Forecasting value at risk allowing for time variation in the variance and kurtosis of portfolio returns
By C. Guermat, Richard D. F. Harris. 2002
89 citations recorded by the source corpus.
Subfields: Economics and Econometrics, Finance
View Paper: https://www.semanticscholar.org/paper/9f2971e83ada1a4b5123211ace26b6daca0ed3ee
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
- Stavros Degiannakis *
- Pilar Abad
- Carmen López
- Sonia Benito
- Alexandros Benos
- Timotheos Angelidis
- George Filis
- R. Brooks
In Finance
- Stavros Degiannakis *
- Pilar Abad
- Carmen López
- Sonia Benito
- Alexandros Benos
- Timotheos Angelidis
- R. Brooks
- George Filis
Citations in the corpus
- Value at Risk with time varying variance, skewness and kurtosis--the NIG-ACD model (2009, unknown): “(1999, 2000), Dittmar, (2002), Guermat and Harris, (2002) as well as Christo¤ersen et al.,”
- The Use of GARCH Models in VaR Estimation (2004, methodology): “As far as the case of 95% VaR level, the excellent performance of the volatility models under the Student-t distribution was a surprise for us, as researchers always reported an overestimation of the risk (see Guermat and Harris (2002) , Billio and Pelizzon (2000) for more”
- A comprehensive review of Value at Risk methodologies (2014, methodology): “Hansen (1994), Zhang and Cheng (2005), Haas (2009), Ausín and Galeano (2007), Xu and”