Evaluation of Value-at-Risk Models Using Historical Data
Preprint
- 1 January 1996
- preprint
- Published by Elsevier in SSRN Electronic Journal
Abstract
Recent studies have underscored the need for market participants to develop reliable methods of measuring risk. One increasingly popular technique is the use ofKeywords
All Related Versions
This publication has 14 references indexed in Scilit:
- Evaluation of Value-at-Risk Models Using Historical DataSSRN Electronic Journal, 1996
- Along modern linesManufacturing Engineer, 1995
- Modeling Volatility DynamicsPublished by Springer Nature ,1995
- Chapter 49 Arch modelsPublished by Elsevier ,1994
- ARCH modeling in financeJournal of Econometrics, 1992
- The Message in Daily Exchange Rates: A Conditional-Variance TaleJournal of Business & Economic Statistics, 1989
- A Conditionally Heteroskedastic Time Series Model for Speculative Prices and Rates of ReturnThe Review of Economics and Statistics, 1987
- Modelling the persistence of conditional variancesEconometric Reviews, 1986
- Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom InflationEconometrica, 1982
- The Behavior of Stock-Market PricesThe Journal of Business, 1965