Evaluating Value-at-Risk Measures in Presence of Long Memory Conditional Volatility
By Massimiliano Caporin. 2008
54 citations recorded by the source corpus.
Subfields: Finance, Management Science and Operations Research
View Paper: https://www.semanticscholar.org/paper/bb865ae120be43f4333d6210e85b43f5706d832e
How researchers see this paper
The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.
In Finance
- M. Nieto
- Pilar Abad
- Esther Ruiz
- Tilmann Gneiting
- Carmen López
- Sonia Benito
- Andrew J. Patton
- J. Ziegel
In Management Science and Operations Research
- M. Nieto
- Esther Ruiz
- Pilar Abad
- Tilmann Gneiting
- Carmen López
- Sonia Benito
- James W. Taylor
- Thordis Linda Thorarinsdottir
Citations in the corpus
- Making and Evaluating Point Forecasts (2009, background): “The loss functions proposed by Lopez (1999) and Caporin (2008) for evaluating VaR forecasts are not of the GPL form.”
- A comprehensive review of Value at Risk methodologies (2014, background): “Caporin (2008) also designs a measure of the opportunity cost.”
- Frontiers in VaR forecasting and backtesting (2016, background): “…functions proposed by Lopez (1999) and extended by Caporin (2008) are not of the GPL form and, consequently, this could explain why these functions are not able to properly distinguish between the true Data Generating Process (DGP) and alternative models to forecast the VaR; see Caporin (2008).”