Robust Conditional Variance Estimation and Value-at-Risk

By Richard D. F. Harris, C. Guermat. 2001

72 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/d4226a5e2bb3ab614b9fb5d82961a019ef9ff896

How researchers see this paper

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In Economics and Econometrics

1. M. Nieto
2. Esther Ruiz

In Finance

1. M. Nieto
2. Esther Ruiz

Citations in the corpus

• Frontiers in VaR forecasting and backtesting (2016, background): “For example, Guermat and Harris (2001) propose it in the context of RiskMetrics while Chen and Gerlach (2013) propose a new distribution called asymmetric two-sided Weibull distribution that generalizes the asymmetric Laplace distribution previously proposed by Chen, Gerlach and Lu (2012) by…”