Nothing Special   »   [go: up one dir, main page]
create a website
FOREX Risk: Measurement and Evaluation Using Value‐at‐Risk. (2004). Hyde, Stuart ; Bredin, Don.
In: Journal of Business Finance & Accounting.
RePEc:bla:jbfnac:v:31:y:2004:i:9-10:p:1389-1417.

Full description at Econpapers || Download paper

Cited: 3

Citations received by this document

Cites: 24

References cited by this document

Cocites: 44

Documents which have cited the same bibliography

Coauthors: 0

Authors who have wrote about the same topic

Citations

Citations received by this document

  1. Forex Investment Optimization Using Instantaneous Stochastic Gradient Ascent—Formulation of an Adaptive Machine Learning Approach. (2022). Alzahrani, Abdulkareem ; Almuhaimeed, Abdullah ; Imran, Azhar ; Basri, Rabia ; Saadia, Ayesha ; Murtza, Iqbal.
    In: Sustainability.
    RePEc:gam:jsusta:v:14:y:2022:i:22:p:15328-:d:976744.

    Full description at Econpapers || Download paper

  2. Exchange rate predictive densities and currency risks: A quantile regression approach. (2020). Joseph, Niango Ange.
    In: EconomiX Working Papers.
    RePEc:drm:wpaper:2020-16.

    Full description at Econpapers || Download paper

  3. Risk Management, Capital Adequacy and Audit Quality for Financial Stability: Assessment from Commercial Banks of Pakistan. (2019). Mohamed-Arshad, Shamsul Bahrain ; Omran, Abdelnaser ; Kamran, Hafiz Waqas.
    In: Asian Economic and Financial Review.
    RePEc:asi:aeafrj:v:9:y:2019:i:6:p:654-664:id:1827.

    Full description at Econpapers || Download paper

References

References cited by this document

  1. Alexander, C. 2002, ‘Principal Component Models for Generating Large GARCH Covariance Matrices’, Economic Notes, Vol. 31, No. 2, pp. 337–59. .

  2. Alexander, C. and A. Chibumba 1998, ‘Orthogonal GARCH: An Empirical Validation on Equities, Foreign‐Exchange and Interest Rates’, Working Paper (University of Sussex). .
    Paper not yet in RePEc: Add citation now
  3. Alexander, C. and C. Leigh 1997, ‘On the Covariance Matrices used in Value‐at‐Risk Models’, Journal of Derivatives, Vol. 4, No. 3, pp. 50–62. .
    Paper not yet in RePEc: Add citation now

  4. Bollerslev, T. 1986, ‘Generalised Autoregressive Conditional Heteroskedasticity’, Journal of Econometrics, Vol. 31, No. 3, pp. 307–27. .

  5. Browne, F., J. Fell and S. Hughes 1994, ‘Derivatives: Their Contribution to Markets and Supervisory Concerns’, Central Bank of Ireland Quarterly Bulletin (Autumn). .
    Paper not yet in RePEc: Add citation now
  6. Cassidy, C. and M. Gizycki 1997, ‘Measuring Market Traded Risk: Value‐at‐Risk and Backtesting Techniques’, Reserve Bank of Australia Discussion Paper No. 9708. .
    Paper not yet in RePEc: Add citation now

  7. Christoffersen, P. 1998, ‘Evaluating Interval Forecasts’, International Economic Review, Vol. 39, pp. 841–62. .

  8. Dowd, K. 1998, Beyond Value at Risk: The New Science of Risk Management (Wiley, Chichester, UK). .
    Paper not yet in RePEc: Add citation now
  9. Engel, J. and M. Gizycki 1999, ‘Conservatism, Accuracy and Efficiency: Comparing Value at Risk Models’, Australian Prudential Regulatory Authority Discussion Paper No. 2. .
    Paper not yet in RePEc: Add citation now

  10. Engle, R. 2000, ‘Dynamic Conditional Correlation – A Simple Class of Multivariate GARCH Models’, Working Paper (University of California, San Diego). .

  11. Engle, R. and K. Kroner 1995, ‘Multivariate Simultaneous GARCH’ Econometric Theory, Vol. 11, pp. 122–50. .
    Paper not yet in RePEc: Add citation now

  12. Engle, R. and K. Sheppard 2001, ‘Theoretical and Empirical Properties of Dynamic Conditional Correlation Multivariate GARCH’, Working Paper (University of California, San Diego). .

  13. Engle, R., V. Ng and M. Rothschild 1998, ‘Asset Pricing with a Factor ARCH Covariance Structure: Empirical Estimates for Treasury Bills’, NBER Technical Working Paper No. 65. .
    Paper not yet in RePEc: Add citation now
  14. Gizycki, M. and N. Hereford 1998, ‘Assessing the Dispersion in Banks’ Estimates of Market Risk: The Results of a Value‐at‐Risk Survey’, Australian Prudential Regulatory Authority Discussion Paper No. 1.
    Paper not yet in RePEc: Add citation now
  15. Guermat, C. and R.D.F. Harris 2001, ‘Robust Conditional Variance Estimation and Value‐at‐Risk’ (mimeo, University of Exeter). .
    Paper not yet in RePEc: Add citation now
  16. Hendricks, D. 1996, ‘Evaluation of Value‐at‐Risk Models using Historical Data’, Federal Reserve Bank of New York Economic Policy Review (April), pp. 39–69. .
    Paper not yet in RePEc: Add citation now
  17. Hendricks, D. and B. Hirtle 1997, ‘Bank Capital Requirements for Market Risk: The Internal Models Approach’, Federal Reserve Bank of New York Economic Policy Review (December), pp. 1–12. .
    Paper not yet in RePEc: Add citation now
  18. Jackson, P., D. Maude and W. Perraudin 1995, ‘Capital Requirements and Value‐at‐Risk Analysis’, Institute for Financial Research, Birkbeck College Working Paper IFR1. .
    Paper not yet in RePEc: Add citation now
  19. Jackson, P., D. Maude and W. Perraudin 1997, ‘Bank Capital and Value‐at‐Risk’, Journal of Derivatives, Vol. 4, No. 3, pp. 73–89. .
    Paper not yet in RePEc: Add citation now
  20. Jackson, P., W. Perraudin and D. Maude 1998, ‘Testing Value‐at‐Risk Approaches to Capital Adequacy’, Bank of England Quarterly Bulletin, Vol. 38, No. 3, pp. 256–66. .
    Paper not yet in RePEc: Add citation now
  21. Jorion, P. 1997, Value at Risk: The New Benchmark for Controlling Market Risk (McGraw Hill, New York, US). .
    Paper not yet in RePEc: Add citation now
  22. Lopez, J. 1999, ‘Methods for Evaluating Value‐at‐Risk Estimates’, Federal Reserve Bank of San Francisco Economic Review, No. 02, pp. 3–17. .
    Paper not yet in RePEc: Add citation now
  23. Sarma, M., S. Thomas and A. Shah 2000, ‘Performance Evaluation of Alternative VaR Models’ (mimeo, Indira Gandhi Institute of Development Research).
    Paper not yet in RePEc: Add citation now
  24. Wilmott, P. 1998, Derivatives: The Theory and Practice of Financial Engineering (Wiley, Chichester, UK). .
    Paper not yet in RePEc: Add citation now

Cocites

Documents in RePEc which have cited the same bibliography

  1. The football world upside down: Traditional equities as an alternative for the new fan tokens? A portfolio optimization study. (2024). Esparcia, Carlos ; Diaz, Antonio.
    In: Research in International Business and Finance.
    RePEc:eee:riibaf:v:71:y:2024:i:c:s0275531924002897.

    Full description at Econpapers || Download paper

  2. Sustainable risk preferences on asset allocation: a higher order optimal portfolio study. (2024). Esparcia, Carlos ; Escribano, Ana ; Diaz, Antonio.
    In: Journal of Behavioral and Experimental Finance.
    RePEc:eee:beexfi:v:41:y:2024:i:c:s2214635024000029.

    Full description at Econpapers || Download paper

  3. Supply chain management based on volatility clustering: The effect of CBDC volatility. (2022). Du, Min ; Wu, Xiangling ; Cui, Tianxiang ; Ding, Shusheng.
    In: Research in International Business and Finance.
    RePEc:eee:riibaf:v:62:y:2022:i:c:s0275531922000782.

    Full description at Econpapers || Download paper

  4. Volatility Spillovers among Developed and Developing Countries: The Global Foreign Exchange Markets. (2021). Mohammed, Walid Abass.
    In: JRFM.
    RePEc:gam:jjrfmx:v:14:y:2021:i:6:p:270-:d:575902.

    Full description at Econpapers || Download paper

  5. A non-elliptical orthogonal GARCH model for portfolio selection under transaction costs. (2021). Walker, Patrick S ; Polak, Pawe ; Paolella, Marc S.
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:125:y:2021:i:c:s0378426621000042.

    Full description at Econpapers || Download paper

  6. Who is the center of local currency Asian government bond markets?. (2021). Tsukuda, Yoshihiko ; Shimada, Junji ; Miyakoshi, Tatsuyoshi.
    In: Japan and the World Economy.
    RePEc:eee:japwor:v:59:y:2021:i:c:s0922142521000220.

    Full description at Econpapers || Download paper

  7. .

    Full description at Econpapers || Download paper

  8. Geostatistical modeling of dependent credit spreads: Estimation of large covariance matrices and imputation of missing data. (2020). Graler, Benedikt ; Scherer, Matthias ; Huttner, Amelie.
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:118:y:2020:i:c:s0378426620301631.

    Full description at Econpapers || Download paper

  9. Covariance Prediction in Large Portfolio Allocation. (2019). Zevallos, Mauricio ; Trucíos, Carlos ; Santos, Andre ; Hotta, Luiz ; Trucios, Carlos.
    In: Econometrics.
    RePEc:gam:jecnmx:v:7:y:2019:i:2:p:19-:d:229754.

    Full description at Econpapers || Download paper

  10. Regularized semiparametric estimation of high dimensional dynamic conditional covariance matrices. (2018). MORANA, CLAUDIO ; Claudio, Morana.
    In: Working Papers.
    RePEc:mib:wpaper:382.

    Full description at Econpapers || Download paper

  11. A factor-based approach of bond portfolio value-at-risk: The informational roles of macroeconomic and financial stress factors. (2018). Tu, Anthony H ; Chen, Cathy Yi-Hsuan.
    In: Journal of Empirical Finance.
    RePEc:eee:empfin:v:45:y:2018:i:c:p:243-268.

    Full description at Econpapers || Download paper

  12. High-dimensional covariance forecasting based on principal component analysis of high-frequency data. (2018). Jian, Zhi Hong ; Zhu, Zhican ; Deng, Pingjun.
    In: Economic Modelling.
    RePEc:eee:ecmode:v:75:y:2018:i:c:p:422-431.

    Full description at Econpapers || Download paper

  13. A cluster driven log-volatility factor model: a deepening on the source of the volatility clustering. (2018). di Matteo, Tiziana ; Buonocore, Riccardo Junior ; Verma, Anshul.
    In: Papers.
    RePEc:arx:papers:1712.02138.

    Full description at Econpapers || Download paper

  14. Co-movements in Market Prices and Fundamentals: A Semiparametric Multivariate GARCH Approach. (2017). Desboulets, Loann.
    In: Working Papers.
    RePEc:hal:wpaper:halshs-02059302.

    Full description at Econpapers || Download paper

  15. What Derives the Bond Portfolio Value-at-Risk: Information Roles of Macroeconomic and Financial Stress Factors. (2016). Tu, Anthony H ; Chen, Cathy Yi-Hsuan.
    In: SFB 649 Discussion Papers.
    RePEc:hum:wpaper:sfb649dp2016-006.

    Full description at Econpapers || Download paper

  16. Multivariate Stochastic Volatility-Double Jump Model: an application for oil assets. (2016). Mauad, Roberto ; Laurini, Márcio ; Aiube, Fernando Antonio ; Lucena, Fernando Antonio .
    In: Working Papers Series.
    RePEc:bcb:wpaper:415.

    Full description at Econpapers || Download paper

  17. Semiparametric Estimation of Multivariate GARCH Models. (2015). MORANA, CLAUDIO ; Claudio, Morana.
    In: Working Papers.
    RePEc:mib:wpaper:317.

    Full description at Econpapers || Download paper

  18. Factor Vector Autoregressive Estimation of Heteroskedastic Persistent and Non Persistent Processes Subject to Structural Breaks. (2014). MORANA, CLAUDIO.
    In: Working Papers.
    RePEc:mib:wpaper:273.

    Full description at Econpapers || Download paper

  19. Hedge fund systemic risk signals. (2014). Savona, Roberto.
    In: European Journal of Operational Research.
    RePEc:eee:ejores:v:236:y:2014:i:1:p:282-291.

    Full description at Econpapers || Download paper

  20. Factor Vector Autoregressive Estimation of Heteroskedastic Persistent and Non Persistent Processes Subject to Structural Breaks: New Insights on the US OIS SPreads Term Structure. (2013). MORANA, CLAUDIO.
    In: Working Papers.
    RePEc:mib:wpaper:233.

    Full description at Econpapers || Download paper

  21. Dynamic factor Value-at-Risk for large heteroskedastic portfolios. (2013). Wu, Jason ; Giudice Rodriguez, Marius del, ; Aramonte, Sirio.
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:37:y:2013:i:11:p:4299-4309.

    Full description at Econpapers || Download paper

  22. Separating the wheat from the chaff: Understanding portfolio returns in an emerging market. (2013). Eterovic, Dalibor.
    In: Emerging Markets Review.
    RePEc:eee:ememar:v:16:y:2013:i:c:p:145-169.

    Full description at Econpapers || Download paper

  23. New Insights on the US OIS Spreads Term Structure During the Recent Financial Turmoil. (2013). MORANA, CLAUDIO.
    In: CeRP Working Papers.
    RePEc:crp:wpaper:137.

    Full description at Econpapers || Download paper

  24. The systemic risk of energy markets. (2013). Pierret, Diane.
    In: CORE Discussion Papers.
    RePEc:cor:louvco:2013018.

    Full description at Econpapers || Download paper

  25. The systemic risk of energy markets. (2013). Pierret, D.
    In: IBSA Discussion Papers (ISBA - Institute of Statistics, Biostatistics and Actuarial Sciences).
    RePEc:aiz:louvad:2013061.

    Full description at Econpapers || Download paper

  26. Dynamic Correlation or Tail Dependence Hedging for Portfolio Selection. (2011). Stefanova, Denitsa ; Elkamhia, Redouane .
    In: Tinbergen Institute Discussion Papers.
    RePEc:tin:wpaper:20110028.

    Full description at Econpapers || Download paper

  27. Dynamic Conditional Correlation: On properties and estimation. (2011). Aielli, Gian Piero .
    In: Marco Fanno Working Papers.
    RePEc:pad:wpaper:0142.

    Full description at Econpapers || Download paper

  28. Heteroskedastic Factor Vector Autoregressive Estimation of Persistent and Non Persistent Processes Subject to Structural Breaks. (2010). MORANA, CLAUDIO.
    In: ICER Working Papers - Applied Mathematics Series.
    RePEc:icr:wpmath:36-2010.

    Full description at Econpapers || Download paper

  29. The 2007-? financial crisis: a euro area money market perspective. (2010). MORANA, CLAUDIO ; Cassola, Nuno.
    In: ICER Working Papers - Applied Mathematics Series.
    RePEc:icr:wpmath:35-2010.

    Full description at Econpapers || Download paper

  30. Assessing co-ordinated Asian exchange rate regimes: Proposal for a possible move towards a common currency. (2010). Aggarwal, Raj ; Muckley, Cal B..
    In: Journal of International Financial Markets, Institutions and Money.
    RePEc:eee:intfin:v:20:y:2010:i:2:p:149-165.

    Full description at Econpapers || Download paper

  31. Simplified specifications of a multivariate generalized autoregressive conditional heteroscedasticity model. (2009). So, Mike K. P., ; Yip, Iris W. H., .
    In: Mathematics and Computers in Simulation (MATCOM).
    RePEc:eee:matcom:v:80:y:2009:i:2:p:327-340.

    Full description at Econpapers || Download paper

  32. Asymmetric multivariate normal mixture GARCH. (2009). Mittnik, Stefan ; Haas, Markus ; Paolella, Marc S..
    In: Computational Statistics & Data Analysis.
    RePEc:eee:csdana:v:53:y:2009:i:6:p:2129-2154.

    Full description at Econpapers || Download paper

  33. Asymmetric multivariate normal mixture GARCH. (2008). Mittnik, Stefan ; Haas, Markus ; Paolella, Marc S..
    In: CFS Working Paper Series.
    RePEc:zbw:cfswop:200807.

    Full description at Econpapers || Download paper

  34. Can the traditional Asian US dollar peg exchange rate regime be extended to include the Japanese yen?. (2008). Kearney, Colm ; Muckley, Cal.
    In: International Review of Financial Analysis.
    RePEc:eee:finana:v:17:y:2008:i:5:p:870-885.

    Full description at Econpapers || Download paper

  35. Determining the optimal dimensionality of multivariate volatility models with tools from random matrix theory. (2008). Rosenow, Bernd.
    In: Journal of Economic Dynamics and Control.
    RePEc:eee:dyncon:v:32:y:2008:i:1:p:279-302.

    Full description at Econpapers || Download paper

  36. Assessment of Multivariate Financial Risks of a Stock Share Portfolio. (2007). Ulyanova, Marina ; Kritski, Oleg .
    In: Applied Econometrics.
    RePEc:ris:apltrx:0139.

    Full description at Econpapers || Download paper

  37. Dynamic conditional correlation analysis of financial market interdependence: An application to Thailand and Indonesia. (2007). Lestano, Lestano ; Kuper, Gerard.
    In: Journal of Asian Economics.
    RePEc:eee:asieco:v:18:y:2007:i:4:p:670-684.

    Full description at Econpapers || Download paper

  38. Multivariate normal mixture GARCH. (2006). Mittnik, Stefan ; Haas, Markus ; Paolella, Marc S..
    In: CFS Working Paper Series.
    RePEc:zbw:cfswop:200609.

    Full description at Econpapers || Download paper

  39. Calibration of Interest Rate Models - Transition Market Case. (2004). Vojtek, Martin.
    In: Finance.
    RePEc:wpa:wuwpfi:0410015.

    Full description at Econpapers || Download paper

  40. Calibration of Interest Rate Models - Transition Market Case. (2004). Vojtek, Martin.
    In: CERGE-EI Working Papers.
    RePEc:cer:papers:wp237.

    Full description at Econpapers || Download paper

  41. FOREX Risk: Measurement and Evaluation Using Value‐at‐Risk. (2004). Hyde, Stuart ; Bredin, Don.
    In: Journal of Business Finance & Accounting.
    RePEc:bla:jbfnac:v:31:y:2004:i:9-10:p:1389-1417.

    Full description at Econpapers || Download paper

  42. GO-GARCH: a multivariate generalized orthogonal GARCH model. (2002). van der Weide, Roy ; Roy van der Weide, .
    In: Journal of Applied Econometrics.
    RePEc:jae:japmet:v:17:y:2002:i:5:p:549-564.

    Full description at Econpapers || Download paper

  43. Forex Risk: Measurement and Evaluation using Value-at-Risk. (2002). Hyde, Stuart ; Bredin, Don.
    In: Research Technical Papers.
    RePEc:cbi:wpaper:6/rt/02.

    Full description at Econpapers || Download paper

Coauthors

Authors registered in RePEc who have wrote about the same topic

Report date: 2025-03-06 07:57:05 || Missing content? Let us know

CitEc is a RePEc service, providing citation data for Economics since 2001. Sponsored by INOMICS. Last updated October, 6 2023. Contact: CitEc Team.