Citations (26)
Keep up to date with the latest research on this topic with citation updates for this article.
Read on this site (26)
Yu Zhao & Jichan Zhu. (2023) The effect of US economic policy uncertainty on market risk of international crude oil and the portfolio strategy. Economic Research-Ekonomska Istraživanja 36:2.
Read now
Read now
Esmat Jamshidi Eini & Hamid Khaloozadeh. (2021) Tail conditional moment for generalized skew-elliptical distributions. Journal of Applied Statistics 48:13-15, pages 2285-2305.
Read now
Read now
Xiaoxia Huang & Xuting Wang. (2021) International portfolio optimization based on uncertainty theory. Optimization 70:2, pages 225-249.
Read now
Read now
Yi-Wen Chen, Chu-Bin Lin & Anthony H. Tu. (2020) Regime-Switching Processes and Mean-Reverting Volatility Models in Value-at-Risk Estimation: Evidence from the Taiwan Stock Index. Emerging Markets Finance and Trade 56:12, pages 2693-2710.
Read now
Read now
William N. Goetzmann. (2020) The Financial Analysts Journal and Investment
Management. Financial Analysts Journal 76:3, pages 5-21.
Read now
Read now
Tsung-Che Wu, Hung-Hsi Huang, Ching-Ping Wang & Yi-Lin Zhong. (2020) The Influences of Book-to-Price Ratio and Stock Capitalization on Value-at-Risk Estimation in Taiwan Stock Market. Emerging Markets Finance and Trade 56:5, pages 1055-1072.
Read now
Read now
Q. Mashalaba & C-K. Huang. (2020) Aggregational Effects in Extreme Value and Generalized Hyperbolic Models for Value-At-Risk Estimation: Evidence From the NYSE, FTSE, KRX and TWSE. Studies in Economics and Econometrics 44:1, pages 45-72.
Read now
Read now
Felix Scheller & Benjamin R. Auer. (2018) How does the choice of Value-at-Risk estimator influence asset allocation decisions?. Quantitative Finance 18:12, pages 2005-2022.
Read now
Read now
Abhinav Goyal, Vasileios Kallinterakis, Dimos Kambouroudis & Jason Laws. (2018) Cross-border exchanges and volatility forecasting. Quantitative Finance 18:5, pages 789-799.
Read now
Read now
Jia Zhai, Manying Bai & Hongru Wu. (2018) Mean-risk-skewness models for portfolio optimization based on uncertain measure. Optimization 67:5, pages 701-714.
Read now
Read now
Zhen Yan & Junjian Zhang. (2017) Adjusted empirical likelihood for value at risk and expected shortfall. Communications in Statistics - Theory and Methods 46:5, pages 2580-2591.
Read now
Read now
Julija Cerović Smolović, Milena Lipovina-Božović & Saša Vujošević. (2017) GARCH models in value at risk estimation: empirical evidence from the Montenegrin stock exchange. Economic Research-Ekonomska Istraživanja 30:1, pages 477-498.
Read now
Read now
Guy Kaplanski & Haim Levy. (2015) Value-at-risk capital requirement regulation, risk taking and asset allocation: a mean–variance analysis. The European Journal of Finance 21:3, pages 215-241.
Read now
Read now
Dar-Hsin Chen, Chun-Da Chen & Su-Chen Wu. (2014) VaR and the cross-section of expected stock returns: an emerging market evidence. Journal of Business Economics and Management 15:3, pages 441-459.
Read now
Read now
Shang-Ling Ou, Li-yu Daisy Liu & Yih-Chang Ou. (2014) Using a genetic algorithm-based RAROC model for the performance and persistence of the funds. Journal of Applied Statistics 41:5, pages 929-943.
Read now
Read now
Carl Lönnbark. (2010) A corrected Value-at-Risk predictor. Applied Economics Letters 17:12, pages 1193-1196.
Read now
Read now
Cheng-Te Chen, Chin-Shan Hsieh & Hae-Ching Chang. (2009) Combine GARCH model and neural networks to forecast Value at Risk (VAR) in the futures market. Journal of Statistics and Management Systems 12:3, pages 471-486.
Read now
Read now
Hae-Ching Chang, Jian-Hsin Chou, Cheng-Te Chen & Chin-Shan Hsieh. (2008) Hybrid method of using neural networks and ARMA model to forecast value at risk (VAR) in the Chinese stock market. Journal of Statistics and Management Systems 11:6, pages 1093-1108.
Read now
Read now
Yuan-Hung Hsu Ku. (2008) Student-t distribution based VAR-MGARCH: an application of the DCC model on international portfolio risk management. Applied Economics 40:13, pages 1685-1697.
Read now
Read now
Jian-Hsin Chou, Hong-Fwu Yu & Zhen-Yu Chen. (2008) INTERVAL ESTIMATION OF VALUE-AT-RISK FOR TAIWAN WEIGHTED STOCK INDEX BASED ON EXTREME VALUE THEORY. Journal of the Chinese Institute of Industrial Engineers 25:1, pages 31-42.
Read now
Read now
Suat Teker & M.
Baris Akçay. (2004) Value-at-Risk (VaR) Computations Under Various VaR Models and Stress Testing. Journal of Transnational Management Development 9:2-3, pages 47-67.
Read now
Read now
Claudio Albanese, Ken Jackson & Petter Wiberg. (2004) A new Fourier transform algorithm for value-at-risk. Quantitative Finance 4:3, pages 328-338.
Read now
Read now
John Knight, Stephen Satchell & Guoqiang Wang. (2003) Value at risk linear exponent (VARLINEX) forecasts. Quantitative Finance 3:4, pages 332-344.
Read now
Read now
Yi-Ping Chang, Ming-Chin Hung & Yi-Fang Wu. (2003) Nonparametric Estimation for Risk in Value-at-Risk Estimator. Communications in Statistics - Simulation and Computation 32:4, pages 1041-1064.
Read now
Read now
Chris Brooks & Gita Persand. (2002) Model Choice and Value-at-Risk Performance. Financial Analysts Journal 58:5, pages 87-97.
Read now
Read now
Rachel Campbell, Kees Koedijk & Paul Kofman. (2002) Increased Correlation in Bear Markets. Financial Analysts Journal 58:1, pages 87-94.
Read now
Read now