Value–at–Risk Models

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Global financial crisis and spillover effects among the U.S. and BRICS stock markets (2016, methodology): “Several studies use this approach including Jorian (2007), Wu and Shieh (2007), Christoffersen (2009), Hammoudeh et al. (2011), and Hammoudeh et al. (2013).”
Merits and Drawbacks of Variance Targeting in GARCH Models (2011, background): “which allows us to interpret κ0 as the speed of mean reversion in variance (see Christoffersen (2008)).”
Frontiers in VaR forecasting and backtesting (2016, methodology): “…methodological and empirical developments in VaR forecasting and testing, updating previous surveys in the literature; see Kuester et al. (2006), Christoffersen (2009), Gourieroux and Jasiak (2010a) and Chen and Lu (2012) for previous surveys and Embrechts et al. (2000), Dowd (2007), McNeil et…”