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Financial Analysts Journal Volume 58, 2002 - Issue 5
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RISK MEASUREMENT AND MANAGEMENT

Model Choice and Value-at-Risk Performance

Chris Brooks Chris Brooks is professor of finance at the ISMA Centre, University of Reading, United Kingdom.
&
Gita Persand Gita Persand is a lecturer (assistant professor) in finance at the University of Bristol, United Kingdom.
Pages 87-97 | Published online: 02 Jan 2019

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Josephine Dufitinema. (2021) Stochastic volatility forecasting of the Finnish housing market. Applied Economics 53:1, pages 98-114.
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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.
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Emrah Altun, Huseyin Tatlidil & Gamze Ozel. (2019) Value-at-risk estimation with new skew extension of generalized normal distribution. Communications in Statistics - Theory and Methods 48:14, pages 3663-3681.
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Emrah Altun. (2019) The generalized Gudermannian distribution: inference and volatility modelling. Statistics 53:2, pages 364-386.
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Emrah Altun, Huseyin Tatlidil, Gamze Ozel & Saralees Nadarajah. (2018) A new generalization of skew-T distribution with volatility models. Journal of Statistical Computation and Simulation 88:7, pages 1252-1272.
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Kui-Wai Li. (2012) A study on the volatility forecast of the US housing market in the 2008 crisis. Applied Financial Economics 22:22, pages 1869-1880.
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Perry Sadorsky. (2005) Stochastic volatility forecasting and risk management. Applied Financial Economics 15:2, pages 121-135.
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