Reference health
Forecasting VAR Models in the Presence of Regime Shifts in Variance and Egarch Effects
3 of 37 checkable references need attention · checked 2026-10-07
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
does not resolve to a known work10.2307/1392087
does not resolve to a known work10.2307/2329067
does not resolve to a known work10.1257/.41.2.478
The 34 checked references that resolve
resolves10.1016/j.jbankfin.2007.03.009
The role of autoregressive conditional skewness and kurtosis in the estimation of conditional VaR
resolves10.1016/j.intfin.2004.05.002
Estimation of Value-at-Risk by extreme value and conventional methods: a comparative evaluation of their predictive performance
resolves10.1016/j.ijforecast.2005.10.002
Using extreme value theory to measure value-at-risk for daily electricity spot prices
resolves10.1080/09603101003636188
Forecasting accuracy of stochastic volatility, GARCH and EWMA models under different volatility scenarios
resolves10.1016/j.jempfin.2003.04.003
Modelling daily Value-at-Risk using realized volatility and ARCH type models
resolves10.1016/0304-405x(96)00875-6
Modeling the conditional distribution of interest rates as a regime-switching process
resolves10.2307/1912559
A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle
resolves10.1016/j.csda.2006.09.017
Accurate value-at-risk forecasting based on the normal-GARCH model
resolves10.1016/s0165-1889(02)00079-9
Conditional volatility, skewness, and kurtosis: existence, persistence, and comovements
resolves10.2202/1558-3708.1145
Forecasting Stock Market Volatility with Regime-Switching GARCH Models
resolves10.2139/ssrn.1397239
Has the Basel II Accord Encouraged Risk Management During the 2008-09 Financial Crisis?
resolves10.1016/s0927-5398(00)00012-8
Estimation of tail-related risk measures for heteroscedastic financial time series: an extreme value approach
resolves10.1002/fut.20293
Value at risk and conditional extreme value theory via markov regime switching models
resolves10.1002/1099-1158(200010)5:4<265::aid-ijfe132>3.0.co;2-h
Switching volatility in private international equity markets
resolves10.2139/ssrn.670502
A Comparison of Mixed Garch-Jump Models with Skewed T-Distribution for Asset Returns
resolves10.1016/j.jimonfin.2008.08.005
Volatility regime-switching in European exchange rates prior to monetary unification
The 7 references without a DOI — listed, not checked
no DOI — not checkedref11
no DOI — not checkedref13
no DOI — not checkedForecasting Extreme Financial Risk: A Critical Analysis of Practical Methods for the Japanese Market
no DOI — not checkedEvaluating Density Forecasts
no DOI — not checkedCAViaR: Conditional Autoregressive Value at Risk by Regression Quantiles
no DOI — not checkedref29
no DOI — not checkedref41
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