Robust Value at Risk Prediction

Journal of Financial Econometrics ◽

10.1093/jjfinec/nbq035 ◽

2011 ◽

Vol 9 (2) ◽

pp. 281-313 ◽

Author(s):

L. Mancini ◽

F. Trojani

Keyword(s):

At Risk ◽

Risk Prediction ◽

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Value at Risk Prediction under Illiquid Market Conditions: A Comparison of Alternative Modeling Strategies

Risk Management in Emerging Markets ◽

10.1108/978-1-78635-452-520161021 ◽

2016 ◽

pp. 253-291

Author(s):

Mazin A. M. Al Janabi

Keyword(s):

At Risk ◽

Risk Prediction ◽

Value At Risk ◽

Market Conditions ◽

Illiquid Market

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Conditional density and value-at-risk prediction of Asian currency exchange rates

Journal of Forecasting ◽

10.1002/1099-131x(200007)19:4<313::aid-for776>3.0.co;2-e ◽

2000 ◽

Vol 19 (4) ◽

pp. 313-333 ◽

Author(s):

Stefan Mittnik ◽

Marc S. Paolella

Keyword(s):

At Risk ◽

Exchange Rates ◽

Risk Prediction ◽

Value At Risk ◽

Conditional Density ◽

Currency Exchange ◽

Currency Exchange Rates

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Value-at-Risk Prediction: A Comparison of Alternative Strategies

Journal of Financial Econometrics ◽

10.1093/jjfinec/nbj002 ◽

2005 ◽

Vol 4 (1) ◽

pp. 53-89 ◽

Author(s):

K. Kuester

Keyword(s):

At Risk ◽

Risk Prediction ◽

Value At Risk ◽

Alternative Strategies

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Value-at-Risk prediction for the Brazilian stock market: A comparative study between Parametric Method, Feedforward and LSTM Neural Network

2019 XLV Latin American Computing Conference (CLEI) ◽

10.1109/clei47609.2019.235095 ◽

2019 ◽

Author(s):

Daniel Reghin ◽

Fabio Lopes

Keyword(s):

Neural Network ◽

At Risk ◽

Stock Market ◽

Comparative Study ◽

Risk Prediction ◽

Value At Risk ◽

Parametric Method

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Optimally Harnessing Inter-Day and Intra-Day Information for Daily Value-at-Risk Prediction

SSRN Electronic Journal ◽

10.2139/ssrn.1924237 ◽

2012 ◽

Author(s):

Ana-Maria Fuertes ◽

Jose Olmo

Keyword(s):

At Risk ◽

Risk Prediction ◽

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Value-at-risk prediction using context modeling

The European Physical Journal B ◽

10.1007/s100510170227 ◽

2001 ◽

Vol 20 (4) ◽

pp. 481-492 ◽

Author(s):

K. Denecker ◽

S. Van Assche ◽

J. Crombez ◽

R. Vander Vennet ◽

I. Lemahieu

Keyword(s):

At Risk ◽

Risk Prediction ◽

Value At Risk ◽

Context Modeling

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Value at Risk Prediction: The Failure of RiskMetrics in Preventing Financial Crisis. Evidence from Romanian Capital Market

Procedia Economics and Finance ◽

10.1016/s2212-5671(15)00094-5 ◽

2015 ◽

Vol 20 ◽

pp. 433-442

Author(s):

Dumitru-Cristian Oanea ◽

Gabriela Anghelache

Keyword(s):

At Risk ◽

Financial Crisis ◽

Risk Prediction ◽

Capital Market ◽

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How informative are variance risk premium and implied volatility for Value-at-Risk prediction? International evidence

The Quarterly Review of Economics and Finance ◽

10.1016/j.qref.2019.08.006 ◽

2020 ◽

Vol 76 ◽

pp. 22-37

Author(s):

Skander Slim ◽

Meriam Dahmene ◽

Adel Boughrara

Keyword(s):

At Risk ◽

Risk Prediction ◽

Risk Premium ◽

Value At Risk ◽

Implied Volatility ◽

Variance Risk Premium ◽

International Evidence ◽

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Robust Value at Risk Prediction: Appendix

SSRN Electronic Journal ◽

10.2139/ssrn.1674761 ◽

2010 ◽

Author(s):

Loriano Mancini ◽

Fabio Trojani

Keyword(s):

At Risk ◽

Risk Prediction ◽

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Are Realized Volatility Models Good Candidates for Alternative Value at Risk Prediction Strategies?

SSRN Electronic Journal ◽

10.2139/ssrn.1814171 ◽

2011 ◽

Author(s):

Dimitrios P. Louzis ◽

Spyros Xanthopoulos-Sisinis ◽

Apostolos N. Refenes

Keyword(s):

At Risk ◽

Risk Prediction ◽

Value At Risk ◽

Realized Volatility ◽

Volatility Models

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