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https://doi.org/10.2139/ssrn.4648630

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Uncertainty Analysis with High Dimensional Dependence Modelling
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Volatility specifications versus probability distributions in VaR forecasting
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GO‐GARCH: a multivariate generalized orthogonal GARCH model
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Coherent Risk Measures on General Probability Spaces
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On law invariant coherent risk measures
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Comparative and qualitative robustness for law-invariant risk measures
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Convex measures of risk and trading constraints
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The effects of misspecified marginals and copulas on computing the value at risk: A Monte Carlo study
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Modeling and forecasting petroleum futures volatility
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Forecasting energy market volatility using GARCH models: Can multivariate models beat univariate models?
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A comparison of GARCH models for VaR estimation
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Comparison of risk forecasts for cryptocurrencies: A focus on Range Value at Risk
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Evaluating the accuracy of value-at-risk forecasts: New multilevel tests
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Forecasting Bitcoin risk measures: A robust approach
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Forecasting Expected Shortfall: Should We Use a Multivariate Model for Stock Market Factors?
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Forecasting value-at-risk and expected shortfall using fractionally integrated models of conditional volatility: International evidence
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A comparison of Expected Shortfall estimation models
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Forecasting Value-at-Risk of Cryptocurrencies with RiskMetrics type models
inferredcites →https://doi.org/10.1016/s0378-4266(02)00270-4openalex-extracted
Putting order in risk measures
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Spectral measures of risk: A coherent representation of subjective risk aversion
inferredcites →https://doi.org/10.1057/s41283-017-0026-8openalex-extracted
Numerical comparison of multivariate models to forecasting risk measures
inferredcites →https://doi.org/10.1080/00036846.2019.1693023openalex-extracted
Value-at-risk and expected shortfall in cryptocurrencies’ portfolio: a vine copula–based approach
inferredcites →https://doi.org/10.1080/13518470500039436openalex-extracted
Small sample properties of GARCH estimates and persistence
inferredcites →https://doi.org/10.1080/14697681003685597openalex-extracted
Robustness and sensitivity analysis of risk measurement procedures
inferredcites →https://doi.org/10.1080/14697688.2014.946955openalex-extracted
On elicitable risk measures
inferredcites →https://doi.org/10.1080/14697688.2016.1192295openalex-extracted
Semi-parametric Bayesian tail risk forecasting incorporating realized measures of volatility
inferredcites →https://doi.org/10.1080/17446540701765274openalex-extracted
Value-at-risk in US stock indices with skewed generalized error distribution
inferredcites →https://doi.org/10.1080/713665670openalex-extracted
Empirical properties of asset returns: stylized facts and statistical issues
inferredcites →https://doi.org/10.1093/jjfinec/nbj002openalex-extracted
Value-at-Risk Prediction: A Comparison of Alternative Strategies
inferredcites →https://doi.org/10.1093/jjfinec/nbs015openalex-extracted
Comparing Univariate and Multivariate Models to Forecast Portfolio Value-at-Risk
inferredcites →https://doi.org/10.1093/rfs/hhm075openalex-extracted
Optimal Versus Naive Diversification: How Inefficient is the 1/ N Portfolio Strategy?
inferredcites →https://doi.org/10.1111/1467-6419.00169openalex-extracted
Recent Theoretical Results for Time Series Models with GARCH Errors
inferredcites →https://doi.org/10.1111/mafi.12080openalex-extracted
COHERENCE AND ELICITABILITY
inferredcites →https://doi.org/10.1111/mafi.12270openalex-extracted
Risk Functionals With Convex Level Sets
inferredcites →https://doi.org/10.1142/9789814299886_0015openalex-extracted
Modeling Dependence Between Financial Returns Using Pair-Copula Constructions
inferredcites →https://doi.org/10.1146/annurev-financial-111914-042031openalex-extracted
The Axiomatic Approach to Risk Measures for Capital Determination
inferredcites →https://doi.org/10.1146/annurev-statistics-030718-105122openalex-extracted
Risk Measures: Robustness, Elicitability, and Backtesting
inferredcites →https://doi.org/10.1198/073500102288618487openalex-extracted
Dynamic Conditional Correlation
inferredcites →https://doi.org/10.1198/jasa.2011.r10138openalex-extracted
Making and Evaluating Point Forecasts
inferredcites →https://doi.org/10.1214/16-aos1439openalex-extracted
Higher order elicitability and Osband’s principle
inferredcites →https://doi.org/10.1214/lnms/1215452614openalex-extracted
Families of $m$-variate distributions with given margins and $m(m-1)/2$ bivariate dependence parameters
inferredcites →https://doi.org/10.1287/moor.1120.0577openalex-extracted
External Risk Measures and Basel Accords
inferredcites →https://doi.org/10.1515/9783110463453openalex-extracted
Stochastic Finance
inferredcites →https://doi.org/10.17578/19-4-1openalex-extracted
Skewed Generalized Error Distribution of Financial Assets and Option Pricing
inferredcites →https://doi.org/10.21314/jrmv.2013.108openalex-extracted
Individual and flexible expected shortfall backtesting
inferredcites →https://doi.org/10.2139/ssrn.1086698openalex-extracted
Robustness and Sensitivity Analysis of Risk Measurement Procedures
inferredcites →https://doi.org/10.2139/ssrn.2155659openalex-extracted
inferredcites →https://doi.org/10.2139/ssrn.219679openalex-extracted
Skewed Generalized Error Distribution of Financial Assets and Option Pricing
inferredcites →https://doi.org/10.2139/ssrn.3489917openalex-extracted
Model Risk Measures: A Review and New Proposals on Risk Forecasting
inferredcites →https://doi.org/10.2139/ssrn.4051687openalex-extracted
inferredcites →https://doi.org/10.24135/afl.v4i1and2.30openalex-extracted
On the existence of an optimal estimation window for risk measures
inferredcites →https://doi.org/10.32614/cran.package.batchgetsymbolsopenalex-extracted
BatchGetSymbols: Downloads and Organizes Financial Data for Multiple Tickers
inferredcites →https://doi.org/10.32614/cran.package.rugarchopenalex-extracted
rugarch: Univariate GARCH Models
inferredcites →https://doi.org/10.3390/computation11020028openalex-extracted
Nonparametric Estimation of Range Value at Risk
inferredcites →https://doi.org/10.3390/jrfm9020004openalex-extracted
Application of Vine Copulas to Credit Portfolio Risk Modeling
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