Evaluating Predictive Performance of Value-at-Risk Models in Emerging Markets: A Reality Check

By Yong Bao, Tae-Hwy Lee, Burak Saltoğlu. 2006

225 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/3f7c8142b593348c34b9ba2f1b56dea96f03d4d4

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

In Economics and Econometrics

1. M. Nieto
2. Esther Ruiz
3. Marius Hofert
4. Marc S. Paolella
5. Stefan Mittnik
6. Marco Rocco
7. Paul Embrechts
8. Pilar Abad

In Finance

1. Marco Rocco
2. M. Nieto
3. Esther Ruiz
4. Marius Hofert
5. James W. Taylor
6. Pilar Abad
7. Carmen López
8. Sonia Benito

Citations in the corpus

• Frontiers in VaR forecasting and backtesting (2016, methodology): “For example, Angelidis et al. (2007) estimate V̂ aR HS t with T = 1750 observations while McNeil and Frey (2000) and Bao et al. (2006) consider sample sizes larger than 2000 observations.”
• Value-at-Risk Prediction: A Comparison of Alternative Strategies (2005, methodology): “The work by Bao, Lee, and Saltoglu (2003, 2004) is also concerned with VaR prediction and is a good complement to this article, as they use different data, models, and loss functions.”
• A comprehensive review of Value at Risk methodologies (2014, methodology): “Finally, concerning the Hill index, some authors used the mentioned estimator, such as Bao et al. (2006), whereas others such as Bhattacharyya and Ritolia (2008) used a modified Hill”
• Nonparametric Quantile Estimations for Dynamic Smooth Coefficient Models (2008, background): “Hallock (2001), Khindanova and Rachev (2000), and Bao, Lee and Saltouglu (2001) , Engle and Manganelli (2004), and references therein.”
• Extreme Value Theory for Finance: A Survey (2012, background): “See for instance Bao et al. (2006), Bali (2007), Bekiros and Georgoutsos (2005), Brooks et al. (2005), Gençay and Selçuk (2004), Ho et al. (2000), Kuester et al. (2006), Lee and Saltoğlu (2002), Manganelli and Engle (2004), Tolikas et al. (2007).”
• Statistics and Quantitative Risk Management for Banking and Insurance (2014, result): “4 the author states that: “This negative result may challenge the use of the CVaR functional as a predictive measure of risk, and may provide a partial explanation for the lack of literature on the evaluation of CVaR forecasts, as opposed to quantile or VaR forecasts, for which we refer to Berkowitz”