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Modelling daily Value-at-Risk using realized volatility and ARCH type models.. (2004). Laurent, Sébastien ; Giot, Pierre .
In: CORE Discussion Papers RP.
RePEc:cor:louvrp:1708.

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  4. Decoupling VaR and regulatory capital: an examination of practitioners’ experience of market risk regulation. (2023). Killian, Sheila ; Cummins, Mark ; McCullagh, Orla.
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  17. Natural gas volatility prediction: Fresh evidence from extreme weather and extended GARCH-MIDAS-ES model. (2022). Wang, LU ; Lai, Xiaodong ; Xia, Zhenglan ; Liang, Chao.
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  18. Forecasting renewable energy stock volatility using short and long-term Markov switching GARCH-MIDAS models: Either, neither or both?. (2022). Wang, LU ; Wu, Jiangbin ; Cao, Yang ; Hong, Yanran.
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  21. Oil prices, stock market returns, and volatility spillovers: evidence from Saudi Arabia. (2021). Dibooglu, Selahattin ; Çevik, Emrah ; Cevik, Emrah Ismail ; Al-Eisa, Eisa Abdulrahman ; Abdallah, Atif Awad.
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  23. Forecasting the Value-at-Risk of REITs using realized volatility jump models. (2021). Odusami, Babatunde O.
    In: The North American Journal of Economics and Finance.
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  24. Incorporating Financial Big Data in Small Portfolio Risk Analysis: Market Risk Management Approach. (2021). Yu, Seunghyeon ; Kim, Donggyu.
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    In: International Journal of Forecasting.
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  28. Semi-parametric dynamic asymmetric Laplace models for tail risk forecasting, incorporating realized measures. (2020). Wang, Chao ; Gerlach, Richard.
    In: International Journal of Forecasting.
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  29. Evaluation of volatility models for forecasting Value-at-Risk and Expected Shortfall in the Portuguese stock market. (2020). Sobreira, Nuno ; Louro, Rui.
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  30. Forecasting risk in the US Dollar exchange rate under volatility shifts. (2020). Malik, Farooq ; Anjum, Hassan.
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  31. The Uncertain Shape of Grey Swans: Extreme Value Theory with Uncertain Threshold. (2020). Poorvasei, Hossein ; Arian, Hamidreza ; Zamani, Shiva ; Sharifi, Azin.
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  32. Panel quantile regressions for estimating and predicting the value‐at‐risk of commodities. (2019). Cech, Frantisek ; Baruník, Jozef ; Barunik, Jozef.
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  33. Una nota sobre el pronóstico del riesgo diario de volatilidad en el mercado de valores peruano utilizando retornos intradía. (2019). Zevallos, Mauricio.
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  34. Risk analysis of high frequency precious metals returns by using long memory model. (2019). Shahbaz, Muhammad ; Naeem, Muhammad ; Mustafa, Faisal ; Saleem, Kashif.
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  35. Asymmetric volatility in equity markets around the world. (2019). Olsen, Torbjorn B ; Molnar, Peter ; Lyocsa, Tefan ; Horpestad, Jone B.
    In: The North American Journal of Economics and Finance.
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  36. Semi-parametric Realized Nonlinear Conditional Autoregressive Expectile and Expected Shortfall. (2019). Gerlach, Richard ; Wang, Chao.
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  37. Is intraday data useful for forecasting VaR? The evidence from EUR/PLN exchange rate. (2018). Będowska-Sójka, Barbara ; Bdowska-Sojka, Barbara.
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  40. Modeling returns volatility: Realized GARCH incorporating realized risk measure. (2018). Jiang, Wei ; Li, YE ; Ruan, Qingsong.
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  43. Improving daily Value-at-Risk forecasts: The relevance of short-run volatility for regulatory quality assessment. (2018). Berger, Theo ; Genay, Ramazan.
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  46. Forecasting Value-at-Risk under Temporal and Portfolio Aggregation. (2017). van Dijk, Dick ; Kole, Erik ; Opschoor, Anne ; Markwat, Thijs .
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  49. Forecasting realized volatility: a review. (2017). Bucci, Andrea.
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  50. Testing for Leverage Effects in the Returns of US Equities. (2017). Lalaharison, Hanjarivo ; Ielpo, Florian ; Guegan, Dominique ; Chorro, Christophe.
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  52. Volatility measures and Value-at-Risk. (2017). Bams, Dennis ; Blanchard, Gildas ; Lehnert, Thorsten.
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  53. Realized volatility forecasting of agricultural commodity futures using the HAR model with time-varying sparsity. (2017). Chen, Langnan ; Tian, Fengping ; Yang, KE.
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  54. Value-at-Risk under Lévy GARCH models: Evidence from global stock markets. (2017). BenSaïda, Ahmed ; Slim, Skander ; Bensaida, Ahmed ; Koubaa, Yosra.
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  55. Positive semidefinite integrated covariance estimation, factorizations and asynchronicity. (2017). Quaedvlieg, Rogier ; Laurent, Sébastien ; Lunde, Asger ; Boudt, Kris ; Sauri, Orimar .
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  56. Calculating Value-at-Risk for high-dimensional time series using a nonlinear random mapping model. (2017). Zhang, Heng-Guo ; Su, Fei ; Xiao, Ran ; Qiu, Shuqi ; Song, Yan.
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  57. High Frequency vs. Daily Resolution: the Economic Value of Forecasting Volatility Models - 2nd ed. (2017). Lilla, F.
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  58. Estimating and forecasting value-at-risk using the unbiased extreme value volatility estimator. (2016). Kumar, Dilip.
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  59. Volatility and quantile forecasts by realized stochastic volatility models with generalized hyperbolic distribution. (2016). Takahashi, Makoto ; Omori, Yasuhiro ; Watanabe, Toshiaki .
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  60. Intraday volatility interaction between the crude oil and equity markets. (2016). Sharma, Susan ; Narayan, Paresh ; Bach, Dinh Hoang.
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  61. Realizing the extremes: Estimation of tail-risk measures from a high-frequency perspective. (2016). Trapin, Luca ; Bee, Marco ; Dupuis, Debbie J.
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  75. Volatility and Quantile Forecasts by Realized Stochastic Volatility Models with Generalized Hyperbolic Distribution. (2014). Takahashi, Makoto ; Omori, Yasuhiro ; Watanabe, Toshiaki .
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  76. Volatility and Quantile Forecasts by Realized Stochastic Volatility Models with Generalized Hyperbolic Distribution. (2014). Takahashi, Makoto ; Omori, Yasuhiro ; Watanabe, Toshiaki ; Shoji, Masahiro.
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  77. A Monte Carlo Simulation Approach to Forecasting Multi-period Value-at-Risk and Expected Shortfall Using the FIGARCH-skT Specification. (2014). Floros, Christos ; Degiannakis, Stavros ; Dent, Pamela .
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  86. Pricing Nikkei 225 Options Using Realized Volatility. (2014). Ubukata, Masato ; Watanabe, Toshiaki .
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  87. Forecasting with the Standardized Self-Perturbed Kalman Filter. (2014). Santucci de Magistris, Paolo ; Grassi, Stefano ; Nonejad, Nima.
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  88. Positive Semidefinite Integrated Covariance Estimation, Factorizations and Asynchronicity. (2014). Quaedvlieg, Rogier ; Laurent, Sébastien ; Boudt, Kris ; Lunde, Asger.
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  89. Its all about volatility of volatility: evidence from a two-factor stochastic volatility model. (2013). Santucci de Magistris, Paolo ; Grassi, Stefano.
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  90. Modeling CAC40 Volatility Using Ultra-high Frequency Data. (2013). Floros, Christos ; Degiannakis, Stavros.
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  91. Forecasting Value-at-Risk and Expected Shortfall using Fractionally Integrated Models of Conditional Volatility: International Evidence. (2013). Floros, Christos ; Degiannakis, Stavros ; Dent, Pamela .
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  92. Value at risk estimation by quantile regression and kernel estimator. (2013). Huang, Alex .
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  93. Pricing Nikkei 225 Options Using Realized Volatility. (2013). Ubukata, Masato ; Watanabe, Toshiaki .
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  94. The Economic Valuation of Variance Forecasts: An Artificial Option Market Approach. (2013). Parrak, Radovan .
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  95. Modeling CAC40 volatility using ultra-high frequency data. (2013). Floros, Christos ; Degiannakis, Stavros.
    In: Research in International Business and Finance.
    RePEc:eee:riibaf:v:28:y:2013:i:c:p:68-81.

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  96. The benefit of modeling jumps in realized volatility for risk prediction: Evidence from Chinese mainland stocks. (2013). Liao, Yin.
    In: Pacific-Basin Finance Journal.
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  97. Forecasting Value-at-Risk with a duration-based POT method. (2013). Santos, Araujo P. ; Fraga Alves, M. I., .
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  98. Forecasting value-at-risk and expected shortfall using fractionally integrated models of conditional volatility: International evidence. (2013). Floros, Christos ; Degiannakis, Stavros ; Dent, Pamela .
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  99. Quantile Prediction. (2013). Komunjer, Ivana .
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  100. Return dispersion, stock market liquidity and aggregate economic activity. (2013). Floros, Christos ; Degiannakis, Stavros ; Andrikopoulos, Andreas ; Angelidis, Timotheos.
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  101. It’s all about volatility (of volatility): evidence from a two-factor stochastic volatility model. (2013). Santucci de Magistris, Paolo ; Grassi, Stefano.
    In: CREATES Research Papers.
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  102. Realized Copula. (2012). Okhrin, Ostap ; Fengler, Matthias.
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  103. Stock index realized volatility forecasting in the presence of heterogeneous leverage effects and long range dependence in the volatility of realized volatility. (2012). Louzis, Dimitrios ; Refenes, Apostolos P. ; Xanthopoulos-Sisinis, Spyros .
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  104. Extreme risk measures for REITs: a comparison among alternative methods. (2012). Zhou, Jian.
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  105. Asymmetry, realised volatility and stock return risk estimates. (2012). Veiga, Helena ; Grane, Aurea.
    In: Portuguese Economic Journal.
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  106. Realized Copula. (2012). Okhrin, Ostap ; Fengler, Matthias.
    In: SFB 649 Discussion Papers.
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  107. Multifractal diffusion entropy analysis on stock volatility in financial markets. (2012). Huang, Jingjing ; Zhao, Xiaojun ; Shang, Pengjian.
    In: Physica A: Statistical Mechanics and its Applications.
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  108. On the dependence structure of realized volatilities. (2012). Mendes, Beatriz Vaz de Melo, ; Accioly, Victor Bello.
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  109. 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.
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  110. EGARCH models with fat tails, skewness and leverage. (2012). Sucarrat, Genaro ; Harvey, Andrew.
    In: Cambridge Working Papers in Economics.
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  111. Modeling and Forecasting Value-at-Risk in the UAE Stock Markets: The Role of Long Memory, Fat Tails and Asymmetries in Return Innovations. (2012). Awartani, Basel ; Maghyereh, Aktham Issa .
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  112. Risk Management of Precious Metals. (2011). McAleer, Michael ; Hammoudeh, Shawkat ; Malik, Farooq .
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  113. GJR-GARCH model in value-at-risk of financial holdings. (2011). Huang, H. C. ; Lin, Y. J. ; Su, Y. C..
    In: Applied Financial Economics.
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  114. Pricing Nikkei 225 Options Using Realized Volatility. (2011). Ubukata, Masato ; Watanabe, Toshiaki .
    In: IMES Discussion Paper Series.
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  115. Stock index realized volatility forecasting in the presence of heterogeneous leverage effects and long range dependence in the volatility of realized volatility. (2011). Louzis, Dimitrios ; Xanthopoulos-Sisinis, Spyros ; Refenes, Apostolos .
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  116. A Simple Estimate of VAR under Garch Modelling. (2011). Habibi, Reza .
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  117. Risk management of precious metals. (2011). McAleer, Michael ; Hammoudeh, Shawkat ; Malik, Farooq .
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  118. Subsampling high frequency data. (2011). Kalnina, Ilze.
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  119. Do high-frequency measures of volatility improve forecasts of return distributions?. (2011). McCurdy, Tom ; Maheu, John.
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  121. The StressVaR: A New Risk Concept for Extreme Risk and Fund Allocation. (2010). Zovko, Ilija ; Douady, Raphael ; Coste, Cyril.
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  122. The StressVaR: A New Risk Concept for Extreme Risk and Fund Allocation. (2010). Zovko, Ilija ; Douady, Raphael ; Coste, Cyril.
    In: Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers).
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  124. Explaining asymmetric volatility around the world. (2010). Rieger, Marc Oliver ; Talpsepp, Tõnn, .
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  125. Backtesting value-at-risk based on tail losses. (2010). Wong, Woon K..
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  127. Risk Management of Precious Metals. (2010). McAleer, Michael ; Hammoudeh, Shawkat ; Malik, Farooq .
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  128. High-Frequency and Model-Free Volatility Estimators. (2009). Åšlepaczuk, Robert ; Zakrzewski, Grzegorz .
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  129. Emerging versus developed volatility indices. The comparison of VIW20 and VIX indices. (2009). Åšlepaczuk, Robert ; Zakrzewski, Grzegorz .
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  130. Realising the future: forecasting with high frequency based volatility (HEAVY) models. (2009). Sheppard, Kevin ; Shephard, Neil.
    In: Economics Series Working Papers.
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  131. Realising the future: forecasting with high frequency based volatility (HEAVY) models. (2009). Sheppard, Kevin ; Shephard, Neil.
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  132. Value-at-Risk Analysis for Asian Emerging Markets: Asymmetry and Fat Tails in Returns Innovation. (2009). Yoon, Seong-Min ; Kang, Sanghoon .
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  133. Forecasting S&P 500 volatility: Long memory, level shifts, leverage effects, day-of-the-week seasonality, and macroeconomic announcements. (2009). van Dijk, Dick ; De Pooter, Michiel ; Martens, Martin .
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  134. The distribution of realized variances: Marginal behaviors, asymmetric dependence and contagion effects. (2009). Metais, Carole ; Ane, Thierry .
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  135. Modeling and forecasting crude oil markets using ARCH-type models. (2009). cheong, chin.
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  136. Comparing univariate and multivariate models to forecast portfolio value-at-risk. (2009). Santos, Andre ; Ruiz, Esther ; Andre A. P., ; Nogales, Francisco J..
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  137. THE ECONOMIC VALUE OF USING REALIZED VOLATILITY IN FORECASTING FUTURE IMPLIED VOLATILITY. (2009). Chan, Wing ; Kalimipalli, Madhu ; Jha, Ranjini.
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  138. Do high-frequency measures of volatility improve forecasts of return distributions?. (2008). McCurdy, Tom ; Maheu, John.
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  139. ARFIMAX and ARFIMAX-TARCH realized volatility modeling. (2008). Degiannakis, Stavros.
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  140. Handbook on Information Technology in Finance. (2008). .
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  141. Volatility forecasting: Intra-day versus inter-day models. (2008). Degiannakis, Stavros ; Angelidis, Timotheos.
    In: MPRA Paper.
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  142. Forecasting Vix. (2008). Degiannakis, Stavros.
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  143. ARFIMAX and ARFIMAX-TARCH Realized Volatility Modeling. (2008). Degiannakis, Stavros.
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  144. Volatility forecasting: intra-day vs. inter-day models. (2008). Degiannakis, Stavros ; Angelidis, Timotheos.
    In: MPRA Paper.
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  145. EGARCH and Stochastic Volatility: Modeling Jumps and Heavy-tails for Stock Returns. (2008). Nakajima, Jouchi.
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  146. Value-at-Risk and Expected Shortfall when there is long range dependence.. (2008). mungo, julius ; Härdle, Wolfgang ; Hardle, Wolfgang.
    In: SFB 649 Discussion Papers.
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  147. Comparison of Volatility Measures: a Risk Management Perspective. (2008). Gallo, Giampiero ; Brownlees, Christian.
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  148. Accurate minimum capital risk requirements: A comparison of several approaches. (2008). Veiga, Helena ; Grane, A..
    In: Journal of Banking & Finance.
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  149. An econometric analysis of emission allowance prices. (2008). Taschini, Luca ; Paolella, Marc S..
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:32:y:2008:i:10:p:2022-2032.

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  150. Can idiosyncratic volatility help forecast stock market volatility?. (2008). Taylor, Nick.
    In: International Journal of Forecasting.
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  151. Volatility forecasting: Intra-day versus inter-day models. (2008). Degiannakis, Stavros ; Angelidis, Timotheos.
    In: Journal of International Financial Markets, Institutions and Money.
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  152. Quantile forecasts of daily exchange rate returns from forecasts of realized volatility. (2008). Kim, Jae ; Galvão, Ana ; Clements, Michael ; Galvo, Ana Beatriz.
    In: Journal of Empirical Finance.
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  153. Are there Structural Breaks in Realized Volatility?. (2007). Maheu, John ; Liu, Chun.
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  154. Evaluating density forecasts of the model with a conditional skewed-t distribution for Chinas stock markets. (2007). Li, Xiao-Ming ; Xu, Qing.
    In: Applied Financial Economics.
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  155. Assessing the performance of a prediction error criterion model selection algorithm in the context of ARCH models. (2007). Xekalaki, Evdokia ; Degiannakis, Stavros.
    In: Applied Financial Economics.
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  156. Assessing the Performance of a Prediction Error Criterion Model Selection Algorithm in the Context of ARCH Models. (2007). Degiannakis, Stavros ; Xekalaki, Evdokia.
    In: MPRA Paper.
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  157. Evaluation of correlation forecasting models for risk management. (2007). Skintzi, Vasiliki ; Xanthopoulos-Sisinis, Spyros .
    In: Journal of Forecasting.
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  158. Asymmetric power distribution: Theory and applications to risk measurement. (2007). Komunjer, Ivana.
    In: Journal of Applied Econometrics.
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  159. A power GARCH examination of the gold market. (2007). lucey, brian ; Tully, Edel.
    In: Research in International Business and Finance.
    RePEc:eee:riibaf:v:21:y:2007:i:2:p:316-325.

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  160. Portfolio management under sudden changes in volatility and heterogeneous investment horizons. (2007). lucey, brian ; Fernandez, Viviana.
    In: Physica A: Statistical Mechanics and its Applications.
    RePEc:eee:phsmap:v:375:y:2007:i:2:p:612-624.

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  161. Specification and estimation of discrete time quadratic stochastic volatility models. (2007). Kawakatsu, Hiroyuki .
    In: Journal of Empirical Finance.
    RePEc:eee:empfin:v:14:y:2007:i:3:p:424-442.

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  162. The effect of realised volatility on stock returns risk estimates. (2007). Veiga, Helena ; Grane, Aurea .
    In: DES - Working Papers. Statistics and Econometrics. WS.
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  163. Quantile Forecasts of Daily Exchange Rate Returns from Forecasts of Realized Volatility. (2006). Kim, Jae ; Galvão, Ana ; Clements, Michael ; Galvo, Ana Beatriz.
    In: The Warwick Economics Research Paper Series (TWERPS).
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  164. Comparing value-at-risk methodologies. (2006). Neri, Breno ; Lima, Luiz.
    In: FGV/EPGE Economics Working Papers (Ensaios Economicos da EPGE).
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  165. Accurate value-at-risk forecasting based on the normal-GARCH model. (2006). Mittnik, Stefan ; Hartz, Christoph ; Paolella, Marc .
    In: Computational Statistics & Data Analysis.
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  166. Portfolio management implications of volatility shifts: Evidence from simulated data. (2006). lucey, brian ; Fernandez, Viviana.
    In: Documentos de Trabajo.
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  167. Quantile Forecasts of Daily Exchange Rate Returns from Forecasts of Realized Volatility. (2006). Kim, Jae ; Galvão, Ana ; Clements, Michael ; Galvao, Ana Beatriz.
    In: Economic Research Papers.
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  168. Estimation of Value-at-Risk under jump dynamics and asymmetric information. (2005). Hung, Jui-Cheng ; Lee, Ming-Chih .
    In: Applied Financial Economics.
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  169. Intraday Value at Risk (IVaR) using tick-by-tick data with application to the Toronto Stock Exchange. (2005). Dionne, Georges ; Pacurar, Maria ; Duchesne, Pierre.
    In: Working Papers.
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  170. Intraday Value at Risk (IVaR) Using Tick-by-Tick Data with Application to the Toronto Stock Exchange. (2005). Duchesne, Pierre ; Dionne, Georges ; Pacurar, Maria .
    In: Cahiers de recherche.
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  171. A Type 2 fuzzy time series model for stock index forecasting. (2005). Yu, Hui-Kuang ; Huarng, Kunhuang .
    In: Physica A: Statistical Mechanics and its Applications.
    RePEc:eee:phsmap:v:353:y:2005:i:c:p:445-462.

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  172. Volatility regimes and the provision of liquidity in order book markets. (2005). Giot, Pierre ; Durré, Alain ; Durre, Alain ; BELTRAN, Helena .
    In: CORE Discussion Papers.
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  173. Modeling and Forecasting S&P 500 Volatility: Long Memory, Structural Breaks and Nonlinearity. (2004). van Dijk, Dick ; De Pooter, Michiel ; Martens, Martin .
    In: Tinbergen Institute Discussion Papers.
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  174. Forecasting Daily Variability of the S&P 100 Stock Index using Historical, Realised and Implied Volatility Measurements. (2004). Koopman, Siem Jan ; Jungbacker, Borus ; Hol, Eugenie .
    In: Tinbergen Institute Discussion Papers.
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  175. How does liquidity react to stress periods in a limit order market?. (2004). Giot, Pierre ; Durré, Alain ; BELTRAN, Helena .
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  176. Volatility regimes and the provisions of liquidity in order book markets. (2004). Giot, Pierre ; Durré, Alain ; Helena, BELTRAN.
    In: Discussion Papers (ECON - Département des Sciences Economiques).
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