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Forecasting value-at-risk with a parsimonious portfolio spillover GARCH (PS-GARCH) model. (2008). McAleer, Michael ; da Veiga, Bernardo.
In: Journal of Forecasting.
RePEc:jof:jforec:v:27:y:2008:i:1:p:1-19.

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  1. Energy commodities: A study on model selection for estimating Value-at-Risk. (2022). Pinho, Carlos ; Amaro, Raphael.
    In: Applied Econometrics.
    RePEc:ris:apltrx:0456.

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  2. Tail Dependence between Crude Oil Volatility Index and WTI Oil Price Movements during the COVID-19 Pandemic. (2021). Just, Magorzata ; Echaust, Krzysztof.
    In: Energies.
    RePEc:gam:jeners:v:14:y:2021:i:14:p:4147-:d:591470.

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  4. Forecasting risk in the US Dollar exchange rate under volatility shifts. (2020). Malik, Farooq ; Anjum, Hassan.
    In: The North American Journal of Economics and Finance.
    RePEc:eee:ecofin:v:54:y:2020:i:c:s1062940820301546.

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  5. Portfolio optimization based on forecasting models using vine copulas: An empirical assessment for the financial crisis. (2019). Stephan, Andreas ; Sahamkhadam, Maziar.
    In: Papers.
    RePEc:arx:papers:1912.10328.

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  6. Estimating downside risk in stock returns under structural breaks. (2018). Hood, Matthew ; Malik, Farooq .
    In: International Review of Economics & Finance.
    RePEc:eee:reveco:v:58:y:2018:i:c:p:102-112.

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  7. Financial crises and the dynamic linkages between stock and bond returns. (2017). Ali, Faek Menla ; Eraslan, Sercan.
    In: Discussion Papers.
    RePEc:zbw:bubdps:172017.

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  8. Modelling Conditional Volatility and Downside Risk for Istanbul Stock Exchange. (2016). Ahmed, Doaa.
    In: Working Papers.
    RePEc:erg:wpaper:1028.

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  9. Unfolded GARCH models. (2015). Luger, Richard ; Liu, Xiaochun.
    In: Journal of Economic Dynamics and Control.
    RePEc:eee:dyncon:v:58:y:2015:i:c:p:186-217.

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  10. Multivariate modelling of 10-day-ahead VaR and dynamic correlation for worldwide real estate and stock indices. (2014). Degiannakis, Stavros ; Kiohos, Apostolos.
    In: MPRA Paper.
    RePEc:pra:mprapa:80438.

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  11. Multivariate modelling of 10-day-ahead VaR and dynamic correlation for worldwide real estate and stock indices. (2014). Kiohos, Apostolos.
    In: Journal of Economic Studies.
    RePEc:eme:jespps:v:41:y:2014:i:2:pp:216-232.

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  12. Multivariate modelling of 10-day-ahead VaR and dynamic correlation for worldwide real estate and stock indices. (2014). Degiannakis, Stavros ; Kiohos, Apostolos.
    In: Journal of Economic Studies.
    RePEc:eme:jespps:v:41:y:2014:i:2:p:216-232.

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  13. Downside risk and portfolio diversification in the euro-zone equity markets with special consideration of the crisis period. (2014). Hammoudeh, Shawkat ; AraujoSantos, Paulo ; Liu, Tengdong .
    In: Journal of International Money and Finance.
    RePEc:eee:jimfin:v:44:y:2014:i:c:p:47-68.

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  14. Downside risk, portfolio diversification and the financial crisis in the euro-zone. (2014). Hammoudeh, Shawkat ; AraujoSantos, Paulo ; Sarafrazi, Soodabeh.
    In: Journal of International Financial Markets, Institutions and Money.
    RePEc:eee:intfin:v:32:y:2014:i:c:p:368-396.

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  15. Measuring Persistence in Volatility Spillovers. (2013). Weber, Enzo ; Conrad, Christian.
    In: Annual Conference 2013 (Duesseldorf): Competition Policy and Regulation in a Global Economic Order.
    RePEc:zbw:vfsc13:79850.

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  16. GFC-Robust Risk Management under the Basel Accord using Extreme Value Methodologies. (2013). McAleer, Michael ; Jimenez-Martin, Juan ; Amaral, Teodosio Perez ; PerezAmaral, Teodosio ; Santos, Paulo Araujo ; AraujoSantos, Paulo .
    In: Tinbergen Institute Discussion Papers.
    RePEc:tin:wpaper:20130070.

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  17. 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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  18. GFC-robust risk management strategies under the Basel Accord. (2013). perez-amaral, teodosio ; McAleer, Michael ; Jimenez-Martin, Juan.
    In: International Review of Economics & Finance.
    RePEc:eee:reveco:v:27:y:2013:i:c:p:97-111.

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  19. 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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  20. Risk management of risk under the Basel Accord: A Bayesian approach to forecasting Value-at-Risk of VIX futures. (2013). perez-amaral, teodosio ; McAleer, Michael ; Jimenez-Martin, Juan ; Chang, Chia-Lin ; Casarin, Roberto.
    In: Mathematics and Computers in Simulation (MATCOM).
    RePEc:eee:matcom:v:94:y:2013:i:c:p:183-204.

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  21. Time-varying mixture GARCH models and asymmetric volatility. (2013). Haas, Markus ; Krause, Jochen ; Steude, Sven C. ; Paolella, Marc S..
    In: The North American Journal of Economics and Finance.
    RePEc:eee:ecofin:v:26:y:2013:i:c:p:602-623.

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  22. Has the Basel Accord improved risk management during the global financial crisis?. (2013). perez-amaral, teodosio ; McAleer, Michael ; Jimenez-Martin, Juan.
    In: The North American Journal of Economics and Finance.
    RePEc:eee:ecofin:v:26:y:2013:i:c:p:250-265.

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  23. Downside risk management and VaR-based optimal portfolios for precious metals, oil and stocks. (2013). Hammoudeh, Shawkat ; Al-Hassan, Abdullah ; Santos, Paulo Araujo ; AraujoSantos, Paulo .
    In: The North American Journal of Economics and Finance.
    RePEc:eee:ecofin:v:25:y:2013:i:c:p:318-334.

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  24. An International Perspective on Risk Management Quality. (2013). Taylor, Nick ; Mira, Svetlana.
    In: European Financial Management.
    RePEc:bla:eufman:v:19:y:2013:i:5:p:935-955.

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  25. Measuring Persistence in Volatility Spillovers. (2013). Weber, Enzo ; Conrad, Christian.
    In: University of Regensburg Working Papers in Business, Economics and Management Information Systems.
    RePEc:bay:rdwiwi:28043.

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  26. Measuring Persistence in Volatility Spillovers. (2013). Weber, Enzo ; Conrad, Christian.
    In: Working Papers.
    RePEc:awi:wpaper:0543.

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  27. Has the Basel Accord Improved Risk Management During the Global Financial Crisis?. (2012). perez-amaral, teodosio ; McAleer, Michael ; Jimenez-Martin, Juan.
    In: KIER Working Papers.
    RePEc:kyo:wpaper:832.

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  28. Estimating VAR-MGARCH models in multiple steps. (2012). Eratalay, Mustafa ; Carnero, M. Angeles ; M. Angeles Carnero Fernandez, .
    In: Working Papers. Serie AD.
    RePEc:ivi:wpasad:2012-10.

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  29. Has the Basel Accord Improved Risk Management During the Global Financial Crisis?. (2012). perez-amaral, teodosio ; McAleer, Michael ; Jimenez-Martin, Juan ; Jimenez-Martin, J-A., .
    In: Econometric Institute Research Papers.
    RePEc:ems:eureir:38690.

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  30. Has the Basel Accord Improved Risk Management During the Global Financial Crisis?. (2012). perez-amaral, teodosio ; McAleer, Michael ; Jimenez-Martin, Juan ; Jimenez-Martin, J-A., .
    In: Econometric Institute Research Papers.
    RePEc:ems:eureir:37622.

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  31. Forecasting Value-at-Risk using nonlinear regression quantiles and the intra-day range. (2012). McAleer, Michael ; Chen, Cathy W. S. ; Chen, Cathy W. S., ; Gerlach, Richard ; Hwang, Bruce B. K., .
    In: International Journal of Forecasting.
    RePEc:eee:intfor:v:28:y:2012:i:3:p:557-574.

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  32. Sovereign risk contagion in the Eurozone. (2012). Metiu, Norbert.
    In: Economics Letters.
    RePEc:eee:ecolet:v:117:y:2012:i:1:p:35-38.

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  33. Improving the value at risk forecasts: Theory and evidence from the financial crisis. (2012). Pohlmeier, Winfried ; Halbleib, Roxana.
    In: Journal of Economic Dynamics and Control.
    RePEc:eee:dyncon:v:36:y:2012:i:8:p:1212-1228.

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  34. GFC-Robust Risk Management Under the Basel Accord Using Extreme Value Methodologies. (2011). perez-amaral, teodosio ; McAleer, Michael ; Jimenez-Martin, Juan ; Santos, Paulo Araujo ; AraujoSantos, Paulo .
    In: Documentos de Trabajo del ICAE.
    RePEc:ucm:doicae:1127.

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  35. Forecasting Value-at-Risk Using Nonlinear Regression Quantiles and the Intra-day Range. (2011). McAleer, Michael ; Chen, Cathy W. S. ; Bruce B. K. Hwang, ; Gerlach, Richard ; Cathy W. S. Chen, ; Cathy W. S. Chen, .
    In: Documentos de Trabajo del ICAE.
    RePEc:ucm:doicae:1116.

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  36. Bayesian Forecasting for Financial Risk Management, Pre and Post the Global Financial Crisis. (2011). Cathy WS Chen, ; Wcw Lee, ; Gerlach, Richard ; Edward MH Lin, .
    In: Working Papers.
    RePEc:syb:wpbsba:03/2011.

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  37. Risk Management of Risk Under the Basel Accord: A Bayesian Approach to Forecasting Value-at-Risk of VIX Futures. (2011). perez-amaral, teodosio ; McAleer, Michael ; Jimenez-Martin, Juan ; Chang, Chia-Lin ; Casarin, Roberto ; Chang, C-L., ; Jimenez-Martin, J-A., .
    In: Econometric Institute Research Papers.
    RePEc:ems:eureir:25614.

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  38. GFC-Robust Risk Management Under the Basel Accord Using Extreme Value Methodologies. (2011). perez-amaral, teodosio ; McAleer, Michael ; Jimenez-Martin, Juan ; Jimenez-Martin, J-A., ; Santos, P. A..
    In: Econometric Institute Research Papers.
    RePEc:ems:eureir:25610.

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  39. Forecasting Value-at-Risk Using Nonlinear Regression Quantiles and the Intraday Range. (2011). McAleer, Michael ; Chen, Cathy W. S. ; Chen, C. W. S., ; Gerlach, R. ; Hwang, B. B. K., .
    In: Econometric Institute Research Papers.
    RePEc:ems:eureir:23795.

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  40. Risk Management of Risk under the Basel Accord: Forecasting Value-at-Risk of VIX Futures. (2011). perez-amaral, teodosio ; McAleer, Michael ; Jimenez-Martin, Juan ; Chang, Chia-Lin ; Chang, C-L., ; Jimenez-Martin, J-A., .
    In: Econometric Institute Research Papers.
    RePEc:ems:eureir:22807.

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  41. International Evidence on GFC-robust Forecasts for Risk Management under te Basel Accord. (2011). perez-amaral, teodosio ; McAleer, Michael ; Jimenez-Martin, Juan ; Jimenez-Martin, J-A., .
    In: Econometric Institute Research Papers.
    RePEc:ems:eureir:22237.

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  42. Risk management of precious metals. (2011). McAleer, Michael ; Hammoudeh, Shawkat ; Malik, Farooq .
    In: The Quarterly Review of Economics and Finance.
    RePEc:eee:quaeco:v:51:y:2011:i:4:p:435-441.

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  43. Value-at-Risk for country risk ratings. (2011). McAleer, Michael ; Hoti, Suhejla ; da Veiga, Bernardo.
    In: Mathematics and Computers in Simulation (MATCOM).
    RePEc:eee:matcom:v:81:y:2011:i:7:p:1454-1463.

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  44. GFC-Robust Risk Management Under the Basel Accord Using Extreme Value Methodologies. (2011). perez-amaral, teodosio ; McAleer, Michael ; Jimenez-Martin, Juan ; PerezAmaral, Teodosio ; Santos, Paulo Araujo ; AraujoSantos, Paulo .
    In: Working Papers in Economics.
    RePEc:cbt:econwp:11/28.

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  45. Risk Management of Risk Under the Basel Accord: A Bayesian Approach to Forecasting Value-at-Risk of VIX Futures. (2011). perez-amaral, teodosio ; McAleer, Michael ; Jimenez-Martin, Juan ; Chang, Chia-Lin ; Casarin, Roberto ; PerezAmaral, Teodosio .
    In: Working Papers in Economics.
    RePEc:cbt:econwp:11/26.

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  46. GFC-Robust Risk Management Strategies under the Basel Accord. (2010). perez-amaral, teodosio ; McAleer, Michael ; Jimenez-Martin, Juan ; Jimenez-Martin, J-A., .
    In: Econometric Institute Research Papers.
    RePEc:ems:eureir:20964.

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  47. Risk management of precious metals. (2010). McAleer, Michael ; Hammoudeh, Shawkat ; Malik, F..
    In: Econometric Institute Research Papers.
    RePEc:ems:eureir:20166.

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  48. Modelling and forecasting daily international mass tourism to Peru. (2010). McAleer, Michael ; Divino, Jose Angelo.
    In: Tourism Management.
    RePEc:eee:touman:v:31:y:2010:i:6:p:846-854.

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  49. Risk Management of Precious Metals. (2010). McAleer, Michael ; Hammoudeh, Shawkat ; Malik, Farooq .
    In: Working Papers in Economics.
    RePEc:cbt:econwp:10/37.

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  50. Daily Tourist Arrivals, Exchange Rates and Volatility for Korea and Taiwan. (2009). McAleer, Michael ; Chang, Chia-Lin.
    In: CIRJE F-Series.
    RePEc:tky:fseres:2009cf691.

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  51. It Pays to Violate: How Effective are the Basel Accord Penalties?. (2009). McAleer, Michael ; da Veiga, Bernardo ; Chan, Felix.
    In: CIRJE F-Series.
    RePEc:tky:fseres:2009cf683.

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  52. Optimal Risk Management Before, During and After the 2008-09 Financial Crisis. (2009). perez-amaral, teodosio ; McAleer, Michael ; Jimenez-Martin, Juan.
    In: CIRJE F-Series.
    RePEc:tky:fseres:2009cf667.

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  53. Value-at-Risk for Country Risk Ratings. (2009). McAleer, Michael ; Hoti, Suhejla ; da Veiga, Bernardo.
    In: CIRJE F-Series.
    RePEc:tky:fseres:2009cf659.

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  54. The Ten Commandments for Optimizing Value-at-Risk and Daily Capital Charges. (2009). McAleer, Michael.
    In: CIRJE F-Series.
    RePEc:tky:fseres:2009cf652.

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  55. Modelling and Forecasting Daily International Mass Tourism to Peru. (2009). McAleer, Michael ; Divino, Jose Angelo.
    In: CIRJE F-Series.
    RePEc:tky:fseres:2009cf651.

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  56. A Decision Rule to Minimize Daily Capital Charges in Forecasting Value-at-Risk. (2009). perez-amaral, teodosio ; McAleer, Michael ; Jimenez-Martin, Juan.
    In: CIRJE F-Series.
    RePEc:tky:fseres:2009cf644.

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  57. What Happened to Risk Management During the 2008-09 Financial Crisis?. (2009). perez-amaral, teodosio ; McAleer, Michael ; Jimenez-Martin, Juan.
    In: CIRJE F-Series.
    RePEc:tky:fseres:2009cf636.

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  58. Has the Basel II Accord Encouraged Risk Management during the 2008-09 Financial Crisis?. (2009). McAleer, Michael ; Jimenez-Martin, Juan ; Teodosio Pérez-Amaral, .
    In: Tinbergen Institute Discussion Papers.
    RePEc:tin:wpaper:20090039.

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  59. Optimal Risk Management Before, During and After the 2008-09 Financial Crisis. (2009). perez-amaral, teodosio ; McAleer, Michael ; Jimenez-Martin, Juan ; PerezAmaral, Teodosio .
    In: MPRA Paper.
    RePEc:pra:mprapa:20975.

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  60. Daily Tourist Arrivals, Exchange Rates and Voatility for Korea and Taiwan. (2009). McAleer, Michael ; Chang, Chia-Lin.
    In: Korean Economic Review.
    RePEc:kea:keappr:ker-20091231-25-2-03.

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  61. Volatility forecasting with double Markov switching GARCH models. (2009). Lin, Edward ; Chen, Cathy W. S. ; Cathy W. S. Chen, ; Mike K. P. So, ; Mike K. P. So, ; Edward M. H. Lin, ; Cathy W. S. Chen, .
    In: Journal of Forecasting.
    RePEc:jof:jforec:v:28:y:2009:i:8:p:681-697.

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  62. Daily Tourist Arrivals, Exchange Rates and Volatility for Korea and Taiwan. (2009). McAleer, Michael ; Chang, Chia-Lin ; Chang, C-L., .
    In: Econometric Institute Research Papers.
    RePEc:ems:eureir:17313.

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  63. Daily tourist arrivals, exchange rates and volatility for Korea and Taiwan. (2009). McAleer, Michael ; Chang, Chia-Lin ; Chang, C-L., .
    In: Econometric Institute Research Papers.
    RePEc:ems:eureir:17312.

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  64. It Pays to Violate: How Effective are the Basel Accord Penalties?. (2009). McAleer, Michael ; da Veiga, Bernardo ; Chan, Felix.
    In: Econometric Institute Research Papers.
    RePEc:ems:eureir:17309.

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  65. What Happened to Risk Management During the 2008-09 Financial Crisis?. (2009). perez-amaral, teodosio ; McAleer, Michael ; Jimenez-Martin, Juan ; Jimenez-Martin, J-A., .
    In: Econometric Institute Research Papers.
    RePEc:ems:eureir:16512.

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  66. Forecasting conditional correlations in stock, bond and foreign exchange markets. (2009). McAleer, Michael ; Hakim, Abdul.
    In: Mathematics and Computers in Simulation (MATCOM).
    RePEc:eee:matcom:v:79:y:2009:i:9:p:2830-2846.

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  67. Comparing univariate and multivariate models to forecast portfolio value-at-risk. (2009). Santos, Andre ; Ruiz, Esther ; Andre A. P., ; Nogales, Francisco J..
    In: DES - Working Papers. Statistics and Econometrics. WS.
    RePEc:cte:wsrepe:ws097222.

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  68. Daily Tourist Arrivals, Exchange Rates and Volatility for Korea and Taiwan. (2009). McAleer, Michael ; Chang, Chia-Lin.
    In: CARF F-Series.
    RePEc:cfi:fseres:cf192.

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  69. It Pays to Violate: How Effective are the Basel Accord Penalties?. (2009). McAleer, Michael ; da Veiga, Bernardo ; Chan, Felix.
    In: CARF F-Series.
    RePEc:cfi:fseres:cf186.

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  70. Optimal Risk Management Before, During and After the 2008-09 Financial Crisis. (2009). perez-amaral, teodosio ; McAleer, Michael ; Jimenez-Martin, Juan.
    In: CARF F-Series.
    RePEc:cfi:fseres:cf171.

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  71. Value-at-Risk for Country Risk Ratings. (2009). McAleer, Michael ; Hoti, Suhejla ; da Veiga, Bernardo.
    In: CARF F-Series.
    RePEc:cfi:fseres:cf169.

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  72. The Ten Commandments for Optimizing Value-at-Risk and Daily Capital Charges. (2009). McAleer, Michael.
    In: CARF F-Series.
    RePEc:cfi:fseres:cf164.

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  73. A Decision Rule to Minimize Daily Capital Charges in Forecasting Value-at-Risk. (2009). perez-amaral, teodosio ; McAleer, Michael ; Jimenez-Martin, Juan.
    In: CARF F-Series.
    RePEc:cfi:fseres:cf159.

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  74. Has the Basel II Accord Encouraged Risk Management During the 2008-09 Financial Crisis?. (2009). perez-amaral, teodosio ; McAleer, Michael ; Jimenez-Martin, Juan.
    In: CARF F-Series.
    RePEc:cfi:fseres:cf158.

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  75. What Happened to Risk Management During the 2008-09 Financial Crisis?. (2009). perez-amaral, teodosio ; McAleer, Michael ; Jimenez-Martin, Juan.
    In: CARF F-Series.
    RePEc:cfi:fseres:cf155.

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  76. THE TEN COMMANDMENTS FOR MANAGING VALUE AT RISK UNDER THE BASEL II ACCORD. (2009). McAleer, Michael ; Jimenez-Martin, Juan ; Juan-Ángel Jimenez-Martin, ; Perez-Amaral, Teodosio.
    In: Journal of Economic Surveys.
    RePEc:bla:jecsur:v:23:y:2009:i:5:p:850-855.

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  77. THE TEN COMMANDMENTS FOR OPTIMIZING VALUE?AT?RISK AND DAILY CAPITAL CHARGES. (2009). McAleer, Michael.
    In: Journal of Economic Surveys.
    RePEc:bla:jecsur:v:23:y:2009:i:5:p:831-849.

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  78. Single-index and portfolio models for forecasting value-at-risk thresholds. (2008). McAleer, Michael ; da Veiga, Bernardo.
    In: Journal of Forecasting.
    RePEc:jof:jforec:v:27:y:2008:i:3:p:217-235.

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  79. A decision rule to minimize daily capital charges in forecasting value-at-risk. (2008). perez-amaral, teodosio ; McAleer, Michael ; Jimenez-Martin, Juan ; Jimenez-Martin, J-A., .
    In: Econometric Institute Research Papers.
    RePEc:ems:eureir:13986.

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  80. The ten commandments for optimizing value-at-risk and daily capital charges. (2008). McAleer, Michael.
    In: Econometric Institute Research Papers.
    RePEc:ems:eureir:13910.

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  81. Evaluating the impact of market reforms on Value-at-Risk forecasts of Chinese A and B shares. (2008). McAleer, Michael ; da Veiga, Bernardo ; Chan, Felix.
    In: Pacific-Basin Finance Journal.
    RePEc:eee:pacfin:v:16:y:2008:i:4:p:453-475.

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Cocites

Documents in RePEc which have cited the same bibliography

  1. Identifying structural shocks to volatility through a proxy-MGARCH model. (2021). Polivka, Jeannine ; Fengler, Matthias.
    In: Economics Working Paper Series.
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  2. Forecasting Covariance Matrices: A Mixed Approach. (2016). Halbleib, Roxana ; Voev, Valeri .
    In: Journal of Financial Econometrics.
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  3. Long memory dynamics for multivariate dependence under heavy tails. (2014). Lucas, Andre ; Koopman, Siem Jan ; Janus, Pawel.
    In: Journal of Empirical Finance.
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  4. Financialization in Commodity Markets: Disentangling the Crisis from the Style Effect. (2013). Gluck, Thorsten ; Adams, Zeno.
    In: Annual Conference 2013 (Duesseldorf): Competition Policy and Regulation in a Global Economic Order.
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  5. A latent dynamic factor approach to forecasting multivariate stock market volatility. (2013). Gribisch, Bastian .
    In: Annual Conference 2013 (Duesseldorf): Competition Policy and Regulation in a Global Economic Order.
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  6. Eurozone crisis and BRIICKS stock markets: Contagion or market interdependence?. (2013). Bhanumurthy, N R ; Ahmad, Wasim ; Sehgal, Sanjay.
    In: Economic Modelling.
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  7. Volatility Modeling by Asymmetrical Quadratic Effect with Diminishing Marginal Impact. (2011). .
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  8. Model based Monte Carlo pricing of energy and temperature quanto options. (2010). Torro, Hipolit ; Caporin, Massimiliano ; Pres, Juliusz .
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  9. EU Emission Allowances and the Stock Market: Evidence from the Electricity Industry. (2008). Oberndorfer, Ulrich .
    In: ZEW Discussion Papers.
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  10. Particle Filters for Markov-Switching Stochastic-Correlation Models. (2008). Casarin, Roberto ; amisano, gianni.
    In: Working Papers.
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  11. Volatility and VaR forecasting in the Madrid Stock Exchange. (2008). Ñíguez Grau, Trino ; Iguez, Trino-Manuel.
    In: Spanish Economic Review.
    RePEc:spr:specre:v:10:y:2008:i:3:p:169-196.

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  12. Analytical quasi maximum likelihood inference in multivariate volatility models. (2008). Hafner, Christian ; Herwartz, Helmut.
    In: Metrika: International Journal for Theoretical and Applied Statistics.
    RePEc:spr:metrik:v:67:y:2008:i:2:p:219-239.

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  13. Volatility Threshold Dynamic Conditional Correlations: An International Analysis. (2008). Caporin, Massimiliano ; Kasch, Maria .
    In: Marco Fanno Working Papers.
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  14. Negative Volatility Spillovers in the Unrestricted ECCC-GARCH Model. (2008). Conrad, Christian ; Karanasos, Menelaos.
    In: KOF Working papers.
    RePEc:kof:wpskof:08-189.

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  15. Overestimation in the Traditional GARCH Model During Jump Periods. (2008). Cheng, Wan-Hsiu .
    In: Economics Bulletin.
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  16. Model Averaging in Risk Management with an Application to Futures Markets. (2008). Schleicher, Christoph ; Pesaran, M ; Zaffaroni, Paolo.
    In: CESifo Working Paper Series.
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  17. Model Averaging in Risk Management with an Application to Futures Markets. (2008). Schleicher, Christoph ; Pesaran, M ; Zaffaroni, P..
    In: Cambridge Working Papers in Economics.
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  18. Multivariate Fractionally Integrated APARCH Modeling of Stock Market Volatility: A multi-country study. (2008). Zeng, Ning ; Conrad, Christian ; Karanasos, Menelaos.
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  19. Multivariate stochastic volatility using state space models. (2008). Triantafyllopoulos, Kostas.
    In: Papers.
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  20. Modelling and Forecasting Multivariate Realized Volatility. (2008). Voev, Valeri ; Halbleib, Roxana.
    In: CREATES Research Papers.
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  21. Multivariate GARCH models. (2008). Teräsvirta, Timo ; Silvennoinen, Annastiina ; Terasvirta, Timo.
    In: CREATES Research Papers.
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  22. Modelling Multivariate Autoregressive Conditional Heteroskedasticity with the Double Smooth Transition Conditional Correlation GARCH Model. (2008). Teräsvirta, Timo ; Silvennoinen, Annastiina ; Terasvirta, Timo.
    In: CREATES Research Papers.
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  23. Semiparametric Approaches to the Prediction of Conditional Correlation Matrices in Finance. (2007). Golosnoy, Vasyl ; Herwartz, Helmut.
    In: Economics Working Papers.
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  24. Modelling Multivariate Autoregressive Conditional Heteroskedasticity with the Double Smooth Transition Conditional Correlation GARCH model. (2007). Teräsvirta, Timo ; Silvennoinen, Annastiina ; Terasvirta, Timo.
    In: SSE/EFI Working Paper Series in Economics and Finance.
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  25. Testing for Volatility Interactions in the Constant Conditional Correlation GARCH Model. (2007). Teräsvirta, Timo ; Nakatani, Tomoaki ; Terasvirta, Timo.
    In: SSE/EFI Working Paper Series in Economics and Finance.
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  26. Distribución condicional de los retornos de la tasa de cambio colombiana: un ejercicio empírico a partir de modelos GARCH multivariados. (2007). Gomez, Karoll ; Portilla, Karoll Gomez .
    In: REVISTA DE ECONOMÍA DEL ROSARIO.
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  27. Modelling Volatilities and Conditional Correlations in Futures Markets with a Multivariate t Distribution. (2007). Pesaran, M.
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  28. Multivariate normal mixture GARCH. (2006). Mittnik, Stefan ; Haas, Markus ; Paolella, Marc S..
    In: CFS Working Paper Series.
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  29. An Asymmetric Block Dynamic Conditional Correlation Multivariate GARCH Model. (2006). Vargas, Gregorio.
    In: MPRA Paper.
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  30. A local dynamic conditional correlation model. (2006). Feng, Yuanhua.
    In: MPRA Paper.
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  31. Common Volatility Trends in the Central and Eastern European Currencies and the Euro. (2006). Tamirisa, Natalia T ; Pramor, Marcus.
    In: IMF Working Papers.
    RePEc:imf:imfwpa:2006/206.

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  32. Does Oil Price Uncertainty Transmit to Stock Markets?. (2006). Ågren, Martin.
    In: Working Paper Series.
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  33. Sector diversification during crises: a European perspective. (2006). Szafarz, Ariane ; Beine, Michel ; Preumont, Pierre-Yves .
    In: DULBEA Working Papers.
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  34. Multivariate mixed normal conditional heteroskedasticity. (2006). Rombouts, Jeroen ; Hafner, Christian ; Bauwens, Luc ; Luc, Bauwens.
    In: Discussion Papers (ECON - Département des Sciences Economiques).
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  35. Intra-Daily FX Optimal Portfolio Allocation. (2006). Ben Omrane, Walid ; Bauwens, Luc ; Luc, Bauwens ; Erick, RENGIFO ; Walid, BEN OMRANE.
    In: Discussion Papers (ECON - Département des Sciences Economiques).
    RePEc:ctl:louvec:2006005.

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  36. Una aproximación a la dinámica de las tasas de interés de corto plazo en Colombia a través de modelos GARCH multivariados. (2006). Melo-Velandia, Luis ; Becerra, Oscar ; Oscar Reinaldo Becerra Camargo, .
    In: Borradores de Economia.
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  37. Exchange rate exposure of stock returns at firm level. (2005). Premaratne, Gamini ; Jayasinghe, Prabhath .
    In: International Finance.
    RePEc:wpa:wuwpif:0503004.

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  38. Multivariate Autoregressive Conditional Heteroskedasticity with Smooth Transitions in Conditional Correlations. (2005). Teräsvirta, Timo ; Silvennoinen, Annastiina.
    In: Research Paper Series.
    RePEc:uts:rpaper:168.

    Full description at Econpapers || Download paper

  39. Evaluating Portfolio Value-at-Risk using Semi-Parametric GARCH Models. (2005). Verbeek, Marno ; Rombouts, Jeroen.
    In: Computing in Economics and Finance 2005.
    RePEc:sce:scecf5:40.

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  40. Spatial effects in multivariate ARCH. (2005). Paruolo, Paolo ; Caporin, Massimiliano ; Massimiliano, Caporin.
    In: Economics and Quantitative Methods.
    RePEc:ins:quaeco:qf0501.

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  41. Multivariate Autoregressive Conditional Heteroskedasticity with Smooth Transitions in Conditional Correlations. (2005). Teräsvirta, Timo ; Silvennoinen, Annastiina.
    In: SSE/EFI Working Paper Series in Economics and Finance.
    RePEc:hhs:hastef:0577.

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  42. Decomposing European bond and equity volatility. (2005). Christiansen, Charlotte.
    In: Finance Research Group Working Papers.
    RePEc:hhb:aarbfi:2004-01.

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  43. Model Averaging and Value-at-Risk Based Evaluation of Large Multi-Asset Volatility Models for Risk Management. (2005). Pesaran, M ; Zaffaroni, Paolo.
    In: CEPR Discussion Papers.
    RePEc:cpr:ceprdp:5279.

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  44. Evaluating Portfolio Value-at-Risk using Semi-Parametric GARCH Models. (2004). Verbeek, Marno ; Rombouts, Jeroen.
    In: Cahiers de recherche.
    RePEc:iea:carech:0414.

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  45. Temporal aggregation of multivariate GARCH processes. (2004). Hafner, Christian.
    In: Econometric Society 2004 North American Winter Meetings.
    RePEc:ecm:nawm04:538.

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  46. BAYESIAN CLUSTERING OF SIMILAR MULTIVARIATE GARCH MODELS. (2004). Rombouts, Jeroen ; Bauwens, Luc.
    In: Econometric Society 2004 North American Winter Meetings.
    RePEc:ecm:nawm04:370.

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  47. Regime Switching for Dynamic Correlations. (2004). Pelletier, Denis.
    In: Econometric Society 2004 North American Summer Meetings.
    RePEc:ecm:nasm04:230.

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  48. A Copula-Based Autoregressive Conditional Dependence Model of International Stock Markets. (2004). van den Goorbergh, Rob.
    In: DNB Working Papers.
    RePEc:dnb:dnbwpp:022.

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  49. Model Averaging and Value-at-Risk Based Evaluation of Large Multi Asset Volatility Models for Risk Management. (2004). Pesaran, M ; Zaffaroni, Paolo.
    In: CESifo Working Paper Series.
    RePEc:ces:ceswps:_1358.

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  50. Value-at-risk for long and short trading positions. (2003). Laurent, Sébastien ; Giot, Pierre.
    In: Journal of Applied Econometrics.
    RePEc:jae:japmet:v:18:y:2003:i:6:p:641-663.

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