Giampiero M. Gallo & Lea Petrella, 2020. "Mixed--frequency quantile regressions to forecast Value--at--Risk and Expected Shortfall," Papers 2011.00552, arXiv.org, revised Mar 2023.
    615. Cathy W. S. Chen & Mike K. P. So & Edward M. H. Lin, 2009. "Volatility forecasting with double Markov switching GARCH models," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 28(8), pages 681-697.
    616. Lin, Chu-Hsiung & Changchien, Chang-Cheng & Kao, Tzu-Chuan & Kao, Wei-Shun, 2014. "High-order moments and extreme value approach for value-at-risk," Journal of Empirical Finance, Elsevier, vol. 29(C), pages 421-434.
    617. F. Lilla, 2017. "High Frequency vs. Daily Resolution: the Economic Value of Forecasting Volatility Models - 2nd ed," Working Papers wp1099, Dipartimento Scienze Economiche, Universita' di Bologna.
    618. Biswajit Patra & Puja Padhi, 2015. "Backtesting of Value at Risk Methodology: Analysis of Banking Shares in India," Margin: The Journal of Applied Economic Research, National Council of Applied Economic Research, vol. 9(3), pages 254-277, August.
    619. Samet Günay, 2017. "Value at risk (VaR) analysis for fat tails and long memory in returns," Eurasian Economic Review, Springer;Eurasia Business and Economics Society, vol. 7(2), pages 215-230, August.
    620. Sirr, Gordon & Garvey, John & Gallagher, Liam, 2011. "Emerging markets and portfolio foreign exchange risk: An empirical investigation using a value-at-risk decomposition technique," Journal of International Money and Finance, Elsevier, vol. 30(8), pages 1749-1772.
    621. esposito, francesco paolo & cummins, mark, 2015. "Multiple hypothesis testing of market risk forecasting models," MPRA Paper 64986, University Library of Munich, Germany.
    622. Bagher Adabi & Mohsen Mehrara & Shapour Mohammadi, 2015. "Evaluation Approaches of Value at Risk for Tehran Stock Exchange," Iranian Economic Review (IER), Faculty of Economics,University of Tehran.Tehran,Iran, vol. 19(1), pages 41-62, Winter.
    623. de Araújo, André da Silva & Garcia, Maria Teresa Medeiros, 2013. "Risk contagion in the north-western and southern European stock markets," Journal of Economics and Business, Elsevier, vol. 69(C), pages 1-34.
    624. Roberto Baviera & Giuseppe Messuti, 2020. "Daily Middle-Term Probabilistic Forecasting of Power Consumption in North-East England," Papers 2005.13005, arXiv.org, revised Oct 2020.
    625. Wang, Qin & Li, Xianhua, 2024. "Copula-MIDAS-TRV model for risk spillover analysis − Evidence from the Chinese stock market," The North American Journal of Economics and Finance, Elsevier, vol. 74(C).
    626. Quanrui Song & Jianxu Liu & Songsak Sriboonchitta, 2019. "Risk Measurement of Stock Markets in BRICS, G7, and G20: Vine Copulas versus Factor Copulas," Mathematics, MDPI, vol. 7(3), pages 1-16, March.
    627. Tu, Anthony H. & Chen, Cathy Yi-Hsuan, 2018. "A factor-based approach of bond portfolio value-at-risk: The informational roles of macroeconomic and financial stress factors," Journal of Empirical Finance, Elsevier, vol. 45(C), pages 243-268.
    628. Juan Carlos Escanciano & Pei Pei, 2012. "Pitfalls in Backtesting Historical Simulation VaR Models," CAEPR Working Papers 2012-003, Center for Applied Economics and Policy Research, Department of Economics, Indiana University Bloomington.
    629. Kim, Minjo & Lee, Sangyeol, 2016. "Nonlinear expectile regression with application to Value-at-Risk and expected shortfall estimation," Computational Statistics & Data Analysis, Elsevier, vol. 94(C), pages 1-19.
    630. Minheng Xiao, 2022. "Data-Driven Risk Measurement by SV-GARCH-EVT Model," Papers 2201.09434, arXiv.org, revised Dec 2024.
    631. Frantiv{s}ek v{C}ech & Jozef Barun'ik, 2018. "Panel quantile regressions for estimating and predicting the Value--at--Risk of commodities," Papers 1807.11823, arXiv.org.
    632. Gao, Chun-Ting & Zhou, Xiao-Hua, 2016. "Forecasting VaR and ES using dynamic conditional score models and skew Student distribution," Economic Modelling, Elsevier, vol. 53(C), pages 216-223.
    633. Pasieczna Aleksandra Helena, 2019. "Monte Carlo Simulation Approach to Calculate Value at Risk: Application to WIG20 and MWIG40," Financial Sciences. Nauki o Finansach, Sciendo, vol. 24(2), pages 61-75, June.
    634. Vasiliki D. Skintzi & Spyros Xanthopoulos-Sisinis, 2007. "Evaluation of correlation forecasting models for risk management," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 26(7), pages 497-526.
    635. Ortas, E. & Salvador, M. & Moneva, J.M., 2015. "Improved beta modeling and forecasting: An unobserved component approach with conditional heteroscedastic disturbances," The North American Journal of Economics and Finance, Elsevier, vol. 31(C), pages 27-51.
    636. Chunyang Zhou & Xiao Qin & Xundi Diao & Yingchen He, 2016. "Estimating multi-period Value at Risk of oil futures prices," Applied Economics, Taylor & Francis Journals, vol. 48(32), pages 2994-3004, July.
    637. Po-Cheng Wu & Cheng-Kun Kuo & Chih-Wei Lee, 2012. "Evaluation Of Multi-Asset Value At Risk: Evidence From Taiwan," Global Journal of Business Research, The Institute for Business and Finance Research, vol. 6(4), pages 23-34.
    638. Ellis, Scott & Sharma, Satish & Brzeszczyński, Janusz, 2022. "Systemic risk measures and regulatory challenges," Journal of Financial Stability, Elsevier, vol. 61(C).
    639. Xin Wang, 2017. "Online Kernel estimation of stationary stochastic diffusion models," Quantitative Finance, Taylor & Francis Journals, vol. 17(7), pages 1089-1103, July.
    640. Huang, Jiefei & Xu, Yang & Song, Yuping, 2022. "A high-frequency approach to VaR measures and forecasts based on the HAR-QREG model with jumps," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 608(P1).
    641. Kratz, Marie & Lok, Y-H & McNeil, Alexander J., 2016. "Multinomial VaR Backtests: A simple implicit approach to backtesting expected shortfall," ESSEC Working Papers WP1617, ESSEC Research Center, ESSEC Business School.
    642. Tan, Kok-Hui & Chan, Inn-Leng, 2003. "Stress testing using VaR approach--a case for Asian currencies," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 13(1), pages 39-55, February.
    643. Zhi-Fu Mi & Yi-Ming Wei & Bao-Jun Tang & Rong-Gang Cong & Hao Yu & Hong Cao & Dabo Guan, 2017. "Risk assessment of oil price from static and dynamic modelling approaches," CEEP-BIT Working Papers 102, Center for Energy and Environmental Policy Research (CEEP), Beijing Institute of Technology.
    644. Montero, José-María & Naimy, Viviane & Farraj, Nermeen Abi & El Khoury, Rim, 2024. "Natural disasters, stock price volatility in the property-liability insurance market and sustainability: An unexplored link," Socio-Economic Planning Sciences, Elsevier, vol. 91(C).
    645. Wang, Xinya & Lucey, Brian & Huang, Shupei, 2022. "Can gold hedge against oil price movements: Evidence from GARCH-EVT wavelet modeling," Journal of Commodity Markets, Elsevier, vol. 27(C).
    646. Chen, Xiaohong & Huang, Zhuo & Yi, Yanping, 2021. "Efficient estimation of multivariate semi-nonparametric GARCH filtered copula models," Journal of Econometrics, Elsevier, vol. 222(1), pages 484-501.
    647. Ryohei Kawata & Masaaki Kijima, 2007. "Value-at-risk in a market subject to regime switching," Quantitative Finance, Taylor & Francis Journals, vol. 7(6), pages 609-619.
    648. Eduardo F. L. de Melo & Beatriz Vaz de Melo Mendes, 2009. "Local Estimation of Copula Based Value-at-Risk," Brazilian Review of Finance, Brazilian Society of Finance, vol. 7(1), pages 29-50.
    649. Timmy Elenjical & Patrick Mwangi & Barry Panulo & Chun-Sung Huang, 2016. "A comparative cross-regime analysis on the performance of GARCH-based value-at-risk models: Evidence from the Johannesburg stock exchange," Risk Management, Palgrave Macmillan, vol. 18(2), pages 89-110, August.
    650. Dimos S. Kambouroudis & David G. McMillan & Katerina Tsakou, 2021. "Forecasting realized volatility: The role of implied volatility, leverage effect, overnight returns, and volatility of realized volatility," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 41(10), pages 1618-1639, October.
    651. Liu, Tengdong & Hammoudeh, Shawkat & Santos, Paulo Araújo, 2014. "Downside risk and portfolio diversification in the euro-zone equity markets with special consideration of the crisis period," Journal of International Money and Finance, Elsevier, vol. 44(C), pages 47-68.
    652. Du, Limin & He, Yanan, 2015. "Extreme risk spillovers between crude oil and stock markets," Energy Economics, Elsevier, vol. 51(C), pages 455-465.
    653. Shiferaw, Y., 2018. "The Bayesian MS-GARCH model and Value-at-Risk in South African agricultural commodity price markets," 2018 Conference, July 28-August 2, 2018, Vancouver, British Columbia 275991, International Association of Agricultural Economists.
    654. Nico Katzke & Chris Garbers, 2015. "Do Long Memory and Asymmetries Matter When Assessing Downside Return Risk?," Working Papers 06/2015, Stellenbosch University, Department of Economics.
    655. Daniel Velásquez-Gaviria & Andrés Mora-Valencia & Javier Perote, 2020. "A Comparison of the Risk Quantification in Traditional and Renewable Energy Markets," Energies, MDPI, vol. 13(11), pages 1-42, June.
    656. Carol Alexander & Emese Lazar & Silvia Stanescu, 2011. "Analytic Approximations to GARCH Aggregated Returns Distributions with Applications to VaR and ETL," ICMA Centre Discussion Papers in Finance icma-dp2011-08, Henley Business School, University of Reading.
    657. Marc Hallin & Carlos Trucíos, 2020. "Forecasting Value-at-Risk and Expected Shortfall in Large Portfolios: a General Dynamic Factor Approach," Working Papers ECARES 2020-50, ULB -- Universite Libre de Bruxelles.
    658. Gürtler, Marc & Rauh, Ronald, 2013. "Empirical studies in a multivariate non-stationary, nonparametric regression model for financial returns," Working Papers IF43V1, Technische Universität Braunschweig, Institute of Finance.
    659. Mehmet Sahiner & David G. McMillan & Dimos Kambouroudis, 2023. "Do artificial neural networks provide improved volatility forecasts: Evidence from Asian markets," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 47(3), pages 723-762, September.
    660. Rafal Weron & Florian Ziel, 2018. "Electricity price forecasting," HSC Research Reports HSC/18/08, Hugo Steinhaus Center, Wroclaw University of Science and Technology.
    661. Huang, Dashan & Yu, Baimin & Fabozzi, Frank J. & Fukushima, Masao, 2009. "CAViaR-based forecast for oil price risk," Energy Economics, Elsevier, vol. 31(4), pages 511-518, July.
    662. d’Addona, Stefano & Khanom, Najrin, 2022. "Estimating tail-risk using semiparametric conditional variance with an application to meme stocks," International Review of Economics & Finance, Elsevier, vol. 82(C), pages 241-260.
    663. Vijverberg, Chu-Ping C. & Vijverberg, Wim P.M. & Taşpınar, Süleyman, 2016. "Linking Tukey’s legacy to financial risk measurement," Computational Statistics & Data Analysis, Elsevier, vol. 100(C), pages 595-615.
    664. Li, Dan & Clements, Adam & Drovandi, Christopher, 2023. "A Bayesian approach for more reliable tail risk forecasts," Journal of Financial Stability, Elsevier, vol. 64(C).
    665. Jackson, Patricia & Perraudin, William, 2000. "Regulatory implications of credit risk modelling," Journal of Banking & Finance, Elsevier, vol. 24(1-2), pages 1-14, January.
    666. Claudio Borio & Craig Furfine & Philip Lowe, 2001. "Procyclicality of the financial system and financial stability: issues and policy options," BIS Papers chapters, in: Bank for International Settlements (ed.), Marrying the macro- and micro-prudential dimensions of financial stability, volume 1, pages 1-57, Bank for International Settlements.
    667. Ahmed, Hanan, 2022. "Extreme value statistics using related variables," Other publications TiSEM 246f0f13-701c-4c0d-8e09-e, Tilburg University, School of Economics and Management.
    668. Ojea Ferreiro, Javier, 2019. "Disentangling the role of the exchange rate in oil-related scenarios for the European stock market," Working Paper Series 2296, European Central Bank.
    669. León, Ángel & Ñíguez, Trino-Manuel, 2020. "Modeling asset returns under time-varying semi-nonparametric distributions," Journal of Banking & Finance, Elsevier, vol. 118(C).
    670. Wei, Yu & Chen, Wang & Lin, Yu, 2013. "Measuring daily Value-at-Risk of SSEC index: A new approach based on multifractal analysis and extreme value theory," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 392(9), pages 2163-2174.
    671. Farhat Iqbal, 2013. "Robust estimation of the simplified multivariate GARCH model," Empirical Economics, Springer, vol. 44(3), pages 1353-1372, June.
    672. Jung-Bin Su, 2014. "How to mitigate the impact of inappropriate distributional settings when the parametric value-at-risk approach is used," Quantitative Finance, Taylor & Francis Journals, vol. 14(2), pages 305-325, February.
    673. Zi-Yi Guo & Yangxiaoteng Luo, 2017. "Dynamic Stochastic Factors, Risk Management and the Energy Futures," International Business Research, Canadian Center of Science and Education, vol. 10(9), pages 50-59, September.
    674. Arupratan Daripa & Simone Varotto, 1997. "Agency Incentives and Reputational Distortions: a Comparison of the Effectiveness of Value-at-Risk and Pre-commitment in Regulating Market Risk," Bank of England working papers 69, Bank of England.
    675. Ghorbel, Ahmed & Trabelsi, Abdelwahed, 2007. "Predictive Performance of Conditional Extreme Value Theory and Conventional Methods in Value at Risk Estimation," MPRA Paper 3963, University Library of Munich, Germany.
    676. Walid Chkili & Shawkat Hammoudeh & Duc Khuong Nguyen, 2013. "Long memory and asymmetry in the volatility of commodity markets and Basel Accord: choosing between models," Working Papers 2013-9, Department of Research, Ipag Business School.
    677. Assaf, Ata, 2015. "Value-at-Risk analysis in the MENA equity markets: Fat tails and conditional asymmetries in return distributions," Journal of Multinational Financial Management, Elsevier, vol. 29(C), pages 30-45.
    678. Kratz, Marie & Lok, Yen H. & McNeil, Alexander J., 2018. "Multinomial VaR backtests: A simple implicit approach to backtesting expected shortfall," Journal of Banking & Finance, Elsevier, vol. 88(C), pages 393-407.
    679. Trucíos, Carlos, 2019. "Forecasting Bitcoin risk measures: A robust approach," International Journal of Forecasting, Elsevier, vol. 35(3), pages 836-847.
    680. Denisa Georgiana Banulescu & Gilbert Colletaz & Christophe Hurlin & Sessi Tokpavi, 2013. "High-Frequency Risk Measures," Working Papers halshs-00859456, HAL.
    681. Nandita Bhattacharjee & Ambika Prasad Pati, 2023. "Exploring Systemic Risk Measurement Issues in Shadow Banks: A Case of an Emerging Economy," South Asian Journal of Macroeconomics and Public Finance, , vol. 12(2), pages 186-217, December.
    682. Chuang, I-Yuan & Chiu, Yen-Chen & Edward Wang, C., 2008. "The performance of Asian airlines in the recent financial turmoil based on VaR and modified Sharpe ratio," Journal of Air Transport Management, Elsevier, vol. 14(5), pages 257-262.
    683. Cathy W. S. Chen & Edward M. H. Lin & Tara F. J. Huang, 2022. "Bayesian quantile forecasting via the realized hysteretic GARCH model," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 41(7), pages 1317-1337, November.
    684. Bogdan, Dima & Ştefana Maria, Dima & Roxana, Ioan, 2022. "A Value-at-Risk forecastability indicator in the framework of a Generalized Autoregressive Score with “Asymmetric Laplace Distribution”," Finance Research Letters, Elsevier, vol. 45(C).
    685. Pilar Abad & Sonia Benito, 2006. "Valor en Riesgo en carteras de renta fija: una comparación entre modelos empíricos de la estructura temporal," Documentos de Trabajo del ICAE 0604, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
    686. Alkathery, Mohammed A. & Chaudhuri, Kausik & Nasir, Muhammad Ali, 2022. "Implications of clean energy, oil and emissions pricing for the GCC energy sector stock," Energy Economics, Elsevier, vol. 112(C).
    687. Liu, Qingfu & An, Yunbi, 2014. "Risk contributions of trading and non-trading hours: Evidence from Chinese commodity futures markets," Pacific-Basin Finance Journal, Elsevier, vol. 30(C), pages 17-29.
    688. Liu, Wei & Semeyutin, Artur & Lau, Chi Keung Marco & Gozgor, Giray, 2020. "Forecasting Value-at-Risk of Cryptocurrencies with RiskMetrics type models," Research in International Business and Finance, Elsevier, vol. 54(C).
    689. Canan G. Corlu & Alper Corlu, 2015. "Modelling exchange rate returns: which flexible distribution to use?," Quantitative Finance, Taylor & Francis Journals, vol. 15(11), pages 1851-1864, November.
    690. Wang, Cheng & Bouri, Elie & Xu, Yahua & Zhang, Dingsheng, 2023. "Intraday and overnight tail risks and return predictability in the crude oil market: Evidence from oil-related regular news and extreme shocks," Energy Economics, Elsevier, vol. 127(PB).
    691. Chui-Chun Tsai & Tsun-Siou Lee, 2017. "Liquidity-Adjusted Value-at-Risk for TWSE Leverage/ Inverse ETFs: A Hellinger Distance Measure Research," Journal of Economics and Management, College of Business, Feng Chia University, Taiwan, vol. 13(1), pages 53-81, February.
    692. Liu, Xiaochun, 2017. "An integrated macro-financial risk-based approach to the stressed capital requirement," Review of Financial Economics, Elsevier, vol. 34(C), pages 86-98.
    693. Zhu, Zhoufan & Zhang, Ningning & Zhu, Ke, 2024. "Big portfolio selection by graph-based conditional moments method," Journal of Empirical Finance, Elsevier, vol. 78(C).
    694. Zhang, Bangzheng & Wei, Yu & Yu, Jiang & Lai, Xiaodong & Peng, Zhenfeng, 2014. "Forecasting VaR and ES of stock index portfolio: A Vine copula method," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 416(C), pages 112-124.
    695. Puneet Prakash & Vikas Sangwan & Kewal Singh, 2021. "Transformational Approach to Analytical Value-at-Risk for near Normal Distributions," JRFM, MDPI, vol. 14(2), pages 1-19, January.
    696. de Oliveira Souza, Thiago, 2024. "Model risk pricing and hedging," MPRA Paper 121827, University Library of Munich, Germany.
    697. Tomlinson, Matthew F. & Greenwood, David & Mucha-Kruczyński, Marcin, 2024. "2T-POT Hawkes model for left- and right-tail conditional quantile forecasts of financial log returns: Out-of-sample comparison of conditional EVT models," International Journal of Forecasting, Elsevier, vol. 40(1), pages 324-347.
    698. Lyu, Yongjian & Qin, Fanshu & Ke, Rui & Wei, Yu & Kong, Mengzhen, 2024. "Does mixed frequency variables help to forecast value at risk in the crude oil market?," Resources Policy, Elsevier, vol. 88(C).
    699. Xiaohong Chen & Zhuo Huang & Yanping Yi, 2019. "Efficient Estimation of Multivariate Semi-nonparametric GARCH Filtered Copula Models," Cowles Foundation Discussion Papers 2215, Cowles Foundation for Research in Economics, Yale University.
    700. Murphy, David & Vasios, Michalis & Vause, Nick, 2014. "Financial Stability Paper No 29: An investigation into the procyclicality of risk-based initial margin models," Bank of England Financial Stability Papers 29, Bank of England.
    701. Mashlakov, Aleksei & Kuronen, Toni & Lensu, Lasse & Kaarna, Arto & Honkapuro, Samuli, 2021. "Assessing the performance of deep learning models for multivariate probabilistic energy forecasting," Applied Energy, Elsevier, vol. 285(C).
    702. Nieto, Maria Rosa & Ruiz, Esther, 2016. "Frontiers in VaR forecasting and backtesting," International Journal of Forecasting, Elsevier, vol. 32(2), pages 475-501.
    703. Zhang, Zijing & Zhang, Hong-Kun, 2016. "The dynamics of precious metal markets VaR: A GARCHEVT approach," Journal of Commodity Markets, Elsevier, vol. 4(1), pages 14-27.
    704. Mabrouk, Samir & Saadi, Samir, 2012. "Parametric Value-at-Risk analysis: Evidence from stock indices," The Quarterly Review of Economics and Finance, Elsevier, vol. 52(3), pages 305-321.
    705. Liu, Ruipeng & Lux, Thomas, 2010. "Flexible and robust modelling of volatility comovements: a comparison of two multifractal models," Kiel Working Papers 1594, Kiel Institute for the World Economy (IfW Kiel).
    706. León, Ángel & Ñíguez, Trino-Manuel, 2021. "The transformed Gram Charlier distribution: Parametric properties and financial risk applications," Journal of Empirical Finance, Elsevier, vol. 63(C), pages 323-349.
    707. Carlos A. Abanto-Valle & Gabriel Rodríguez & Luis M. Castro Cepero & Hernán B. Garrafa-Aragón, 2024. "Approximate Bayesian Estimation of Stochastic Volatility in Mean Models Using Hidden Markov Models: Empirical Evidence from Emerging and Developed Markets," Computational Economics, Springer;Society for Computational Economics, vol. 64(3), pages 1775-1801, September.
    708. Trino-Manuel Ñíguez & Javier Perote, 2012. "Forecasting Heavy-Tailed Densities with Positive Edgeworth and Gram-Charlier Expansions," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 74(4), pages 600-627, August.
    709. Dilip Kumar, 2016. "Estimating and forecasting value-at-risk using the unbiased extreme value volatility estimator," Proceedings of Economics and Finance Conferences 3205528, International Institute of Social and Economic Sciences.
    710. Kim, Jun Sik & Ryu, Doojin, 2015. "Are the KOSPI 200 implied volatilities useful in value-at-risk models?," Emerging Markets Review, Elsevier, vol. 22(C), pages 43-64.
    711. Max van der Lecq & Gary van Vuuren, 2024. "Estimating Value at Risk and Expected Shortfall: A Kalman Filter Approach," International Journal of Economics and Financial Issues, Econjournals, vol. 14(1), pages 1-14, January.
    712. Fajardo, J. & Farias, A. R. & Ornelas, J. R. H., 2003. "Analyzing the Use of Generalized Hyperbolic Distributions to Value at Risk Calculations," Finance Lab Working Papers flwp_58, Finance Lab, Insper Instituto de Ensino e Pesquisa.
    713. Georges Dionne & Amir Saissi Hassani, 2015. "Endogenous Hidden Markov Regimes in Operational Loss Data: Application to the Recent Financial Crisis," Cahiers de recherche 1516, CIRPEE.
    714. Mesut BALLIBEY & Serpil T RKYILMAZ, 2014. "Value-at-Risk Analysis in the Presence of Asymmetry and Long Memory: The Case of Turkish Stock Market," International Journal of Economics and Financial Issues, Econjournals, vol. 4(4), pages 836-848.
    715. T. Bazhenov & D. Fantazzini, 2019. "Forecasting Realized Volatility of Russian stocks using Google Trends and Implied Volatility," Russian Journal of Industrial Economics, MISIS, vol. 12(1).
    716. He, Kaijian & Liu, Youjin & Yu, Lean & Lai, Kin Keung, 2016. "Multiscale dependence analysis and portfolio risk modeling for precious metal markets," Resources Policy, Elsevier, vol. 50(C), pages 224-233.
    717. Chang, Kuang-Liang, 2010. "House price dynamics, conditional higher-order moments, and density forecasts," Economic Modelling, Elsevier, vol. 27(5), pages 1029-1039, September.
    718. Josu Arteche & Javier García‐Enríquez, 2022. "Singular spectrum analysis for value at risk in stochastic volatility models," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 41(1), pages 3-16, January.
    719. J. S. Butler & Barry Schachter, 1996. "Improving Value-At-Risk Estimates By Combining Kernel Estimation With Historical Simulation," Finance 9605001, University Library of Munich, Germany.
    720. Elena-Ivona Dumitrescu & Christophe Hurlin & Vinson Pham, 2012. "Backtesting Value-at-Risk: From Dynamic Quantile to Dynamic Binary Tests," Working Papers halshs-00671658, HAL.
    721. James Ming Chen, 2018. "On Exactitude in Financial Regulation: Value-at-Risk, Expected Shortfall, and Expectiles," Risks, MDPI, vol. 6(2), pages 1-28, June.
    722. Manner, Hans & Alavi Fard, Farzad & Pourkhanali, Armin & Tafakori, Laleh, 2019. "Forecasting the joint distribution of Australian electricity prices using dynamic vine copulae," Energy Economics, Elsevier, vol. 78(C), pages 143-164.
    723. Fiszeder, Piotr & Fałdziński, Marcin & Molnár, Peter, 2023. "Modeling and forecasting dynamic conditional correlations with opening, high, low, and closing prices," Journal of Empirical Finance, Elsevier, vol. 70(C), pages 308-321.
    724. 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.
    725. Xu, Qifa & Chen, Lu & Jiang, Cuixia & Yu, Keming, 2020. "Mixed data sampling expectile regression with applications to measuring financial risk," Economic Modelling, Elsevier, vol. 91(C), pages 469-486.
    726. Katarzyna Maciejowska & Bartosz Uniejewski & Rafa{l} Weron, 2022. "Forecasting Electricity Prices," Papers 2204.11735, arXiv.org.
    727. Osvaldo C. Silva Filho & Flavio A. Ziegelmann & Michael J. Dueker, 2014. "Assessing dependence between financial market indexes using conditional time-varying copulas: applications to Value at Risk (VaR)," Quantitative Finance, Taylor & Francis Journals, vol. 14(12), pages 2155-2170, December.
    728. Markus J. Fülle & Helmut Herwartz, 2024. "Predicting tail risks by a Markov switching MGARCH model with varying copula regimes," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 43(6), pages 2163-2186, September.
    729. Richard Gerlach & Chao Wang, 2016. "Forecasting risk via realized GARCH, incorporating the realized range," Quantitative Finance, Taylor & Francis Journals, vol. 16(4), pages 501-511, April.
    730. Anupam Dutta & Debojyoti Das, 2022. "Forecasting realized volatility: New evidence from time‐varying jumps in VIX," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 42(12), pages 2165-2189, December.
    731. Rouetbi Emnal & Mamoghli Chokri, 2014. "Measuring Liquidity Risk in an Emerging Market: Liquidity Adjusted Value at Risk Approach for High Frequency Data," International Journal of Economics and Financial Issues, Econjournals, vol. 4(1), pages 40-53.
    732. Li, Longqing, 2017. "A Comparative Study of GARCH and EVT Model in Modeling Value-at-Risk," MPRA Paper 85645, University Library of Munich, Germany.
    733. Haas Markus, 2010. "Skew-Normal Mixture and Markov-Switching GARCH Processes," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 14(4), pages 1-56, September.
    734. Hallin, Marc & Trucíos, Carlos, 2023. "Forecasting value-at-risk and expected shortfall in large portfolios: A general dynamic factor model approach," Econometrics and Statistics, Elsevier, vol. 27(C), pages 1-15.
    735. Hemei Li & Zhenya Liu & Shixuan Wang, 2022. "Vines climbing higher: Risk management for commodity futures markets using a regular vine copula approach," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 27(2), pages 2438-2457, April.
    736. Mateusz Buczyński & Marcin Chlebus, 2017. "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(," Working Papers 2017-29, Faculty of Economic Sciences, University of Warsaw.
    737. Lyu, Yongjian & Wang, Peng & Wei, Yu & Ke, Rui, 2017. "Forecasting the VaR of crude oil market: Do alternative distributions help?," Energy Economics, Elsevier, vol. 66(C), pages 523-534.
    738. Kóbor, Ádám, 2000. "A feltétel nélküli normalitás egyszerű alternatívái a kockáztatott érték számításában [The simple alternatives of unconditional normality in the calculation of value at risk]," Közgazdasági Szemle (Economic Review - monthly of the Hungarian Academy of Sciences), Közgazdasági Szemle Alapítvány (Economic Review Foundation), vol. 0(11), pages 878-898.
    739. Wai Yan Cheng & Michael Chak Sham Wong & Clement Yuk Pang Wong, 2003. "Market risk management of banks: implications from the accuracy of Value-at-Risk forecasts," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 22(1), pages 23-33.
    740. Wang, Xinyu & Qi, Zikang & Huang, Jianglu, 2023. "How do monetary shock, financial crisis, and quotation reform affect the long memory of exchange rate volatility? Evidence from major currencies," Economic Modelling, Elsevier, vol. 120(C).
    741. Yin Liao, 2012. "Does Modeling Jumps Help? A Comparison of Realized Volatility Models for Risk Prediction," CAMA Working Papers 2012-26, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
    742. Xu, Yan & Wang, Xinyu & Liu, Hening, 2021. "Quantile-based GARCH-MIDAS: Estimating value-at-risk using mixed-frequency information," Finance Research Letters, Elsevier, vol. 43(C).
    743. Samuel N. Cohen & Christoph Reisinger & Sheng Wang, 2022. "Estimating risks of option books using neural-SDE market models," Papers 2202.07148, arXiv.org.
    744. Liu, Hung-Chun & Chiang, Shu-Mei & Cheng, Nick Ying-Pin, 2012. "Forecasting the volatility of S&P depositary receipts using GARCH-type models under intraday range-based and return-based proxy measures," International Review of Economics & Finance, Elsevier, vol. 22(1), pages 78-91.
    745. Jean-Paul Laurent & Hassan Omidi Firouzi, 2022. "Market Risk and Volatility Weighted Historical Simulation After Basel III," Working Papers hal-03679434, HAL.
    746. Fernanda Maria Müller & Marcelo Brutti Righi, 2024. "Comparison of Value at Risk (VaR) Multivariate Forecast Models," Computational Economics, Springer;Society for Computational Economics, vol. 63(1), pages 75-110, January.
    747. Muteba Mwamba, John Weirstrass & Tchuinkam Djemo, Charles Raoul, 2019. "Exchange Rate Risk and International Equity Portfolio Diversification: A South African Investor’s Perspective," MPRA Paper 97338, University Library of Munich, Germany.
    748. Song, Shijia & Li, Handong, 2022. "Predicting VaR for China's stock market: A score-driven model based on normal inverse Gaussian distribution," International Review of Financial Analysis, Elsevier, vol. 82(C).
    749. Fiszeder, Piotr & Fałdziński, Marcin & Molnár, Peter, 2019. "Range-based DCC models for covariance and value-at-risk forecasting," Journal of Empirical Finance, Elsevier, vol. 54(C), pages 58-76.
    750. Qunwei Wang & Xingyu Dai & Dequn Zhou, 2020. "Dynamic Correlation and Risk Contagion Between “Black” Futures in China: A Multi-scale Variational Mode Decomposition Approach," Computational Economics, Springer;Society for Computational Economics, vol. 55(4), pages 1117-1150, April.
    751. Matteo Grigoletto & Francesco Lisi, 2011. "Practical implications of higher moments in risk management," Statistical Methods & Applications, Springer;Società Italiana di Statistica, vol. 20(4), pages 487-506, November.
    752. CORONEO, Laura & VEREDAS, David, 2006. "Intradaily seasonality of returns distribution. A quantile regression approach and intradaily VaR estimation," LIDAM Discussion Papers CORE 2006077, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
    753. Olmo Jose & Pouliot William, 2011. "Early Detection Techniques for Market Risk Failure," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 15(4), pages 1-55, September.
    754. Schaumburg, Julia, 2012. "Predicting extreme value at risk: Nonparametric quantile regression with refinements from extreme value theory," Computational Statistics & Data Analysis, Elsevier, vol. 56(12), pages 4081-4096.
    755. Wang, Tianyi & Liang, Fang & Huang, Zhuo & Yan, Hong, 2022. "Do realized higher moments have information content? - VaR forecasting based on the realized GARCH-RSRK model," Economic Modelling, Elsevier, vol. 109(C).
    756. Syuhada, Khreshna & Hakim, Arief & Suprijanto, Djoko, 2024. "Assessing systemic risk and connectedness among dirty and clean energy markets from the quantile and expectile perspectives," Energy Economics, Elsevier, vol. 129(C).
    757. Fung, Kennard & Jeong, Jiin & Pereira, Javier, 2022. "More to cryptos than bitcoin: A GARCH modelling of heterogeneous cryptocurrencies," Finance Research Letters, Elsevier, vol. 47(PA).
    758. Weng, Haijie & Trück, Stefan, 2011. "Style analysis and Value-at-Risk of Asia-focused hedge funds," Pacific-Basin Finance Journal, Elsevier, vol. 19(5), pages 491-510, November.
    759. Shao, Xi-Dong & Lian, Yu-Jun & Yin, Lian-Qian, 2009. "Forecasting Value-at-Risk using high frequency data: The realized range model," Global Finance Journal, Elsevier, vol. 20(2), pages 128-136.
    760. Odusami, Babatunde O, 2021. "Forecasting the Value-at-Risk of REITs using realized volatility jump models," The North American Journal of Economics and Finance, Elsevier, vol. 58(C).
    761. Rodrigo Herrera & Adam Clements, 2020. "A marked point process model for intraday financial returns: modeling extreme risk," Empirical Economics, Springer, vol. 58(4), pages 1575-1601, April.
    762. Chebbi, Ali & Hedhli, Amel, 2022. "Revisiting the accuracy of standard VaR methods for risk assessment: Using the Copula–EVT multidimensional approach for stock markets in the MENA region," The Quarterly Review of Economics and Finance, Elsevier, vol. 84(C), pages 430-445.
    763. Yuta Kurose & Yasuhiro Omori, 2012. "Bayesian Analysis of Time-Varying Quantiles Using a Smoothing Spline," CIRJE F-Series CIRJE-F-845, CIRJE, Faculty of Economics, University of Tokyo.
    764. Alejandro Bernales & Diether W. Beuermann & Gonzalo Cortazar, 2014. "Thinly traded securities and risk management," Estudios de Economia, University of Chile, Department of Economics, vol. 41(1 Year 20), pages 5-48, June.
    765. Durán Santomil, Pablo & Otero González, Luís & Martorell Cunill, Onofre & Merigó Lindahl, José M., 2018. "Backtesting an equity risk model under Solvency II," Journal of Business Research, Elsevier, vol. 89(C), pages 216-222.
    766. Jean-François Carpantier & Arnaud Dufays, 2012. "Commodities volatility and the theory of storage," Working Papers hal-01821149, HAL.
    767. CHEN, Cathy W.S. & WENG, Monica M.C. & WATANABE, Toshiaki & 渡部, 渡部, 2015. "Employing Bayesian Forecasting of Value-at-Risk to Determine an Appropriate Model for Risk Management," Discussion paper series HIAS-E-16, Hitotsubashi Institute for Advanced Study, Hitotsubashi University.
    768. Anjum, Hassan & Malik, Farooq, 2020. "Forecasting risk in the US Dollar exchange rate under volatility shifts," The North American Journal of Economics and Finance, Elsevier, vol. 54(C).
    769. Rania Jammazi & Duc Khuong Nguyen, 2017. "Estimating and forecasting portfolio’s Value-at-Risk with wavelet-based extreme value theory: Evidence from crude oil prices and US exchange rates," Journal of the Operational Research Society, Palgrave Macmillan;The OR Society, vol. 68(11), pages 1352-1362, November.
    770. Wang, Zijin & Chen, Peimin & Liu, Peng & Wu, Chunchi, 2024. "Volatility forecasts by clustering: Applications for VaR estimation," International Review of Economics & Finance, Elsevier, vol. 94(C).
    771. Gregory, Allan W. & Reeves, Jonathan J., 2008. "Interpreting Value at Risk (VaR) forecasts," Economic Systems, Elsevier, vol. 32(2), pages 167-176, June.
    772. Mohamed CHIKHI & Claude DIEBOLT & Tapas MISHRA, 2019. "Does Predictive Ability of an Asset Price Rest in 'Memory'? Insights from a New Approach," Working Papers of BETA 2019-43, Bureau d'Economie Théorique et Appliquée, UDS, Strasbourg.
    773. Jäschke, Stefan, 2014. "Estimation of risk measures in energy portfolios using modern copula techniques," Computational Statistics & Data Analysis, Elsevier, vol. 76(C), pages 359-376.
    774. Ewa Ratuszny, 2015. "Risk Modeling of Commodities using CAViaR Models, the Encompassing Method and the Combined Forecasts," Dynamic Econometric Models, Uniwersytet Mikolaja Kopernika, vol. 15, pages 129-156.
    775. Patricia Jackson & David Maude & William Perraudin, 1998. "Bank Capital and Value at Risk," Bank of England working papers 79, Bank of England.
    776. Billio, Monica & Caporin, Massimiliano, 2009. "A generalized Dynamic Conditional Correlation model for portfolio risk evaluation," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 79(8), pages 2566-2578.
    777. Longin, François, 1999. "From Value at Risk to Stress Testing: The Extreme Value Approach," CEPR Discussion Papers 2161, C.E.P.R. Discussion Papers.
    778. O’Brien, James & Szerszeń, Paweł J., 2017. "An evaluation of bank measures for market risk before, during and after the financial crisis," Journal of Banking & Finance, Elsevier, vol. 80(C), pages 215-234.
    779. Wang, Meng & Chen, Zhao & Wang, Christina Dan, 2018. "Composite quantile regression for GARCH models using high-frequency data," Econometrics and Statistics, Elsevier, vol. 7(C), pages 115-133.
    780. Walther, Thomas & Klein, Tony & Thu, Hien Pham & Piontek, Krzysztof, 2017. "True or spurious long memory in European non-EMU currencies," Research in International Business and Finance, Elsevier, vol. 40(C), pages 217-230.
    781. Chiu, Yen-Chen & Chuang, I-Yuan & Lai, Jing-Yi, 2010. "The performance of composite forecast models of value-at-risk in the energy market," Energy Economics, Elsevier, vol. 32(2), pages 423-431, March.
    782. Xiaochun Liu, 2016. "Markov switching quantile autoregression," Statistica Neerlandica, Netherlands Society for Statistics and Operations Research, vol. 70(4), pages 356-395, November.
    783. Ramona Serrano Bautista & Leovardo Mata Mata, 2018. "Estimación del VaR mediante un modelo condicional multivariado bajo la hipótesis α-estable sub-Gaussiana. (A conditional approach to VaR with multivariate α-stable sub-Gaussian distributions)," Ensayos Revista de Economia, Universidad Autonoma de Nuevo Leon, Facultad de Economia, vol. 0(1), pages 43-76, May.
    784. Chen, Qian & Gerlach, Richard & Lu, Zudi, 2012. "Bayesian Value-at-Risk and expected shortfall forecasting via the asymmetric Laplace distribution," Computational Statistics & Data Analysis, Elsevier, vol. 56(11), pages 3498-3516.
    785. Bonaccolto, Giovanni & Caporin, Massimiliano & Paterlini, Sandra, 2019. "Decomposing and backtesting a flexible specification for CoVaR," Journal of Banking & Finance, Elsevier, vol. 108(C).
    786. YiHao Lai, 2008. "Does Asymmetric Dependence Structure Matter? A Value-at-Risk View," International Journal of Business and Economics, School of Management Development, Feng Chia University, Taichung, Taiwan, vol. 7(3), pages 249-268, December.
    787. Jie Cheng, 2023. "Modelling and forecasting risk dependence and portfolio VaR for cryptocurrencies," Empirical Economics, Springer, vol. 65(2), pages 899-924, August.
    788. Emrah Ismail Cevik & Sel Dibooglu & Atif Awad Abdallah & Eisa Abdulrahman Al-Eisa, 2021. "Oil prices, stock market returns, and volatility spillovers: evidence from Saudi Arabia," International Economics and Economic Policy, Springer, vol. 18(1), pages 157-175, February.
    789. Stavroyiannis, S. & Makris, I. & Nikolaidis, V. & Zarangas, L., 2012. "Econometric modeling and value-at-risk using the Pearson type-IV distribution," International Review of Financial Analysis, Elsevier, vol. 22(C), pages 10-17.
    790. Patra, Saswat, 2021. "Revisiting value-at-risk and expected shortfall in oil markets under structural breaks: The role of fat-tailed distributions," Energy Economics, Elsevier, vol. 101(C).
    791. Jakub Nowotarski & Rafal Weron, 2016. "To combine or not to combine? Recent trends in electricity price forecasting," HSC Research Reports HSC/16/01, Hugo Steinhaus Center, Wroclaw University of Science and Technology.
    792. Feng, Yun & Hou, Weijie & Song, Yuping, 2023. "Tail risk in the Chinese stock market: An AEV model on the maximal drawdowns," Finance Research Letters, Elsevier, vol. 58(PA).
    793. Diks, Cees & Fang, Hao, 2020. "Comparing density forecasts in a risk management context," International Journal of Forecasting, Elsevier, vol. 36(2), pages 531-551.
    794. Wang, Gang-Jin & Zhu, Chun-Long, 2021. "BP-CVaR: A novel model of estimating CVaR with back propagation algorithm," Economics Letters, Elsevier, vol. 209(C).
    795. Zhang, Yue-Jun & Ma, Shu-Jiao, 2019. "How to effectively estimate the time-varying risk spillover between crude oil and stock markets? Evidence from the expectile perspective," Energy Economics, Elsevier, vol. 84(C).
    796. Cornell, Cameron & Dinh, Nam Trong & Pourmousavi, S. Ali, 2024. "A probabilistic forecast methodology for volatile electricity prices in the Australian National Electricity Market," International Journal of Forecasting, Elsevier, vol. 40(4), pages 1421-1437.
    797. Odening, M. & Mußhoff, O., 2001. "Value at Risk – ein nützliches Instrument des Risikomanagement in Agrarbetrieben?," Proceedings “Schriften der Gesellschaft für Wirtschafts- und Sozialwissenschaften des Landbaues e.V.”, German Association of Agricultural Economists (GEWISOLA), vol. 37.
    798. Takashi Isogai, 2015. "An Empirical Study of the Dynamic Correlation of Japanese Stock Returns," Bank of Japan Working Paper Series 15-E-7, Bank of Japan.
    799. Cheng, Wan-Hsiu & Hung, Jui-Cheng, 2011. "Skewness and leptokurtosis in GARCH-typed VaR estimation of petroleum and metal asset returns," Journal of Empirical Finance, Elsevier, vol. 18(1), pages 160-173, January.
    800. Chen, Cathy W.S. & Watanabe, Toshiaki & Lin, Edward M.H., 2023. "Bayesian estimation of realized GARCH-type models with application to financial tail risk management," Econometrics and Statistics, Elsevier, vol. 28(C), pages 30-46.
    801. Eduardo Ramos-P'erez & Pablo J. Alonso-Gonz'alez & Jos'e Javier N'u~nez-Vel'azquez, 2021. "Multi-Transformer: A New Neural Network-Based Architecture for Forecasting S&P Volatility," Papers 2109.12621, arXiv.org.
    802. Chao Wang & Qian Chen & Richard Gerlach, 2017. "Bayesian Realized-GARCH Models for Financial Tail Risk Forecasting Incorporating Two-sided Weibull Distribution," Papers 1707.03715, arXiv.org.
    803. Muyi Li & Wai Keung Li & Guodong Li, 2013. "On Mixture Memory Garch Models," Journal of Time Series Analysis, Wiley Blackwell, vol. 34(6), pages 606-624, November.
    804. Benjamin Mögel & Benjamin R. Auer, 2018. "How accurate are modern Value-at-Risk estimators derived from extreme value theory?," Review of Quantitative Finance and Accounting, Springer, vol. 50(4), pages 979-1030, May.
    805. Ji, Jingru & Wang, Donghua & Xu, Dinghai & Xu, Chi, 2020. "Combining a self-exciting point process with the truncated generalized Pareto distribution: An extreme risk analysis under price limits," Journal of Empirical Finance, Elsevier, vol. 57(C), pages 52-70.
    806. Kay Giesecke & Baeho Kim, 2011. "Systemic Risk: What Defaults Are Telling Us," Management Science, INFORMS, vol. 57(8), pages 1387-1405, August.
    807. Fries, Christian P. & Nigbur, Tobias & Seeger, Norman, 2017. "Displaced relative changes in historical simulation: Application to risk measures of interest rates with phases of negative rates," Journal of Empirical Finance, Elsevier, vol. 42(C), pages 175-198.
    808. Tao Hong & Katarzyna Maciejowska & Jakub Nowotarski & Rafal Weron, 2014. "Probabilistic load forecasting via Quantile Regression Averaging of independent expert forecasts," HSC Research Reports HSC/14/10, Hugo Steinhaus Center, Wroclaw University of Science and Technology.
    809. Anne Opschoor & Dick van Dijk & Michel van der Wel, 2013. "Predicting Covariance Matrices with Financial Conditions Indexes," Tinbergen Institute Discussion Papers 13-113/III, Tinbergen Institute.
    810. Andrei Rusu, 2020. "Multivariate VaR: A Romanian Market study," The Review of Finance and Banking, Academia de Studii Economice din Bucuresti, Romania / Facultatea de Finante, Asigurari, Banci si Burse de Valori / Catedra de Finante, vol. 12(1), pages 79-95, June.
    811. Luca Vincenzo Ballestra & Enzo D'Innocenzo & Christian Tezza, 2024. "A GARCH model with two volatility components and two driving factors," Papers 2410.14585, arXiv.org.
    812. López-Martín, Carmen & Arguedas-Sanz, Raquel & Muela, Sonia Benito, 2022. "A cryptocurrency empirical study focused on evaluating their distribution functions," International Review of Economics & Finance, Elsevier, vol. 79(C), pages 387-407.
    813. Tian, Shuairu & Hamori, Shigeyuki, 2015. "Modeling interest rate volatility: A Realized GARCH approach," Journal of Banking & Finance, Elsevier, vol. 61(C), pages 158-171.
    814. Aleksander Schiffers & Marcin Chlebus, 2021. "The effectiveness of Value-at-Risk models in various volatility regimes," Working Papers 2021-28, Faculty of Economic Sciences, University of Warsaw.
    815. Chen, Yi-Hsuan & Tu, Anthony H., 2013. "Estimating hedged portfolio value-at-risk using the conditional copula: An illustration of model risk," International Review of Economics & Finance, Elsevier, vol. 27(C), pages 514-528.
    816. Panayiotis Diamandis & Georgios Kouretas & Leonidas Zarangas, 2006. "Value-at-Risk for long and short trading positions: The case of the Athens Stock Exchange," Working Papers 0601, University of Crete, Department of Economics.
    817. Jin Xisong & Lehnert Thorsten, 2018. "Large portfolio risk management and optimal portfolio allocation with dynamic elliptical copulas," Dependence Modeling, De Gruyter, vol. 6(1), pages 19-46, February.
    818. Ardia, David & Bluteau, Keven & Boudt, Kris & Catania, Leopoldo, 2018. "Forecasting risk with Markov-switching GARCH models:A large-scale performance study," International Journal of Forecasting, Elsevier, vol. 34(4), pages 733-747.
    819. Sang Hoon Kang & Seong-Min Yoon, 2009. "Value-at-Risk Analysis for Asian Emerging Markets: Asymmetry and Fat Tails in Returns Innovation," Korean Economic Review, Korean Economic Association, vol. 25, pages 387-411.
    820. Wei Sun & Svetlozar Rachev & Frank J. Fabozzi, 2009. "A New Approach for Using Lévy Processes for Determining High‐Frequency Value‐at‐Risk Predictions," European Financial Management, European Financial Management Association, vol. 15(2), pages 340-361, March.
    821. Murphy, David, 2023. "What can we expect from a good margin model? Observations from whole-distribution tests of risk-based initial margin models," LSE Research Online Documents on Economics 118281, London School of Economics and Political Science, LSE Library.
    822. Chen, Yi-Ting, 2012. "A simple approach to standardized-residuals-based higher-moment tests," Journal of Empirical Finance, Elsevier, vol. 19(4), pages 427-453.
    823. Yıldırım Külekci, Bükre & Korn, Ralf & Selcuk-Kestel, A. Sevtap, 2024. "Ruin probability for heavy-tailed and dependent losses under reinsurance strategies," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 226(C), pages 118-138.
    824. Lennart F. Hoogerheide & Francesco Ravazzolo & Herman K. van Dijk, 2011. "Backtesting Value-at-Risk using Forecasts for Multiple Horizons, a Comment on the Forecast Rationality Tests of A.J. Patton and A. Timmermann," Tinbergen Institute Discussion Papers 11-131/4, Tinbergen Institute.
    825. Anne Opschoor & Dick van Dijk & Michel van der Wel, 2014. "Improving Density Forecasts and Value-at-Risk Estimates by Combining Densities," Tinbergen Institute Discussion Papers 14-090/III, Tinbergen Institute.
    826. Jeroen Rombouts & E.W. Rengifo, 2004. "Dynamic Optimal Portfolio Selection in a VaR Framework," Cahiers de recherche 04-05, HEC Montréal, Institut d'économie appliquée.
    827. Lucio Sarno, 2003. "Nonlinear Exchange Rate Models: A Selective Overview," Rivista di Politica Economica, SIPI Spa, vol. 93(4), pages 3-46, July-Augu.
    828. Aloui, Riadh & Ben Aïssa, Mohamed Safouane, 2016. "Relationship between oil, stock prices and exchange rates: A vine copula based GARCH method," The North American Journal of Economics and Finance, Elsevier, vol. 37(C), pages 458-471.
    829. Chavez-Demoulin, Valérie & Guillou, Armelle, 2018. "Extreme quantile estimation for β-mixing time series and applications," Insurance: Mathematics and Economics, Elsevier, vol. 83(C), pages 59-74.
    830. Piero Quatto & Gianmarco Vacca & Maria Grazia Zoia, 2021. "Modeling Portfolios with Leptokurtic and Dependent Risk Factors," Papers 2106.04218, arXiv.org.
    831. Zhang, Ning & Su, Xiaoman & Qi, Shuyuan, 2023. "An empirical investigation of multiperiod tail risk forecasting models," International Review of Financial Analysis, Elsevier, vol. 86(C).
    832. Sonia Benito Muela & Carmen López-Martín & Mª Ángeles Navarro, 2017. "The Role of the Skewed Distributions in the Framework of Extreme Value Theory (EVT)," International Business Research, Canadian Center of Science and Education, vol. 10(11), pages 88-102, November.
    833. Mensi, Walid & Hammoudeh, Shawkat & Nguyen, Duc Khuong & Kang, Sang Hoon, 2016. "Global financial crisis and spillover effects among the U.S. and BRICS stock markets," International Review of Economics & Finance, Elsevier, vol. 42(C), pages 257-276.
    834. Yannick Hoga & Matei Demetrescu, 2023. "Monitoring Value-at-Risk and Expected Shortfall Forecasts," Management Science, INFORMS, vol. 69(5), pages 2954-2971, May.
    835. Polanski, Arnold & Stoja, Evarist, 2012. "Efficient evaluation of multidimensional time-varying density forecasts, with applications to risk management," International Journal of Forecasting, Elsevier, vol. 28(2), pages 343-352.
    836. Fiszeder, Piotr & Małecka, Marta & Molnár, Peter, 2024. "Robust estimation of the range-based GARCH model: Forecasting volatility, value at risk and expected shortfall of cryptocurrencies," Economic Modelling, Elsevier, vol. 141(C).
    837. Pierre-André Maugis & Dominique Guegan, 2010. "Note on new prospects on vines," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-00471362, HAL.
    838. Angus Campbell & Daniel R. Smith, 2022. "An empirical investigation of the quality of value‐at‐risk disclosure in Australia," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 62(1), pages 469-491, March.
    839. Nickell, Pamela & Perraudin, William & Varotto, Simone, 2007. "Ratings-based credit risk modelling: An empirical analysis," International Review of Financial Analysis, Elsevier, vol. 16(5), pages 434-451.
    840. Le, Trung H., 2021. "International portfolio allocation: The role of conditional higher moments," International Review of Economics & Finance, Elsevier, vol. 74(C), pages 33-57.
    841. Karol Kielak & Robert Ślepaczuk, 2020. "Value-at-risk — the comparison of state-of-the-art models on various assets," Working Papers 2020-28, Faculty of Economic Sciences, University of Warsaw.
    842. Colleen Cassidy & Marianne Gizycki, 1997. "Measuring Traded Market Risk: Value-at-risk and Backtesting Techniques," RBA Research Discussion Papers rdp9708, Reserve Bank of Australia.
    843. Guanghui Cai & Zhimin Wu & Lei Peng, 2021. "Forecasting volatility with outliers in Realized GARCH models," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 40(4), pages 667-685, July.
    844. Lazar, Emese & Pan, Jingqi & Wang, Shixuan, 2024. "On the estimation of Value-at-Risk and Expected Shortfall at extreme levels," Journal of Commodity Markets, Elsevier, vol. 34(C).
    845. Lúcio Godeiro, Lucas, 2012. "Estimando o VaR (Value-at-Risk) de carteiras via modelos da família GARCH e via Simulação de Monte Carlo [Estimating the VaR (Value-at-Risk) of portfolios via GARCH family models and via Monte Carl," MPRA Paper 45146, University Library of Munich, Germany.
    846. Giannis Vardas & Anastasios Xepapadeas, 2006. "Preserving Biodiversity: Ambiguity and Safety Rules," Working Papers 0607, University of Crete, Department of Economics.
    847. Cathy W. S. Chen & Cindy T. H. Chien, 2024. "Improving Quantile Forecasts via Realized Double Hysteretic GARCH Model in Stock Markets," Computational Economics, Springer;Society for Computational Economics, vol. 64(6), pages 3447-3471, December.
    848. Araújo Santos, P. & Fraga Alves, M.I., 2012. "A new class of independence tests for interval forecasts evaluation," Computational Statistics & Data Analysis, Elsevier, vol. 56(11), pages 3366-3380.
    849. Dongming Jiang & Fang Jia, 2022. "Extreme Spillover between Green Bonds and Clean Energy Markets," Sustainability, MDPI, vol. 14(10), pages 1-15, May.
    850. Richard Gerlach & Zudi Lu & Hai Huang, 2013. "Exponentially Smoothing the Skewed Laplace Distribution for Value‐at‐Risk Forecasting," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 32(6), pages 534-550, September.
    851. Chaker Aloui, 2015. "Volatility forecasting and risk management in some MENA stock markets: a nonlinear framework," Afro-Asian Journal of Finance and Accounting, Inderscience Enterprises Ltd, vol. 5(2), pages 160-192.
    852. Santanu Dutta & Tushar Kanti Powdel, 2023. "Modeling Long Term Return Distribution and Nonparametric Market Risk Estimation," Sankhya B: The Indian Journal of Statistics, Springer;Indian Statistical Institute, vol. 85(1), pages 257-289, May.
    853. Trung H. Le, 2024. "Forecasting VaR and ES in emerging markets: The role of time‐varying higher moments," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 43(2), pages 402-414, March.
    854. Gerlach, Richard & Abeywardana, Sachin, 2016. "Variational Bayes for assessment of dynamic quantile forecasts," International Journal of Forecasting, Elsevier, vol. 32(4), pages 1385-1402.
    855. Liu, Qingfu & Tse, Yiuman, 2017. "Overnight returns of stock indexes: Evidence from ETFs and futures," International Review of Economics & Finance, Elsevier, vol. 48(C), pages 440-451.
    856. Zisheng Ouyang, 2009. "Model choice and value-at-risk estimation," Quality & Quantity: International Journal of Methodology, Springer, vol. 43(6), pages 983-991, November.
    857. Hamidreza Arian & Hossein Poorvasei & Azin Sharifi & Shiva Zamani, 2020. "The Uncertain Shape of Grey Swans: Extreme Value Theory with Uncertain Threshold," Papers 2011.06693, arXiv.org.
    858. Thabani Ndlovu & Delson Chikobvu, 2023. "The Generalised Pareto Distribution Model Approach to Comparing Extreme Risk in the Exchange Rate Risk of BitCoin/US Dollar and South African Rand/US Dollar Returns," Risks, MDPI, vol. 11(6), pages 1-16, May.
    859. Lucas, André, 1998. "Testing backtesting : an evaluation of the Basle guidelines for backtesting internal risk management models of banks," Serie Research Memoranda 0001, VU University Amsterdam, Faculty of Economics, Business Administration and Econometrics.
    860. Zhang, Hanyu & Dufour, Alfonso, 2024. "Managing portfolio risk during crisis times: A dynamic conditional correlation perspective," The Quarterly Review of Economics and Finance, Elsevier, vol. 94(C), pages 241-251.
    861. Gita Persand & Chris Brooks, 2003. "Volatility forecasting for risk management," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 22(1), pages 1-22.
    862. Andrey Yu. Nevela & Victor A. Lapshin, 2022. "Model Risk and Basic Approaches to its Estimation on Example of Market Risk Models," Finansovyj žhurnal — Financial Journal, Financial Research Institute, Moscow 125375, Russia, issue 2, pages 91-112, April.
    863. Evers, Corinna & Rohde, Johannes, 2014. "Model Risk in Backtesting Risk Measures," Hannover Economic Papers (HEP) dp-529, Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät.
    864. Alexios Ghalanos & Eduardo Rossi & Giovanni Urga, 2015. "Independent Factor Autoregressive Conditional Density Model," Econometric Reviews, Taylor & Francis Journals, vol. 34(5), pages 594-616, May.
    865. Le, Trung H., 2020. "Forecasting value at risk and expected shortfall with mixed data sampling," International Journal of Forecasting, Elsevier, vol. 36(4), pages 1362-1379.
    866. Degiannakis, Stavros & Floros, Christos & Dent, Pamela, 2013. "Forecasting value-at-risk and expected shortfall using fractionally integrated models of conditional volatility: International evidence," International Review of Financial Analysis, Elsevier, vol. 27(C), pages 21-33.
    867. Jaqueline Terra Moura Marins, 2024. "Predictability of Exchange Rate Density Forecasts for Emerging Economies in the Short Run," Working Papers Series 588, Central Bank of Brazil, Research Department.
    868. Soumya Guha Deb, 2019. "A VaR-based Downside Risk Analysis of Indian Equity Mutual Funds in the Pre- and Post-global Financial Crisis Periods," Journal of Emerging Market Finance, Institute for Financial Management and Research, vol. 18(2), pages 210-236, August.
    869. Fabio Bellini & Ilia Negri & Mariya Pyatkova, 2019. "Backtesting VaR and expectiles with realized scores," Statistical Methods & Applications, Springer;Società Italiana di Statistica, vol. 28(1), pages 119-142, March.
    870. Szymon Lis & Marcin Chlebus, 2021. "Comparison of the accuracy in VaR forecasting for commodities using different methods of combining forecasts," Working Papers 2021-11, Faculty of Economic Sciences, University of Warsaw.
    871. Christian Brownlees & Giuseppe Cavaliere & Alice Monti, 2018. "Evaluating The Accuracy Of Tail Risk Forecasts For Systemic Risk Measurement," Annals of Financial Economics (AFE), World Scientific Publishing Co. Pte. Ltd., vol. 13(02), pages 1-25, June.
    872. Dionne, Georges & Duchesne, Pierre & Pacurar, Maria, 2005. "Intraday Value at Risk (IVaR) using tick-by-tick data with application to the Toronto Stock Exchange," Working Papers 05-9, HEC Montreal, Canada Research Chair in Risk Management.
    873. Siva Kiran GUPTHA. K & Prabhakar RAO. R, 2019. "GARCH based VaR estimation: An empirical evidence from BRICS stock markets," Theoretical and Applied Economics, Asociatia Generala a Economistilor din Romania / Editura Economica, vol. 0(4(621), W), pages 201-218, Winter.
    874. Liu, Guangqiang & Wei, Yu & Chen, Yongfei & Yu, Jiang & Hu, Yang, 2018. "Forecasting the value-at-risk of Chinese stock market using the HARQ model and extreme value theory," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 499(C), pages 288-297.
    875. Van Cauwenberge, Annelies & Vancauteren, Mark & Braekers, Roel & Vandemaele, Sigrid, 2019. "International trade, foreign direct investments, and firms’ systemic risk : Evidence from the Netherlands," Economic Modelling, Elsevier, vol. 81(C), pages 361-386.
    876. Liu, Xiaoxing & Shehzad, Khurram & Kocak, Emrah & Zaman, Umer, 2022. "Dynamic correlations and portfolio implications across stock and commodity markets before and during the COVID-19 era: A key role of gold," Resources Policy, Elsevier, vol. 79(C).
    877. Yao, Can-Zhong & Li, Min-Jian, 2023. "GARCH-MIDAS-GAS-copula model for CoVaR and risk spillover in stock markets," The North American Journal of Economics and Finance, Elsevier, vol. 66(C).
    878. Imed Gammoudi & Lotfi BelKacem & Mohamed El Ghourabi, 2014. "Value at Risk Estimation for Heavy Tailed Distributions," The International Journal of Business and Finance Research, The Institute for Business and Finance Research, vol. 8(3), pages 109-125.
    879. Xu, Qifa & Jin, Bei & Jiang, Cuixia, 2021. "Measuring systemic risk of the Chinese banking industry: A wavelet-based quantile regression approach," The North American Journal of Economics and Finance, Elsevier, vol. 55(C).
    880. Cortazar, Gonzalo & Beuermann, Diether & Bernales, Alejandro, 2013. "Risk Management with Thinly Traded Securities: Methodology and Implementation," IDB Publications (Working Papers) 4647, Inter-American Development Bank.
    881. Joel Hinaunye Eita & Charles Raoul Tchuinkam Djemo, 2022. "Quantifying Foreign Exchange Risk in the Selected Listed Sectors of the Johannesburg Stock Exchange: An SV-EVT Pairwise Copula Approach," IJFS, MDPI, vol. 10(2), pages 1-29, April.
    882. Xu, Qifa & Chen, Lu & Jiang, Cuixia & Yuan, Jing, 2018. "Measuring systemic risk of the banking industry in China: A DCC-MIDAS-t approach," Pacific-Basin Finance Journal, Elsevier, vol. 51(C), pages 13-31.
    883. González-Pedraz, Carlos & Moreno, Manuel & Peña, Juan Ignacio, 2014. "Tail risk in energy portfolios," Energy Economics, Elsevier, vol. 46(C), pages 422-434.
    884. Bams, Dennis & Blanchard, Gildas & Lehnert, Thorsten, 2017. "Volatility measures and Value-at-Risk," International Journal of Forecasting, Elsevier, vol. 33(4), pages 848-863.
    885. Zdeněk Štolc, 2011. "Application of FIGARCH and EWMA Models on Stock Indices PX and BUX [Aplikace FIGARCH a EWMA modelů na burzovní indexy PX a BUX]," Acta Oeconomica Pragensia, Prague University of Economics and Business, vol. 2011(4), pages 25-38.
    886. Guoli Mo & Chunzhi Tan & Weiguo Zhang & Xuezeng Yu, 2023. "Dynamic spatiotemporal correlation coefficient based on adaptive weight," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 9(1), pages 1-43, December.
    887. Ian Laker & Chun-Kai Huang & Allan Ernest Clark, 2017. "Dependent bootstrapping for value-at-risk and expected shortfall," Risk Management, Palgrave Macmillan, vol. 19(4), pages 301-322, November.
    888. Richard D. F. Harris & Murat Mazibas, 2022. "A component Markov regime‐switching autoregressive conditional range model," Bulletin of Economic Research, Wiley Blackwell, vol. 74(2), pages 650-683, April.
    889. Lesedi Mabitsela & Eben Maré & Rodwell Kufakunesu, 2015. "Quantification of VaR: A Note on VaR Valuation in the South African Equity Market," JRFM, MDPI, vol. 8(1), pages 1-24, February.
    890. Gribisch, Bastian & Hartkopf, Jan Patrick & Liesenfeld, Roman, 2020. "Factor state–space models for high-dimensional realized covariance matrices of asset returns," Journal of Empirical Finance, Elsevier, vol. 55(C), pages 1-20.
    891. Ra l de Jes s-Guti rrez & Roberto J. Santill n-Salgado, 2019. "Conditional Extreme Values Theory and Tail-related Risk Measures: Evidence from Latin American Stock Markets," International Journal of Economics and Financial Issues, Econjournals, vol. 9(3), pages 127-141.
    892. Luca Vincenzo Ballestra & Riccardo De Blasis & Graziella Pacelli, 2025. "Multivariate GARCH models with spherical parameterizations: an oil price application," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 11(1), pages 1-20, December.
    893. Guermat, Cherif & Harris, Richard D. F., 2002. "Forecasting value at risk allowing for time variation in the variance and kurtosis of portfolio returns," International Journal of Forecasting, Elsevier, vol. 18(3), pages 409-419.
    894. Beatriz de la Flor & Javier Ojea-Ferreiro & Eva Ferreira, 2022. "The Hedging Cost of Forgetting the Exchange Rate," Documentos de Trabajo del ICAE 2022-01, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
    895. Jorge V Pérez-Rodríguez & María Santana-Gallego, 2020. "Modelling tourism receipts and associated risks, using long-range dependence models," Tourism Economics, , vol. 26(1), pages 70-96, February.
    896. Mauro Bernardi & Leopoldo Catania & Lea Petrella, 2014. "Are news important to predict large losses?," Papers 1410.6898, arXiv.org, revised Oct 2014.
    897. Polanski, Arnold & Stoja, Evarist & Zhang, Ren, 2013. "Multidimensional risk and risk dependence," Journal of Banking & Finance, Elsevier, vol. 37(8), pages 3286-3294.
    898. Chen, Yan & Yu, Wenqiang, 2020. "Setting the margins of Hang Seng Index Futures on different positions using an APARCH-GPD Model based on extreme value theory," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 544(C).
    899. Liu, Qingfu & Wong, Ieokhou & An, Yunbi & Zhang, Jinqing, 2014. "Asymmetric Information and Volatility Forecasting in Commodity Futures Markets," Pacific-Basin Finance Journal, Elsevier, vol. 26(C), pages 79-97.
    900. Marta Małecka, 2014. "Duration-Based Approach to VaR Independence Backtesting," Statistics in Transition new series, Główny Urząd Statystyczny (Polska), vol. 15(4), pages 627-636, September.
    901. Tan, Chia-Yen & Koh, You-Beng & Ng, Kok-Haur & Ng, Kooi-Huat, 2021. "Dynamic volatility modelling of Bitcoin using time-varying transition probability Markov-switching GARCH model," The North American Journal of Economics and Finance, Elsevier, vol. 56(C).
    902. Pilar Abad Romero & Sonia Benito Muela & Miguel Angel Sánchez Granero & Carmen López, 2013. "Evaluating the performance of the skewed distributions to forecast Value at Risk in the Global Financial Crisis," Documentos de Trabajo del ICAE 2013-40, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
    903. Troster, Victor & Tiwari, Aviral Kumar & Shahbaz, Muhammad & Macedo, Demian Nicolás, 2019. "Bitcoin returns and risk: A general GARCH and GAS analysis," Finance Research Letters, Elsevier, vol. 30(C), pages 187-193.
    904. Slim, Skander & Koubaa, Yosra & BenSaïda, Ahmed, 2017. "Value-at-Risk under Lévy GARCH models: Evidence from global stock markets," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 46(C), pages 30-53.
    905. Dominique Guegan & Pierre-André Maugis, 2011. "An econometric Study for Vine Copulas," PSE-Ecole d'économie de Paris (Postprint) halshs-00645799, HAL.
    906. Selma Chaker & Nour Meddahi, 2013. "CoMargin," Staff Working Papers 13-47, Bank of Canada.
    907. Timotheos Angelidis & Stavros Degiannakis, 2007. "Backtesting VaR Models: An Expected Shortfall Approach," Working Papers 0701, University of Crete, Department of Economics.
    908. Kilic, Ekrem, 2006. "Violation duration as a better way of VaR model evaluation : evidence from Turkish market portfolio," MPRA Paper 5610, University Library of Munich, Germany.
    909. Shuting Liu & Qifa Xu & Cuixia Jiang, 2021. "Systemic risk of China’s commercial banks during financial turmoils in 2010-2020: A MIDAS-QR based CoVaR approach," Applied Economics Letters, Taylor & Francis Journals, vol. 28(18), pages 1600-1609, October.
    910. Komunjer, Ivana, 2013. "Quantile Prediction," Handbook of Economic Forecasting, in: G. Elliott & C. Granger & A. Timmermann (ed.), Handbook of Economic Forecasting, edition 1, volume 2, chapter 0, pages 961-994, Elsevier.
    911. Stavros Stavroyiannis, 2016. "Value-at-Risk and backtesting with the APARCH model and the standardized Pearson type IV distribution," Papers 1602.05749, arXiv.org.
    912. Ourir, Awatef & Snoussi, Wafa, 2012. "Markets liquidity risk under extremal dependence: Analysis with VaRs methods," Economic Modelling, Elsevier, vol. 29(5), pages 1830-1836.
    913. Audrino, Francesco & Sigrist, Fabio & Ballinari, Daniele, 2020. "The impact of sentiment and attention measures on stock market volatility," International Journal of Forecasting, Elsevier, vol. 36(2), pages 334-357.
    914. Omar Abbara & Mauricio Zevallos, 2022. "Maximum Likelihood Inference for Asymmetric Stochastic Volatility Models," Econometrics, MDPI, vol. 11(1), pages 1-18, December.
    915. Quatto, Piero & Vacca, Gianmarco & Zoia, Maria Grazia, 2021. "A new copula for modeling portfolios with skewed, leptokurtic and high-order dependent risk factors," The North American Journal of Economics and Finance, Elsevier, vol. 58(C).
    916. Li, Xindan & Yu, Honghai & Fang, Libing & Xiong, Cheng, 2019. "Do firm-level factors play forward-looking role for financial systemic risk: Evidence from China," Pacific-Basin Finance Journal, Elsevier, vol. 57(C).
    917. Lehar, Alfred, 2005. "Measuring systemic risk: A risk management approach," Journal of Banking & Finance, Elsevier, vol. 29(10), pages 2577-2603, October.
    918. Su, Jung-Bin, 2015. "Value-at-risk estimates of the stock indices in developed and emerging markets including the spillover effects of currency market," Economic Modelling, Elsevier, vol. 46(C), pages 204-224.
    919. Alejandro Mosiño & Alejandro Tatsuo Moreno-Okuno, 2018. "On modeling fossil fuel prices: geometric Brownian motion vs. variance-gamma process," Economics Bulletin, AccessEcon, vol. 38(1), pages 509-519.
    920. Luigi Aldieri & Alessandra Amendola & Vincenzo Candila, 2023. "The Impact of ESG Scores on Risk Market Performance," Sustainability, MDPI, vol. 15(9), pages 1-16, April.
    921. Yingying Xu & Donald Lien, 2020. "Optimal futures hedging for energy commodities: An application of the GAS model," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 40(7), pages 1090-1108, July.
    922. Merlo, Luca & Petrella, Lea & Raponi, Valentina, 2021. "Forecasting VaR and ES using a joint quantile regression and its implications in portfolio allocation," Journal of Banking & Finance, Elsevier, vol. 133(C).
    923. Klein, Tony & Walther, Thomas, 2016. "Oil price volatility forecast with mixture memory GARCH," Energy Economics, Elsevier, vol. 58(C), pages 46-58.
    924. Julija Cerović & Vesna Karadžić, 2015. "Extreme Value Theory In Emerging Markets: Evidence From Montenegrin Stock Exchange," Economic Annals, Faculty of Economics and Business, University of Belgrade, vol. 60(206), pages 87-116, July - Se.
    925. Ayala, Astrid & Blazsek, Szabolcs, 2019. "Maximum likelihood estimation of score-driven models with dynamic shape parameters : an application to Monte Carlo value-at-risk," UC3M Working papers. Economics 28638, Universidad Carlos III de Madrid. Departamento de Economía.
    926. Stéphane Goutte & David Guerreiro & Bilel Sanhaji & Sophie Saglio & Julien Chevallier, 2019. "International Financial Markets," Post-Print halshs-02183053, HAL.
    927. Berger, T. & Missong, M., 2014. "Financial crisis, Value-at-Risk forecasts and the puzzle of dependency modeling," International Review of Financial Analysis, Elsevier, vol. 33(C), pages 33-38.
    928. Ane, Thierry, 2006. "An analysis of the flexibility of Asymmetric Power GARCH models," Computational Statistics & Data Analysis, Elsevier, vol. 51(2), pages 1293-1311, November.
    929. Righi, Marcelo Brutti & Ceretta, Paulo Sergio, 2013. "Analyzing the dependence structure of various sectors in the Brazilian market: A Pair Copula Construction approach," Economic Modelling, Elsevier, vol. 35(C), pages 199-206.

  17. Paul H. Kupiec & James M. O'Brien, 1995. "The use of bank trading risk models for regulatory capital purposes," Finance and Economics Discussion Series 95-11, Board of Governors of the Federal Reserve System (U.S.).

    Cited by:

    1. Jezabel Couppey, 2000. "Vers un nouveau schéma de réglementation prudentielle : une contribution au débat," Revue d'Économie Financière, Programme National Persée, vol. 56(1), pages 37-56.
    2. Michel Aglietta & Laurence Scialom, 1998. "Vers une nouvelle doctrine prudentielle," Revue d'Économie Financière, Programme National Persée, vol. 48(4), pages 47-73.
    3. David Blake & John Cotter & Kevin Dowd, 2011. "Financial Risks and the Pension Protection Fund: Can it Survive Them?," Papers 1103.5978, arXiv.org.
    4. Jose A. Lopez, 1997. "Regulatory evaluation of value-at-risk models," Research Paper 9710, Federal Reserve Bank of New York.
    5. Paul H. Kupiec & James M. O'Brien, 1997. "The pre-commitment approach: using incentives to set market risk capital requirements," Finance and Economics Discussion Series 1997-14, Board of Governors of the Federal Reserve System (U.S.).
    6. Michel Aglietta & Laurence Scialom & Thierry Sessin, 2000. "Pour une politique prudentielle européenne," Revue d'Économie Financière, Programme National Persée, vol. 60(5), pages 59-84.
    7. Arupratan Daripa & Simone Varotto, 1997. "Agency Incentives and Reputational Distortions: a Comparison of the Effectiveness of Value-at-Risk and Pre-commitment in Regulating Market Risk," Bank of England working papers 69, Bank of England.
    8. J. S. Butler & Barry Schachter, 1996. "Improving Value-At-Risk Estimates By Combining Kernel Estimation With Historical Simulation," Finance 9605001, University Library of Munich, Germany.

  18. Paul H. Kupiec, 1993. "The performance of S&P500 futures product margins under the span margining system," Finance and Economics Discussion Series 93-27, Board of Governors of the Federal Reserve System (U.S.).

    Cited by:

    1. Shi, Wei & Irwin, Scott H., 2006. "What Happens when Peter can't Pay Paul: Risk Management at Futures Exchange Clearinghouses," 2006 Annual meeting, July 23-26, Long Beach, CA 21087, American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association).
    2. Russell Barker & Andrew Dickinson & Alex Lipton & Rajeev Virmani, 2016. "Systemic Risks in CCP Networks," Papers 1604.00254, arXiv.org.
    3. Robert A. Jones & Christophe Pérignon, 2013. "Derivatives Clearing, Default Risk, and Insurance," Journal of Risk & Insurance, The American Risk and Insurance Association, vol. 80(2), pages 373-400, June.
    4. Jeremy Berkowitz, 1999. "Evaluating the forecasts of risk models," Finance and Economics Discussion Series 1999-11, Board of Governors of the Federal Reserve System (U.S.).
    5. Alexander, Carol & Kaeck, Andreas & Sumawong, Anannit, 2019. "A parsimonious parametric model for generating margin requirements for futures," European Journal of Operational Research, Elsevier, vol. 273(1), pages 31-43.
    6. Peter Fortune, 2003. "Margin requirements across equity-related instruments: how level is the playing field?," New England Economic Review, Federal Reserve Bank of Boston, pages 31-50.
    7. David Bates & Roger Craine, 1998. "Valuing the Futures Market Clearinghouse's Default Exposure During the 1987 Crash," NBER Working Papers 6505, National Bureau of Economic Research, Inc.
    8. Selma Chaker & Nour Meddahi, 2013. "CoMargin," Staff Working Papers 13-47, Bank of Canada.

  19. George W. Fenn & Paul H. Kupiec, 1991. "Prudential margin policy in a futures-style settlement system," Finance and Economics Discussion Series 164, Board of Governors of the Federal Reserve System (U.S.).

    Cited by:

    1. James T. Moser, 1992. "Determining margin for futures contracts: the role of private interests and the relevance of excess volatility," Economic Perspectives, Federal Reserve Bank of Chicago, vol. 16(Mar), pages 2-18.
    2. Yun Feng & Weijie Hou & Yuping Song, 2024. "Tail risk forecasting and its application to margin requirements in the commodity futures market," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 43(5), pages 1513-1529, August.
    3. Charoula Daskalaki & George Skiadopoulos, 2014. "The Effects of Margin Changes on Commodity Futures Markets," Working Papers 736, Queen Mary University of London, School of Economics and Finance.
    4. Berlinger, Edina & Dömötör, Barbara & Illés, Ferenc, 2019. "Anti-cyclical versus risk-sensitive margin strategies in central clearing," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 62(C), pages 117-131.
    5. Shi, Wei & Irwin, Scott H., 2006. "What Happens when Peter can't Pay Paul: Risk Management at Futures Exchange Clearinghouses," 2006 Annual meeting, July 23-26, Long Beach, CA 21087, American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association).
    6. Ron Berndsen, 2021. "Fundamental questions on central counterparties: A review of the literature," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 41(12), pages 2009-2022, December.
    7. Paul Kupiec, 1998. "Margin Requirements, Volatility, and Market Integrity: What Have We Learned Since the Crash?," Journal of Financial Services Research, Springer;Western Finance Association, vol. 13(3), pages 231-255, June.
    8. Robert A. Jones & Christophe Pérignon, 2013. "Derivatives Clearing, Default Risk, and Insurance," Journal of Risk & Insurance, The American Risk and Insurance Association, vol. 80(2), pages 373-400, June.
    9. Berlinger, Edina & Dömötör, Barbara & Illés, Ferenc, 2019. "Optimal margin requirement," Finance Research Letters, Elsevier, vol. 31(C).
    10. Chen-Yu Chen & Jian-Hsin Chou & Hung-Gay Fung & Yiuman Tse, 2017. "Setting the futures margin with price limits: the case for single-stock futures," Review of Quantitative Finance and Accounting, Springer, vol. 48(1), pages 219-237, January.
    11. Capponi, Agostino & Cheng, Wan-Schwin Allen & Giglio, Stefano & Haynes, Richard, 2022. "The collateral rule: Evidence from the credit default swap market," Journal of Monetary Economics, Elsevier, vol. 126(C), pages 58-86.
    12. Paul H. Kupiec & Patricia A. White, 1996. "Regulatory competition and the efficiency of alternative derivative product margining systems," Finance and Economics Discussion Series 96-11, Board of Governors of the Federal Reserve System (U.S.).
    13. Raymond Knott & Marco Polenghi, 2006. "Assessing central counterparty margin coverage on futures contracts using GARCH models," Bank of England working papers 287, Bank of England.
    14. Chiu, Chien-Liang & Chiang, Shu-Mei & Hung, Jui-Cheng & Chen, Yu-Lung, 2006. "Clearing margin system in the futures markets—Applying the value-at-risk model to Taiwanese data," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 367(C), pages 353-374.
    15. Yannick Armenti & Stéphane Crépey, 2017. "Central Clearing Valuation Adjustment," Working Papers hal-01169169, HAL.
    16. Randall S. Kroszner, 2000. "The supply of and demand for financial regulation : public and private competition around the globe : commentary," Proceedings - Economic Policy Symposium - Jackson Hole, Federal Reserve Bank of Kansas City, pages 137-149.
    17. Berndsen, Ron, 2020. "Five Fundamental Questions on Central Counterparties," Discussion Paper 2020-028, Tilburg University, Center for Economic Research.
    18. Friesz, Melinda & Váradi, Kata, 2023. "Your skin or mine: Ensuring the viability of a central counterparty," Emerging Markets Review, Elsevier, vol. 57(C).
    19. Rafi Eldor & Shmuel Hauser & Uzi Yaari, 2011. "Safer Margins for Option Trading: How Accuracy Promotes Efficiency," Multinational Finance Journal, Multinational Finance Journal, vol. 15(3-4), pages 217-234, September.
    20. Berlinger, Edina & Bihary, Zsolt & Dömötör, Barbara, 2024. "Dynamic margin optimization," Finance Research Letters, Elsevier, vol. 68(C).
    21. David Bates & Roger Craine, 1998. "Valuing the Futures Market Clearinghouse's Default Exposure During the 1987 Crash," NBER Working Papers 6505, National Bureau of Economic Research, Inc.
    22. Lam, Kin & Yu, P.L.H. & Lee, P.H., 2010. "A margin scheme that advises on when to change required margin," European Journal of Operational Research, Elsevier, vol. 207(1), pages 524-530, November.
    23. Yannick Armenti & St'ephane Cr'epey, 2015. "Central Clearing Valuation Adjustment," Papers 1506.08595, arXiv.org, revised Feb 2017.

  20. Paul H. Kupiec, 1991. "Noise traders, excess volatility, and securities transaction tax," Finance and Economics Discussion Series 166, Board of Governors of the Federal Reserve System (U.S.).

    Cited by:

    1. Dominique Dupont, 1998. "Equilibrium price with institutional investors and with naive traders," Finance and Economics Discussion Series 1998-23, Board of Governors of the Federal Reserve System (U.S.).
    2. Thierry Foucault & David Thesmar & David Sraer, 2008. "Individual Investors and Volatility," Working Papers hal-00578370, HAL.
    3. Victoria Saporta & Kamhon Kan, 1997. "The effects of Stamp Duty on the Level and Volatility of Equity Prices," Bank of England working papers 71, Bank of England.
    4. Alex Cukierman & Itay Goldstein & Yossi Spiegel, 2004. "The Choice of Exchange-Rate Regime and Speculative Attacks," Journal of the European Economic Association, MIT Press, vol. 2(6), pages 1206-1241, December.

  21. Paul H. Kupiec, 1991. "Stock market volatility in OECD countries: recent trends, consequences for the real economy, and proposals for reform," Finance and Economics Discussion Series 165, Board of Governors of the Federal Reserve System (U.S.).

    Cited by:

    1. Mulyadi, Martin Surya, 2009. "Volatility spillover in Indonesia, USA, and Japan capital market," MPRA Paper 16914, University Library of Munich, Germany.
    2. Kuosmanen, Petri & Vataja, Juuso, 2011. "The role of stock markets vs. the term spread in forecasting macrovariables in Finland," The Quarterly Review of Economics and Finance, Elsevier, vol. 51(2), pages 124-132, May.
    3. Geetesh Bhardwaj & Gary Gorton & Geert Rouwenhorst, 2015. "Facts and Fantasies about Commodity Futures Ten Years Later," NBER Working Papers 21243, National Bureau of Economic Research, Inc.
    4. Laura Nowzohour & Livio Stracca, 2020. "More Than A Feeling: Confidence, Uncertainty, And Macroeconomic Fluctuations," Journal of Economic Surveys, Wiley Blackwell, vol. 34(4), pages 691-726, September.
    5. Sinha, Pankaj & Sinha, Gyanesh, 2010. "Volatility Spillover in India, USA and Japan Investigation of Recession Effects," MPRA Paper 21873, University Library of Munich, Germany.
    6. Aluko Olufemi Adewale & Adeyeye Patrick Olufemi & Migiro Stephen Oseko, 2017. "Modelling Volatility Persistence and Asymmetry with Structural Break: Evidence from the Nigerian Stock Market," Journal of Economics and Behavioral Studies, AMH International, vol. 8(6), pages 153-160.
    7. Nobert Funke & Andrea Goldstein, 1996. "Financial market volatility," Intereconomics: Review of European Economic Policy, Springer;ZBW - Leibniz Information Centre for Economics;Centre for European Policy Studies (CEPS), vol. 31(5), pages 215-220, September.
    8. Daly, Kevin, 2008. "Financial volatility: Issues and measuring techniques," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 387(11), pages 2377-2393.
    9. Paula A. Yepes-Henao & Diego A. Agudelo & Ramazan Gencay, 2018. "Muddying the waters: Who Induces Volatility in an Emerging Market?," Documentos de Trabajo de Valor Público 16974, Universidad EAFIT.
    10. Damien Kunjal & Faeezah Peerbhai & Paul-Francois Muzindutsi, 2022. "Political, economic, and financial country risks and the volatility of the South African Exchange Traded Fund market: A GARCH-MIDAS approach," Risk Management, Palgrave Macmillan, vol. 24(3), pages 236-258, September.
    11. Filiz Eryilmaz, 2015. "Modelling Stock Market Volatility: The Case Of Bist-100," Annals - Economy Series, Constantin Brancusi University, Faculty of Economics, vol. 5, pages 37-47, October.
    12. Bonga, Wellington Garikai, 2019. "Stock Market Volatility Analysis using GARCH Family Models: Evidence from Zimbabwe Stock Exchange," MPRA Paper 94201, University Library of Munich, Germany.

  22. Gregory R. Duffee & Paul H. Kupiec & Patricia A. White, 1990. "A primer on program trading and stock price volatility: a survey of the issues and the evidence," Finance and Economics Discussion Series 109, Board of Governors of the Federal Reserve System (U.S.).

    Cited by:

    1. K. Ronnie Sircar & George Papanicolaou, 1998. "General Black-Scholes models accounting for increased market volatility from hedging strategies," Applied Mathematical Finance, Taylor & Francis Journals, vol. 5(1), pages 45-82.
    2. Uppal, Raman & Das, Sanjiv Ranjan, 2002. "Systemic Risk and International Portfolio Choice," CEPR Discussion Papers 3305, C.E.P.R. Discussion Papers.

  23. Paul H. Kupiec, 1990. "Futures margins and stock price volatility: is there any link?," Finance and Economics Discussion Series 104, Board of Governors of the Federal Reserve System (U.S.).

    Cited by:

    1. William Schwert, G., 2002. "Stock volatility in the new millennium: how wacky is Nasdaq?," Journal of Monetary Economics, Elsevier, vol. 49(1), pages 3-26, January.
    2. Paul Kupiec, 1998. "Margin Requirements, Volatility, and Market Integrity: What Have We Learned Since the Crash?," Journal of Financial Services Research, Springer;Western Finance Association, vol. 13(3), pages 231-255, June.
    3. Alexander, Carol & Kaeck, Andreas & Sumawong, Anannit, 2019. "A parsimonious parametric model for generating margin requirements for futures," European Journal of Operational Research, Elsevier, vol. 273(1), pages 31-43.
    4. David Bates & Roger Craine, 1998. "Valuing the Futures Market Clearinghouse's Default Exposure During the 1987 Crash," NBER Working Papers 6505, National Bureau of Economic Research, Inc.

  24. Gregory R. Duffee & Paul H. Kupiec & Patricia A. White, 1990. "A securities transactions tax: beyond the rhetoric, what can we really say?," Finance and Economics Discussion Series 133, Board of Governors of the Federal Reserve System (U.S.).

    Cited by:

    1. Edgar L. Feige, 2001. "Taxation for the 21st Century: The Automated Payment Transaction (APT) Tax," Public Economics 0106001, University Library of Munich, Germany.
    2. Janet Napoli, 1992. "Derivative markets and competitiveness," Economic Perspectives, Federal Reserve Bank of Chicago, vol. 16(Jul), pages 13-24.

  25. Paul H. Kupiec & Steven A. Sharpe, 1990. "Animal spirits, margin requirements, and stock price volatility," Finance and Economics Discussion Series 127, Board of Governors of the Federal Reserve System (U.S.).

    Cited by:

    1. Ilhyock Shim & Goetz von Peter, 2007. "Distress selling and asset market feedback," BIS Working Papers 229, Bank for International Settlements.
    2. Brumm, Johannes & Grill, Michael & Kubler, Felix & Schmedders, Karl, 2015. "Margin regulation and volatility," Journal of Monetary Economics, Elsevier, vol. 75(C), pages 54-68.
    3. Alan Guoming Huang & Eric Hughson & J. Chris Leach, 2016. "Generational Asset Pricing, Equity Puzzles, and Cyclicality," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 22, pages 52-71, October.
    4. William Schwert, G., 2002. "Stock volatility in the new millennium: how wacky is Nasdaq?," Journal of Monetary Economics, Elsevier, vol. 49(1), pages 3-26, January.
    5. Peter Fortune, 2001. "Margin lending and stock market volatility," New England Economic Review, Federal Reserve Bank of Boston, pages 3-25.
    6. Paul Kupiec, 1998. "Margin Requirements, Volatility, and Market Integrity: What Have We Learned Since the Crash?," Journal of Financial Services Research, Springer;Western Finance Association, vol. 13(3), pages 231-255, June.
    7. Wen-Chung Guo & Frank Yong Wang & Ho-Mou Wu, 2009. "Financial Leverage and Market Volatility with Diverse Beliefs," Finance Working Papers 22887, East Asian Bureau of Economic Research.
    8. Christian Weller, 2002. "Policy on the margin: Evaluating the impact of margin debt requirements on stock valuations," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 26(1), pages 1-15, March.
    9. Hsin, Chin-Wen & Guo, Wen-Chung & Tseng, Seng-Su & Luo, Wen-Chih, 2003. "The impact of speculative trading on stock return volatility: the evidence from Taiwan," Global Finance Journal, Elsevier, vol. 14(3), pages 243-270, December.
    10. Sheng Guo, 2014. "Margin requirements and portfolio optimization: A geometric approach," Journal of Asset Management, Palgrave Macmillan, vol. 15(3), pages 191-204, June.
    11. Middleton, Elliott, 1996. "Adaptation level and 'animal spirits'," Journal of Economic Psychology, Elsevier, vol. 17(4), pages 479-498, August.
    12. Hui Ying Sng & Yang Zhang & Huanhuan Zheng, 2020. "Margin trade, short sales and financial stability," Journal of Economic Interaction and Coordination, Springer;Society for Economic Science with Heterogeneous Interacting Agents, vol. 15(3), pages 673-702, July.
    13. Chen, Chao & Jeng, Jau-Lian, 1996. "The impact of price limits on foreign currency futures' price volatility and market efficiency," Global Finance Journal, Elsevier, vol. 7(1), pages 13-25.
    14. Lillyn L. Teh & Werner F. M. de Bondt, 1997. "Herding Behavior and Stock Returns: An Exploratory Investigation," Swiss Journal of Economics and Statistics (SJES), Swiss Society of Economics and Statistics (SSES), vol. 133(II), pages 293-324, June.
    15. Filiz Eryilmaz, 2015. "Modelling Stock Market Volatility: The Case Of Bist-100," Annals - Economy Series, Constantin Brancusi University, Faculty of Economics, vol. 5, pages 37-47, October.
    16. Albert Menkveld & Emiliano Pagnotta & Marius Andrei Zoican, 2016. "Does Central Clearing Affect Price Stability? Evidence from Nordic Equity Markets," Working Papers hal-01253702, HAL.

  26. Paul H. Kupiec, 1990. "Financial liberalization and international trends in stock, corporate bond and foreign exchange market volatilities," Finance and Economics Discussion Series 131, Board of Governors of the Federal Reserve System (U.S.).

    Cited by:

    1. Paul D. McNelis, 1993. "The Response of Australian Stock, Foreign Exchange and Bond Markets to Foreign Asset Returns and Volatilities," RBA Research Discussion Papers rdp9301, Reserve Bank of Australia.
    2. Yilmaz Akyüz, 1994. "Libéralisation financière : mythes et réalités," Revue Tiers Monde, Programme National Persée, vol. 35(139), pages 521-555.

  27. Paul H. Kupiec, 1989. "Initial margin requirements and stock returns volatility: another look," Finance and Economics Discussion Series 53, Board of Governors of the Federal Reserve System (U.S.).

    Cited by:

    1. Evren Ors & Gordon J. Alexander & Mark A. Peterson & Paul J. Seguin, 2004. "Margin regulation and market quality: a microstructure analysis," Post-Print hal-00460981, HAL.
    2. Abdur Chowdhury, 1997. "Margin requirements and stock market volatility in Thailand," Applied Economics Letters, Taylor & Francis Journals, vol. 4(2), pages 83-87.
    3. J. Harold Mulherin, 1990. "Regulation, Trading Volume and Stock Market Volatility," Revue Économique, Programme National Persée, vol. 41(5), pages 923-938.
    4. Heimer, Rawley & Simsek, Alp, 2019. "Should retail investors’ leverage be limited?," Journal of Financial Economics, Elsevier, vol. 132(3), pages 1-21.
    5. William Schwert, G., 2002. "Stock volatility in the new millennium: how wacky is Nasdaq?," Journal of Monetary Economics, Elsevier, vol. 49(1), pages 3-26, January.
    6. Duchêne, Sébastien & Guerci, Eric & Hanaki, Nobuyuki & Noussair, Charles N., 2019. "The effect of short selling and borrowing on market prices and traders’ behavior," Journal of Economic Dynamics and Control, Elsevier, vol. 107(C), pages 1-1.
    7. Peter Fortune, 2001. "Margin lending and stock market volatility," New England Economic Review, Federal Reserve Bank of Boston, pages 3-25.
    8. Füllbrunn, Sascha & Neugebauer, Tibor, 2022. "Testing market regulations in experimental asset markets – The case of margin purchases," Journal of Economic Behavior & Organization, Elsevier, vol. 200(C), pages 1160-1183.
    9. Paul Kupiec, 1998. "Margin Requirements, Volatility, and Market Integrity: What Have We Learned Since the Crash?," Journal of Financial Services Research, Springer;Western Finance Association, vol. 13(3), pages 231-255, June.
    10. Caiado, Jorge, 2004. "Modelling and forecasting the volatility of the portuguese stock index PSI-20," MPRA Paper 2077, University Library of Munich, Germany.
    11. Sheng Guo, 2014. "Margin requirements and portfolio optimization: A geometric approach," Journal of Asset Management, Palgrave Macmillan, vol. 15(3), pages 191-204, June.
    12. Victoria Saporta & Kamhon Kan, 1997. "The effects of Stamp Duty on the Level and Volatility of Equity Prices," Bank of England working papers 71, Bank of England.
    13. Tibor Neugebauer & Sascha Füllbrunn, 2013. "Deflating Bubbles in Experimental Asset Markets: Comparative Statics of Margin Regulations," LSF Research Working Paper Series 13-14, Luxembourg School of Finance, University of Luxembourg.
    14. Rawley Z. Heimer & Alp Simsek, 2017. "Should Retail Investors' Leverage Be Limited?," NBER Working Papers 24176, National Bureau of Economic Research, Inc.
    15. Rawley Heimer, 2014. "Can Leverage Constraints Help Investors?," Working Papers (Old Series) 1433, Federal Reserve Bank of Cleveland.
    16. Zhang, Ting & Li, Honggang, 2013. "Buying on margin, selling short in an agent-based market model," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 392(18), pages 4075-4082.

  28. Paul H. Kupiec, 1989. "A survey of exchange-traded basket instruments," Finance and Economics Discussion Series 62, Board of Governors of the Federal Reserve System (U.S.).

    Cited by:

    1. Shiller, Robert J, 1993. "Measuring Asset Values for Cash Settlement in Derivative Markets: Hedonic Repeated Measures Indices and Perpetual Futures," Journal of Finance, American Finance Association, vol. 48(3), pages 911-931, July.

Articles

  1. Kupiec, Paul H., 2021. "Did prudent risk management practices or weak customer demand reduce PPP lending by the largest banks?," Journal of Risk Management in Financial Institutions, Henry Stewart Publications, vol. 14(2), pages 148-160, March.

    Cited by:

    1. Landini, Austin, Kristopher Deming, and Stephan Weiler, 2024. "Can Bank Density Provide Insights on the Appropriation of Disaster Relief Funds? Evidence from the Paycheck Protection Program," The Review of Regional Studies, Southern Regional Science Association, vol. 54(1), pages 1-26.

  2. Kupiec, Paul H., 2020. "Policy uncertainty and bank stress testing," Journal of Financial Stability, Elsevier, vol. 51(C).
    See citations under working paper version above.
  3. Kupiec, Paul H., 2018. "On the accuracy of alternative approaches for calibrating bank stress test models," Journal of Financial Stability, Elsevier, vol. 38(C), pages 132-146.
    See citations under working paper version above.
  4. Kupiec, Paul & Lee, Yan & Rosenfeld, Claire, 2017. "Does bank supervision impact bank loan growth?," Journal of Financial Stability, Elsevier, vol. 28(C), pages 29-48.

    Cited by:

    1. Masciandaro, Donato & Peia, Oana & Romelli, Davide, 2020. "Banking supervision and external auditors: Theory and empirics," Journal of Financial Stability, Elsevier, vol. 46(C).
    2. Adesina, Kolade Sunday, 2019. "Basel III liquidity rules: The implications for bank lending growth in Africa," Economic Systems, Elsevier, vol. 43(2), pages 1-1.
    3. Silviu Oprică & Claudia Schwarz, 2024. "Supervisory forward guidance: the effectiveness of the 2020 euro area supervisory capital relief on the bank credit supply channel," Journal of Banking Regulation, Palgrave Macmillan, vol. 25(1), pages 20-41, March.
    4. Ben Naceur, S. & Marton, Katherin & Roulet, Caroline, 2018. "Basel III and bank-lending: Evidence from the United States and Europe," Journal of Financial Stability, Elsevier, vol. 39(C), pages 1-27.
    5. Agoraki, Maria-Eleni K. & Kouretas, Georgios P., 2021. "Loan growth, ownership, and regulation in the European Banking Sector: Old versus new banking landscape," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 75(C).
    6. Kévin Spinassou & Carole Haritchabalet & Laetitia Lepetit, 2020. "Le ratio de levier comme renforcement des fonds propres : une analyse empirique des conséquences sur le risque et le crédit bancaires," Working Papers hal-02546283, HAL.
    7. Thomas Lambert, 2019. "Lobbying on Regulatory Enforcement Actions: Evidence from U.S. Commercial and Savings Banks," Management Science, INFORMS, vol. 67(6), pages 2545-2572, June.
    8. Zheng, Yi, 2020. "Does bank opacity affect lending?," Journal of Banking & Finance, Elsevier, vol. 119(C).
    9. Aparicio, Juan & Duran, Miguel A. & Lozano-Vivas, Ana & Pastor, Jesus T., 2018. "Are charter value and supervision aligned? A segmentation analysis," Journal of Financial Stability, Elsevier, vol. 37(C), pages 60-73.
    10. Maisam Ali & Christopher Gan & Muhammad Nadeem, 2023. "A CEO's expertise power and bank diversification," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 63(4), pages 3815-3840, December.
    11. Deli, Yota & Delis, Manthos D. & Hasan, Iftekhar & Liu, Liuling, 2018. "Enforcement of banking regulation and the cost of borrowing," Bank of Finland Research Discussion Papers 19/2018, Bank of Finland.
    12. Thornton, John & Vasilakis, Chrysovalantis, 2023. "Bank regulations and surges and stops in credit: Panel evidence," Journal of Financial Stability, Elsevier, vol. 67(C).
    13. Nektarios A. Michail & Christos S. Savva & Demetris Koursaros, 2021. "Are central banks to blame? Monetary policy and bank lending behavior," Bulletin of Economic Research, Wiley Blackwell, vol. 73(4), pages 762-779, October.
    14. Alexey Ponomarenko & Andrey Sinyakov, 2018. "Impact of Banking Supervision Enhancement on Banking System Structure: Conclusions from Agent-Based Modeling," Russian Journal of Money and Finance, Bank of Russia, vol. 77(1), pages 26-50, March.
    15. Mikhail Mamonov, 2023. "Measuring Fraud in Banking and its Impact on the Economy: A Quasi-Natural Experiment," CERGE-EI Working Papers wp755, The Center for Economic Research and Graduate Education - Economics Institute, Prague.
    16. Minh Phi, Nguyet Thi & Hong Hoang, Hanh Thi & Taghizadeh-Hesary, Farhad & Yoshino, Naoyuki, 2019. "The Basel Capital Requirement, Lending Interest Rate, and Aggregate Economic Growth: An Empirical Study of Viet Nam," ADBI Working Papers 916, Asian Development Bank Institute.
    17. Ali Awdeh, 2017. "The Determinants of Credit Growth in Lebanon," International Business Research, Canadian Center of Science and Education, vol. 10(2), pages 9-19, February.
    18. Alexey Ponomarenko & Andrey Sinyakov, 2017. "Impact of Banking Supervision Enhancement on Banking System Structure: Conclusions Delivered by Agent-Based Modelling," Bank of Russia Working Paper Series wps37, Bank of Russia.
    19. Dbouk, Wassim & Fang, Yiwei & Liu, Liuling & Wang, Haizhi, 2020. "Do social networks encourage risk-taking? Evidence from bank CEOs," Journal of Financial Stability, Elsevier, vol. 46(C).

  5. Kupiec, Paul H., 2016. "Will TLAC regulations fix the G-SIB too-big-to-fail problem?," Journal of Financial Stability, Elsevier, vol. 24(C), pages 158-169.
    See citations under working paper version above.
  6. Paul Kupiec & Levent Güntay, 2016. "Testing for Systemic Risk Using Stock Returns," Journal of Financial Services Research, Springer;Western Finance Association, vol. 49(2), pages 203-227, June.
    See citations under working paper version above.
  7. Kupiec, Paul & Wallison, Peter, 2015. "Can the “Single Point of Entry” strategy be used to recapitalize a systemically important failing bank?," Journal of Financial Stability, Elsevier, vol. 20(C), pages 184-197.

    Cited by:

    1. Paul H. Kupiec, 2015. "Will TLAC regulations fix the G-SIB too-big-to-fail problem?," AEI Economics Working Papers 850026, American Enterprise Institute.
    2. Li, Zongyuan & Lai, Rose Neng, 2024. "Are “too big to fail” banks just different in size? – A study on systemic risk and stand-alone risk," International Review of Financial Analysis, Elsevier, vol. 93(C).
    3. Douglas da Rosa München & Herbert Kimura, 2020. "Regulatory Banking Leverage: what do you know?," Working Papers Series 540, Central Bank of Brazil, Research Department.
    4. Thomas Conlon & John Cotter, 2019. "Subordinate Resolution ‐‐ An Empirical Analysis of European Union Subsidiary Banks," Journal of Common Market Studies, Wiley Blackwell, vol. 57(4), pages 857-876, July.

  8. Kupiec, Paul H. & Ramirez, Carlos D., 2013. "Bank failures and the cost of systemic risk: Evidence from 1900 to 1930," Journal of Financial Intermediation, Elsevier, vol. 22(3), pages 285-307.

    Cited by:

    1. Assaf, A. George & Berger, Allen N. & Roman, Raluca A. & Tsionas, Mike G., 2019. "Does efficiency help banks survive and thrive during financial crises?," Journal of Banking & Finance, Elsevier, vol. 106(C), pages 445-470.
    2. Beck, T.H.L., 2011. "The Role of Finance in Economic Development : Benefits, Risks, and Politics," Discussion Paper 2011-141, Tilburg University, Center for Economic Research.
    3. Paul-Olivier Klein & Laurent Weill, 2022. "Bank Profitability and Economic Growth," Post-Print hal-03955647, HAL.
    4. Vacca, Valerio Paolo & Bichlmeier, Fabian & Biraschi, Paolo & Boschi, Natalie & Álvarez, Antonio J. Bravo & Di Primio, Luciano & Ebner, André & Hoeretzeder, Silvia & Ballesteros, Elisa Llorente & Mian, 2021. "Measuring the impact of a bank failure on the real economy: an EU-wide analytical framework," ESRB Working Paper Series 122, European Systemic Risk Board.
    5. Gasparini, Tommaso & Lewis, Vivien & Moyen, Stéphane & Villa, Stefania, 2024. "Risky firms and fragile banks: implications for macroprudential policy," CEPR Discussion Papers 18915, C.E.P.R. Discussion Papers.
    6. Stephens, Eric & Thompson, James, 2011. "CDS as Insurance: Leaky Lifeboats in Stormy Seas," Working Papers 2011-9, University of Alberta, Department of Economics, revised 01 Sep 2011.
    7. I. Omosebi Ayeomoni & Gbenga F. Olajide & W. H. Agbaje & S. A. Aladejana, 2016. "Analysis of Interest Rate Volatility on the Real Sector in Nigeria: The Case Study of Agricultural Sector," Journal of Empirical Economics, Research Academy of Social Sciences, vol. 5(2), pages 114-128.
    8. Bui, Christina & Scheule, Harald & Wu, Eliza, 2017. "The value of bank capital buffers in maintaining financial system resilience," Journal of Financial Stability, Elsevier, vol. 33(C), pages 23-40.
    9. Lartey, Theophilus & James, Gregory A. & Danso, Albert & Boateng, Agyenim, 2022. "Bank business models, failure risk and earnings opacity: A short- versus long-term perspective," International Review of Financial Analysis, Elsevier, vol. 80(C).
    10. Lewis, Vivien & Roth, Markus, 2018. "Interest rate rules under financial dominance," Discussion Papers 29/2018, Deutsche Bundesbank.
    11. Thakor, Anjan V., 2016. "The highs and the lows: A theory of credit risk assessment and pricing through the business cycle," Journal of Financial Intermediation, Elsevier, vol. 25(C), pages 1-29.
    12. Mark Carlson & Jonathan D. Rose, 2015. "Credit Availability and the Collapse of the Banking Sector in the 1930s," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 47(7), pages 1239-1271, October.
    13. Lorenc, Amy G. & Zhang, Jeffery Y., 2020. "How bank size relates to the impact of bank stress on the real economy," Journal of Corporate Finance, Elsevier, vol. 62(C).
    14. Christina Bui, 2018. "Bank Regulation and Financial Stability," PhD Thesis, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 5-2018, January-A.
    15. Sun, Junjie & Wu, Deming & Zhao, Xinlei, 2018. "Systematic risk factors and bank failures," Journal of Economics and Business, Elsevier, vol. 98(C), pages 1-18.
    16. Amy Lorenc & Jeffery Y. Zhang, 2018. "The Differential Impact of Bank Size on Systemic Risk," Finance and Economics Discussion Series 2018-066, Board of Governors of the Federal Reserve System (U.S.).
    17. Wei, Lu & Li, Guowen & Li, Jianping & Zhu, Xiaoqian, 2019. "Bank risk aggregation with forward-looking textual risk disclosures," The North American Journal of Economics and Finance, Elsevier, vol. 50(C).
    18. Madhur Bhatia & Rachita Gulati, 2022. "Are boards ‘substitute’ or ‘complement’ dividend payout? Econometric evidence for Indian banks," Economic Notes, Banca Monte dei Paschi di Siena SpA, vol. 51(2), July.
    19. Alonso, Ricardo & Zachariadis, Konstantinos E., 2024. "Persuading large investors," LSE Research Online Documents on Economics 126040, London School of Economics and Political Science, LSE Library.
    20. Carola Frydman & Eric Hilt & Lily Y. Zhou, 2015. "Economic Effects of Runs on Early "Shadow Banks": Trust Companies and the Impact of the Panic of 1907," Journal of Political Economy, University of Chicago Press, vol. 123(4), pages 902-940.
    21. Martin-Flores, Jose M., 2024. "Is bank misconduct related to social capital? Evidence from U.S. banks," Journal of Banking & Finance, Elsevier, vol. 167(C).
    22. Vithessonthi, Chaiporn, 2014. "The effect of financial market development on bank risk: evidence from Southeast Asian countries," International Review of Financial Analysis, Elsevier, vol. 35(C), pages 249-260.
    23. Abildgren, Kim, 2012. "Business cycles, monetary transmission and shocks to financial stability: empirical evidence from a new set of Danish quarterly national accounts 1948-2010," Working Paper Series 1458, European Central Bank.
    24. Onali, Enrico & Galiakhmetova, Ramilya & Molyneux, Philip & Torluccio, Giuseppe, 2016. "CEO power, government monitoring, and bank dividends," Journal of Financial Intermediation, Elsevier, vol. 27(C), pages 89-117.
    25. Aykut Ekinci & Safa Sen, 2024. "Forecasting Bank Failure in the U.S.: A Cost-Sensitive Approach," Computational Economics, Springer;Society for Computational Economics, vol. 64(6), pages 3161-3179, December.

  9. Paul Kupiec, 2007. "Financial stability and Basel II," Annals of Finance, Springer, vol. 3(1), pages 107-130, January.

    Cited by:

    1. Van Son Lai & Issouf Soumaré, 2010. "Risk‐Based Capital and Credit Insurance Portfolios," Financial Markets, Institutions & Instruments, John Wiley & Sons, vol. 19(1), pages 21-45, February.
    2. Robert Jarrow, 2007. "A Critique of Revised Basel II," Journal of Financial Services Research, Springer;Western Finance Association, vol. 32(1), pages 1-16, October.
    3. Charles Goodhart & Dimitrios Tsomocos, 2007. "Financial stability: theory and applications," Annals of Finance, Springer, vol. 3(1), pages 1-4, January.

  10. Paul Kupiec, 2007. "Capital Allocation for Portfolio Credit Risk," Journal of Financial Services Research, Springer;Western Finance Association, vol. 32(1), pages 103-122, October.

    Cited by:

    1. Paul Kupiec, 2007. "Financial stability and Basel II," Annals of Finance, Springer, vol. 3(1), pages 107-130, January.
    2. Van Son Lai & Issouf Soumaré, 2010. "Risk‐Based Capital and Credit Insurance Portfolios," Financial Markets, Institutions & Instruments, John Wiley & Sons, vol. 19(1), pages 21-45, February.
    3. Edson Bastos e Santos & Neil Esho & Marc Farag & Christopher Zuin, 2020. "Variability in risk-weighted assets: what does the market think?," BIS Working Papers 844, Bank for International Settlements.
    4. Andre Güttler & Peter Raupach, 2010. "The Impact of Downward Rating Momentum," Journal of Financial Services Research, Springer;Western Finance Association, vol. 37(1), pages 1-23, February.
    5. Paul H. Kupiec, 2015. "Portfolio diversification in concentrated bond and loan portfolios," AEI Economics Working Papers 837343, American Enterprise Institute.
    6. Pascal François & Weiyu Jiang, 2019. "Credit Value Adjustment with Market-implied Recovery," Journal of Financial Services Research, Springer;Western Finance Association, vol. 56(2), pages 145-166, October.

  11. Paul Kupiec & David Nickerson, 2005. "Insurers are not Banks: Assessing Liquidity, Efficiency and Solvency Risk Under Alternative Approaches to Capital Adequacy," The Geneva Papers on Risk and Insurance - Issues and Practice, Palgrave Macmillan;The Geneva Association, vol. 30(3), pages 498-521, July.

    Cited by:

    1. Daniela Laas & Caroline Franziska Siegel, 2017. "Basel III Versus Solvency II: An Analysis of Regulatory Consistency Under the New Capital Standards," Journal of Risk & Insurance, The American Risk and Insurance Association, vol. 84(4), pages 1231-1267, December.
    2. Therese M. Vaughan, 2008. "The Implications of Prompt Corrective Action for Insurance Firms," NFI Policy Briefs 2008-PB-02, Indiana State University, Scott College of Business, Networks Financial Institute.

  12. Paul Kupiec & David Nickerson, 2004. "Assessing Systemic Risk Exposure from Banks and GSEs Under Alternative Approaches to Capital Regulation," The Journal of Real Estate Finance and Economics, Springer, vol. 28(2_3), pages 123-145, March.

    Cited by:

    1. Poitras, Geoffrey & Zanotti, Giovanna, 2016. "Mortgage contract design and systemic risk immunization," International Review of Financial Analysis, Elsevier, vol. 45(C), pages 320-331.
    2. VanHoose, David, 2011. "Systemic Risk and Macroprudential Bank Regulation: A Critical Appraisal," Journal of Financial Transformation, Capco Institute, vol. 33, pages 45-60.
    3. ZELDEA, Cristina Georgiana, 2019. "Systemic Risk: An Overview," Studii Financiare (Financial Studies), Centre of Financial and Monetary Research "Victor Slavescu", vol. 23(3), pages 34-48, September.

  13. Paul H. Kupiec & James M. O'Brien, 1998. "Deposit insurance, bank incentives, and the design of regulatory policy," Economic Policy Review, Federal Reserve Bank of New York, vol. 4(Oct), pages 201-211.
    See citations under working paper version above.
  14. Paul Kupiec, 1998. "Margin Requirements, Volatility, and Market Integrity: What Have We Learned Since the Crash?," Journal of Financial Services Research, Springer;Western Finance Association, vol. 13(3), pages 231-255, June.
    See citations under working paper version above.
  15. Paul H. Kupiec & A. Patricia White, 1996. "Regulatory competition and the efficiency of alternative derivative product margining systems," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 16(8), pages 943-968, December.
    See citations under working paper version above.
  16. Paul H. Kupiec, 1995. "A Securities Transactions Tax And Capital Market Efficiency," Contemporary Economic Policy, Western Economic Association International, vol. 13(1), pages 101-112, January.

    Cited by:

    1. Sinha, Pankaj & Mathur, Kritika, 2012. "Evolution of security transaction tax in India," MPRA Paper 40165, University Library of Munich, Germany.
    2. Haberer, Markus, 2004. "Might a Securities Transactions Tax Mitigate Excess Volatility? Some Evidence From the Literature," CoFE Discussion Papers 04/06, University of Konstanz, Center of Finance and Econometrics (CoFE).
    3. Sinha, Pankaj & Mathur, Kritika, 2012. "Securities transaction tax and the stock market– an Indian experience," MPRA Paper 42743, University Library of Munich, Germany.
    4. Hanke, Michael & Huber, Jürgen & Kirchler, Michael & Sutter, Matthias, 2010. "The economic consequences of a Tobin tax--An experimental analysis," Journal of Economic Behavior & Organization, Elsevier, vol. 74(1-2), pages 58-71, May.
    5. Jürgen Huber & Michael Kirchler & Daniel Kleinlercher & Matthias Sutter, 2017. "Market versus Residence Principle: Experimental Evidence on the Effects of a Financial Transaction Tax," Economic Journal, Royal Economic Society, vol. 127(605), pages 610-631, October.
    6. Mannaro, Katiuscia & Marchesi, Michele & Setzu, Alessio, 2008. "Using an artificial financial market for assessing the impact of Tobin-like transaction taxes," Journal of Economic Behavior & Organization, Elsevier, vol. 67(2), pages 445-462, August.

  17. Paul H. Kupiec, 1994. "The performance of S&P 500 futures product margins under the SPAN margining system," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 14(7), pages 789-811, October.
    See citations under working paper version above.
  18. Paul H. Kupiec, 1993. "Futures margins and stock price volatility: Is there any link?," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 13(6), pages 677-691, September.
    See citations under working paper version above.
  19. George W. Fenn & Paul Kupiec, 1993. "Prudential margin policy in a futures‐style settlement system," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 13(4), pages 389-408, June.
    See citations under working paper version above.
  20. Kupiec, Paul H & Sharpe, Steven A, 1991. "Animal Spirits, Margin Requirements, and Stock Price Volatility," Journal of Finance, American Finance Association, vol. 46(2), pages 717-731, June.
    See citations under working paper version above.

Chapters

    Sorry, no citations of chapters recorded.
IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.