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Has the Basel Accord Improved Risk Management During the Global Financial Crisis?. (2013). McAleer, Michael ; Jimenez-Martin, Juan ; Juan-Ángel Jiménez-Martín, ; Teodosio Pérez-Amaral, .
In: Tinbergen Institute Discussion Papers.
RePEc:tin:wpaper:20130010.

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Cited: 27

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    In: Economic Analysis and Policy.
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  2. Forecasting Value-at-Risk of Cryptocurrencies with RiskMetrics type models. (2020). Gözgör, Giray ; Liu, Wei ; Gozgor, Giray ; Marco, Chi Keung ; Semeyutin, Artur.
    In: Research in International Business and Finance.
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  3. Forecast combinations for value at risk and expected shortfall. (2020). Taylor, James W.
    In: International Journal of Forecasting.
    RePEc:eee:intfor:v:36:y:2020:i:2:p:428-441.

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  4. Evaluation of volatility models for forecasting Value-at-Risk and Expected Shortfall in the Portuguese stock market. (2020). Sobreira, Nuno ; Louro, Rui.
    In: Finance Research Letters.
    RePEc:eee:finlet:v:32:y:2020:i:c:s1544612318305403.

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  5. Choosing expected shortfall over VaR in Basel III using stochastic dominance. (2019). McAleer, Michael ; Jimenez-Martin, Juan ; Chang, Chia-Lin ; Perez-Amaral, Teodosio ; Maasoumi, Esfandiar .
    In: International Review of Economics & Finance.
    RePEc:eee:reveco:v:60:y:2019:i:c:p:95-113.

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  6. Measuring bank downside systemic risk in Taiwan. (2018). Su, Ender ; Wong, Kai Wen.
    In: The Quarterly Review of Economics and Finance.
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  7. An integrated macro?financial risk?based approach to the stressed capital requirement. (2017). Liu, Xiaochun.
    In: Review of Financial Economics.
    RePEc:wly:revfec:v:34:y:2017:i:1:p:86-98.

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  8. EWS-GARCH: New Regime Switching Approach to Forecast Value-at-Risk. (2017). Chlebus, Marcin ; Marcin, Chlebus.
    In: Central European Economic Journal.
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  9. Measuring risks in the extreme tail: The extreme VaR and its confidence interval. (2017). Guegan, Dominique ; Hassani, Bertrand K ; Li, Kehan.
    In: Documents de travail du Centre d'Economie de la Sorbonne.
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  10. Measuring risks in the extreme tail: The extreme VaR and its confidence interval. (2017). Li, Kehan ; Hassani, Bertrand ; Guegan, Dominique.
    In: Post-Print.
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  11. An integrated macro-financial risk-based approach to the stressed capital requirement. (2017). Liu, Xiaochun.
    In: Review of Financial Economics.
    RePEc:eee:revfin:v:34:y:2017:i:c:p:86-98.

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  12. An econometric analysis of ETF and ETF futures in financial and energy markets using generated regressors. (2016). McAleer, Michael ; Chang, Chia-Lin ; Wang, Chien-Hsun.
    In: Documentos de Trabajo del ICAE.
    RePEc:ucm:doicae:1612.

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  13. An Econometric Analysis of ETF and ETF Futures in Financial and Energy Markets using Generated Regressors. (2016). McAleer, Michael ; Chang, Chia-Lin ; Wang, Chien-Hsun.
    In: Tinbergen Institute Discussion Papers.
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  14. An Econometric Analysis of ETF and ETF Futures in Financial and Energy Markets Using Generated Regressors. (2016). McAleer, Michael ; Chang, Chia-Lin.
    In: Econometric Institute Research Papers.
    RePEc:ems:eureir:93118.

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  15. Frontiers in VaR forecasting and backtesting. (2016). Ruiz, Esther ; Nieto, Maria Rosa .
    In: International Journal of Forecasting.
    RePEc:eee:intfor:v:32:y:2016:i:2:p:475-501.

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  16. Modelling a latent daily Tourism Financial Conditions Index. (2015). Chang, Chia-Lin.
    In: International Review of Economics & Finance.
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  17. A stochastic dominance approach to financial risk management strategies. (2015). Maasoumi, Esfandiar ; Jimenez-Martin, Juan ; Chang, Chia-Lin ; Perez-Amaral, Teodosio.
    In: Journal of Econometrics.
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  18. Volatility spillover dynamics and relationship across G7 financial markets. (2015). Liow, Kim.
    In: The North American Journal of Economics and Finance.
    RePEc:eee:ecofin:v:33:y:2015:i:c:p:328-365.

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  19. Policy interest rate, loan portfolio management and bank liquidity. (2015). giulioni, gianfranco.
    In: The North American Journal of Economics and Finance.
    RePEc:eee:ecofin:v:31:y:2015:i:c:p:52-74.

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  20. Empirical analysis of long memory, leverage, and distribution effects for stock market risk estimates. (2014). Su, Jung-Bin.
    In: The North American Journal of Economics and Finance.
    RePEc:eee:ecofin:v:30:y:2014:i:c:p:1-39.

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  21. The deterministic shift extension and the affine dynamic Nelson–Siegel model. (2014). HILLION, ALAIN ; DANG-NGUYEN, STEPHANE ; le Caillec, Jean-Marc.
    In: The North American Journal of Economics and Finance.
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  22. Statistics of extreme events in risk management: The impact of the subprime and global financial crisis on the German stock market. (2014). Herrera, Rodrigo ; Schipp, Bernhard .
    In: The North American Journal of Economics and Finance.
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  23. The Cox, Ross and Rubinstein tree model which includes counterparty credit risk and funding costs. (2014). Hunzinger, Chadd B. ; Labuschagne, Coenraad C. A., .
    In: The North American Journal of Economics and Finance.
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  24. Risk management in life insurance companies: Evidence from Taiwan. (2014). Hu, Jin-Li ; Yu, Hsueh-E, .
    In: The North American Journal of Economics and Finance.
    RePEc:eee:ecofin:v:29:y:2014:i:c:p:185-199.

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  25. Recent Developments in Financial Economics and Econometrics: An Overview. (2013). McAleer, Michael ; Chang, Chia-Lin ; Allen, David.
    In: Documentos de Trabajo del ICAE.
    RePEc:ucm:doicae:1303.

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  26. Recent Developments in Financial Economics and Econometrics: An Overview. (2013). McAleer, Michael ; Chang, Chia-Lin ; Allen, David.
    In: Tinbergen Institute Discussion Papers.
    RePEc:tin:wpaper:20130021.

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  27. GFC-robust risk management under the Basel Accord using extreme value methodologies. (2013). perez-amaral, teodosio ; McAleer, Michael ; Jimenez-Martin, Juan ; Santos, Paulo Araujo ; AraujoSantos, Paulo .
    In: Mathematics and Computers in Simulation (MATCOM).
    RePEc:eee:matcom:v:94:y:2013:i:c:p:223-237.

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References

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    RePEc:taf:apeclt:v:19:y:2012:i:4:p:363-366.

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  36. Model-based Estimation of High Frequency Jump Diffusions with Microstructure Noise and Stochastic Volatility. (2008). Bos, Charles.
    In: Tinbergen Institute Discussion Papers.
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  37. Long Memory Modelling of Inflation with Stochastic Variance and Structural Breaks. (2007). Ooms, Marius ; Koopman, Siem Jan ; Bos, Charles.
    In: Tinbergen Institute Discussion Papers.
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  38. The Power of Weather: Some Empirical Evidence on Predicting Day-ahead Power Prices through Day-ahead Weather Forecasts. (2007). Zhou, Chen ; Ravazzolo, Francesco ; Huurman, Christian .
    In: Tinbergen Institute Discussion Papers.
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  39. Dynamic Correlations and Optimal Hedge Ratios. (2007). Bos, Charles ; Gould, Phillip .
    In: Tinbergen Institute Discussion Papers.
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  40. NON-LINEARITY IN THE CANADIAN AND US LABOUR MARKETS: UNIVARIATE AND MULTIVARIATE EVIDENCE FROM A BATTERY OF TESTS. (2007). Pelloni, Gianluigi ; Panagiotidis, Theodore.
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  41. Detecting Some Dynamic Properties of the Euro/Dollar Exchange Rate. (2006). Osinska, Magdalena ; Matuszewska-Janica, Aleksandra ; Osiska, Magdalena.
    In: International Advances in Economic Research.
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  42. Common Volatility Trends in the Central and Eastern European Currencies and the Euro. (2006). Tamirisa, Natalia T ; Pramor, Marcus.
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  43. Outlier Detection in GARCH Models. (2005). Ooms, Marius ; Doornik, Jurgen.
    In: Tinbergen Institute Discussion Papers.
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  44. Periodic Seasonal Reg-ARFIMA-GARCH Models for Daily Electricity Spot Prices. (2005). Ooms, Marius ; Koopman, Siem Jan ; Carnero, M. Angeles.
    In: Tinbergen Institute Discussion Papers.
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  45. Nonparametric Tests for Serial Independence Based on Quadratic Forms. (2005). Panchenko, Valentyn ; Diks, Cees.
    In: Tinbergen Institute Discussion Papers.
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  46. Duration and convexity in spanish corporate bonds. (2004). Sotos, Francisco .
    In: International Advances in Economic Research.
    RePEc:kap:iaecre:v:10:y:2004:i:4:p:273-277:10.1007/bf02295140.

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  47. Weak convergence and distributional assumptions for a general class of nonliner arch models. (1997). Mele, Antonio ; Fornari, Fabio.
    In: Econometric Reviews.
    RePEc:taf:emetrv:v:16:y:1997:i:2:p:205-227.

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  48. The economics of conditional heteroskedasticity: Evidence from canadian and U.S. stock and futures markets. (1997). Ackert, Lucy.
    In: Atlantic Economic Journal.
    RePEc:kap:atlecj:v:25:y:1997:i:4:p:371-385.

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  49. Incerteza inflacionária e crescimento do produto e incerteza do produto e crescimento inflacionário. (1991). Teixeira, Ernani .
    In: Nova Economia.
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  50. Uncertainty Shocks and Business Cycle Research. (). Guerron, Pablo ; Fernandez-Villaverde, Jesus ; Guerron-Quintana, Pablo.
    In: Review of Economic Dynamics.
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