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Risk Management of Risk Under the Basel Accord: Forecasting Value-at-Risk of VIX Futures

https://doi.org/10.2139/ssrn.1765202
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At the dated check, the references listed below either did not resolve in Crossref or DataCite, or carried a retraction notice. Each one is shown with the registry record that put it there.

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References needing attention

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The 29 checked references that resolve
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Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
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Nonlinear Time Series Models in Empirical Finance
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A Value-at-Risk Analysis of VIX Futures Long Memory, Heavy Tails, and Asymmetry
resolves10.1111/j.1467-6419.2009.00590.x
THE TEN COMMANDMENTS FOR MANAGING VALUE AT RISK UNDER THE BASEL II ACCORD
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The Econometrics of Financial Time Series
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On adaptive estimation in nonstationary ARMA Models with GARCH errors
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AUTOMATED INFERENCE AND LEARNING IN MODELING FINANCIAL VOLATILITY
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An econometric analysis of asymmetric volatility: Theory and application to patents
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A decision rule to minimize daily capital charges in forecasting value‐at‐risk
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Has the Basel II Accord Encouraged Risk Management During the 2008-09 Financial Crisis?
resolves10.2139/ssrn.1688385
GFC-Robust Risk Management Strategies under the Basel Accord
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International Evidence on GFC-Robust Forecasts for Risk Management Under the Basel Accord
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Forecasting value‐at‐risk with a parsimonious portfolio spillover GARCH (PS‐GARCH) model
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Single‐index and portfolio models for forecasting value‐at‐risk thresholds
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Do banks overstate their Value-at-Risk?
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Morgan, John Pierpont, (1867–13 March 1943), Chairman of J. P. Morgan and Co., Inc., New York; Morgan, Grenfell and Co., London; Drexel and Co., Philadelphia; Morgan et Cie, Paris
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Derivatives on Market Volatility
The 13 references without a DOI — listed, not checked
no DOI — not checkedInternational Convergence of Capital Measurement and Capital Standards
no DOI — not checkedAn Internal Model-Based Approach to Market Risk Capital Requirements
no DOI — not checkedSupervisory Framework for the Use of "Backtesting" in Conjunction with the Internal Model-Based Approach to Market Risk Capital Requirements
no DOI — not checkedInternational Convergence of Capital Measurement and Capital Standards, a Revised Framework Comprehensive Version
no DOI — not checkedStudies of stock market volatility changes
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no DOI — not checkedMethods for evaluating value-at-risk estimates
no DOI — not checkedStatistical aspects of ARCH and stochastic volatility
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no DOI — not checkedRiskmetrics Group. Figure 2 30-day Maturity VIX Futures Returns
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What this badge says. CiteStamped means the CHECKABLE references of this work were clean at the dated check: each resolved to a known work in a public registry, and none carried a retraction notice at that time. It says nothing about the quality, findings, or importance of the work itself, and nothing about references deposited without a DOI.

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