Value at risk models for Dutch bond portfolios

By P. Vlaar. 2000

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GARCH vs. stochastic volatility: Option pricing and risk management (2002, background): “Surveys on the VaR concept can be found in [12] and [20]. See also [ 30 ].”
Evaluating Covariance Matrix Forecasts in a Value-at-Risk Framework (2000, background): “10 See van den Goorbergh and Vlaar (1999) as well as Vlaar (2000) for further analysis of the t-”
Measuring Market Risk (2002, unknown): “13–14)). A more general approach to dispersion is provided by Fishburn α − t measures, defined as ∫ t −∞ (t − x) f (x)dx (Fishburn (1977)).”
The Use of GARCH Models in VaR Estimation (2004, background): “On the contrary, Hendricks [31], Vlaar [56] and Daníelsson [18] supported that an increase of the sample size tends to generate more accurate VaR estimations.”
Bootstrapping Financial Time Series (2002, background): “Vlaar (2000) investigates the accuracy of various VaR models on Dutch interest rate-based portfolios and concludes that bootstrap techniques produce satisfactory results when long periods of data are available.”
Market risk in commodity markets: a VaR approach (2003, background): “Recent examples are the books by Dowd(1998) and1 Jorion (2000) or the papers by van den Goorbergh and Vlaar(1999), Danielsson and de Vries(2000), Vlaar (2000) and Giot and Laurent(2003).”