Reference health

Value-at-Risk and Expected Shortfall When There Is Long Range Dependence

https://doi.org/10.2139/ssrn.2894310
CiteStamped reference-health badge
3 of 43 checkable references need attention · checked 2026-07-26

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.

14 without a DOI — not checked. A reference deposited without a DOI is never matched by title or guessed at; it stays outside the checked set, and this line discloses that.

References needing attention

does not resolve to a known work10.1787/eag-2008-tableb3_3-fr
does not resolve to a known work10.1787/eag-2008-tablea3_2-en
does not resolve to a known work10.1002/(sici)1099-1255(199801/02)13:1<49::aid-jae459>3.3.co;2-f
The 40 checked references that resolve
resolves10.1111/1467-9965.00068
Coherent Measures of Risk
resolves10.2139/ssrn.898473
Backtesting VaR Models: An Expected Shortfall Approach
resolves10.1016/s0304-4076(95)01749-6
Fractionally integrated generalized autoregressive conditional heteroskedasticity
resolves10.1016/s0927-5398(00)00022-0
Value-at-Risk: a multivariate switching regime approach
resolves10.1016/0304-4076(86)90063-1
Generalized autoregressive conditional heteroskedasticity
resolves10.2307/1925546
A Conditionally Heteroskedastic Time Series Model for Speculative Prices and Rates of Return
resolves10.1016/0304-4076(95)01736-4
Modeling and pricing long memory in stock market volatility
resolves10.1108/eb022959
The Effect of Asymmetries on Stock Index Return Value‐at‐Risk Estimates
resolves10.1093/jjfinec/nbi018
Autoregressive Conditional Kurtosis
resolves10.2307/2527341
Evaluating Interval Forecasts
resolves10.1198/073500103288619359
Moment and Memory Properties of Linear Conditional Heteroscedasticity Models, and a New Model
resolves10.1080/0960310042000285794
Volatility forecasting: evidence from a fractional integrated asymmetric power ARCH skewed-t model
resolves10.1016/0304-4076(95)01737-2
Modeling volatility persistence of speculative returns: A new approach
resolves10.1016/0927-5398(93)90006-d
A long memory property of stock market returns and a new model
resolves10.2202/1558-3708.1218
Inference and Forecasting for ARFIMA Models With an Application to US and UK Inflation
resolves10.1080/07474938608800095
Modelling the persistence of conditional variances
resolves10.1016/j.jempfin.2003.04.003
Modelling daily Value-at-Risk using realized volatility and ARCH type models
resolves10.21314/jor.2002.060
Robust conditional variance estimation and value-at-risk
resolves10.1111/j.1467-9892.1983.tb00371.x
THE ESTIMATION AND APPLICATION OF LONG MEMORY TIME SERIES MODELS
resolves10.1017/s0266466600161018
STATIONARY ARCH MODELS: DEPENDENCE STRUCTURE AND CENTRAL LIMIT THEOREM
resolves10.1239/jap/1011994190
Testing for long memory in the presence of a general trend
resolves10.1016/s0304-4076(02)00197-5
Rescaled variance and related tests for long memory in volatility and levels
resolves10.1023/a:1009951213271
Semiparametric Estimation of the Intensity of Long Memory in Conditional Heteroskedasticity
resolves10.1016/0304-4076(80)90092-5
Long memory relationships and the aggregation of dynamic models
resolves10.2307/20076016
Some Properties of Absolute Return: An Alternative Measure of Risk
resolves10.1016/0304-4076(95)01733-x
Varieties of long memory models
resolves10.1111/j.1467-9892.1993.tb00151.x
REGRESSION OF SPECTRAL ESTIMATORS WITH FRACTIONALLY INTEGRATED TIME SERIES
resolves10.1080/09603100010025733
Long memory in stock returns: some international evidence
resolves10.1111/1467-9892.00075
The mean squared error of Geweke and Porter‐Hudak's estimator of the memory parameter of a long‐memory time series
resolves10.3905/jod.1995.407942
Techniques for Verifying the Accuracy of Risk Measurement Models
resolves10.1111/1467-6419.00174
G@RCH 2.2: An Ox Package for Estimating and Forecasting Various ARCH Models
resolves10.1017/ccol0521444594.002
Time series with strong dependence
resolves10.1214/aos/1176324317
Gaussian Semiparametric Estimation of Long Range Dependence
resolves10.1111/1467-937x.00054
A Nonparametric Test for I(0)
resolves10.1214/009053604000000139
Local Whittle estimation in nonstationary and unit root cases
resolves10.1017/s0266466699153027
LONG AND SHORT MEMORY CONDITIONAL HETEROSKEDASTICITY IN ESTIMATING THE MEMORY PARAMETER OF LEVELS
resolves10.1111/j.0960-1627.2004.00184.x
Nonparametric Estimation and Sensitivity Analysis of Expected Shortfall
resolves10.1080/096031000416398
Long-term memory in stock market volatility
resolves10.1016/j.intfin.2005.02.001
Empirical analysis of GARCH models in value at risk estimation
resolves10.1111/1368-423x.t01-1-00088
Residual‐based diagnostics for conditional heteroscedasticity models
The 14 references without a DOI — listed, not checked
no DOI — not checkedref2
no DOI — not checkedref3
no DOI — not checkedref4
no DOI — not checkedLong Range Dependence on Tunisian Stock Market Volatility
no DOI — not checkedref10
no DOI — not checkedref17
no DOI — not checkedAn Introduction to OxMetrics 4. A software System for Data Analysis and Forecasting
no DOI — not checkedref37
no DOI — not checkedPricing of options under different volatility models
no DOI — not checkedref41
no DOI — not checkedref42
no DOI — not checkedref44
no DOI — not checkedref46
no DOI — not checkedThe Bayesian Additive Classification Tree Applied to Credit Risk Modelling
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.

checked 2026-07-26 — re-checked daily as this page is visited; titles and statuses come from Crossref and DataCite and are not part of the signed record

view as graph · paper page

Embed this badge

Both snippets point at the live badge image and link back to this page. The badge re-renders from the daily check, so an embed never goes stale by more than a day of visits.

<a href="https://citestamp.com/citestamped/10.2139/ssrn.2894310"><img src="https://citestamp.com/citestamped/10.2139/ssrn.2894310/badge.svg" alt="CiteStamped reference-health badge" width="460" height="64"></a>
[![CiteStamped reference-health badge](https://citestamp.com/citestamped/10.2139/ssrn.2894310/badge.svg)](https://citestamp.com/citestamped/10.2139/ssrn.2894310)