Andersen, T.G. (1994). “Stochastic Autoregressive Volatility: A Framework for Volatility Modeling.” Mathematical Finance, 4, 75–102.
Artzner, P., F. Delbaen, J.-M. Eber, and D. Heath. (1997). “Thinking Coherently.” Risk, 10, 68–71.
Artzner, P., F. Delbaen, J.-M. Eber, and D. Heath. (1999). “Coherent Measures of Risk.” Mathematical Finance 9, 203–228.
Bai, J. and S. Ng. (2005). “Tests for Skewness, Kurtosis, and Normality for Time-Series Data.” Journal of Business and Economic Statistics, 23, 49–60.
Bali, T.G. (2000). “Testing the Empirical Performance of Stochastic Volatility Models of the Short Term Interest Rate.” Journal of Financial and Quantitative Analysis
, 35, 191–215.CrossRef
Bali, T.G. (2003). “An Extreme Value Approach to Estimating Volatility and Value at Risk.” Journal of Business
, 76, 83–108.CrossRef
Bali, T.G. and S. Neftci. (2003). “Disturbing Extremal Behavior of Spot Rate Dynamics.” Journal of Empirical Finance
, 10, 455–477.CrossRef
Bera, A.K. and M.L. Higgins (1995). “On ARCH Models: Properties, Estimation, and Testing.” In L. Exley, D.A.R. George, C.J. Roberts and S. Sawyer (eds.), Survey in Econometrics. Oxford: Basil Blackwell.
Berkowitz, J. (2001). “Testing Density Forecasts with Applications to Risk Management.” Journal of Business and Economic Statistics
, 19, 465–474.CrossRef
Bollerslev, T. (1986). “Generalized Autoregressive Conditional Heteroscedasticity.” Journal of Econometrics
, 31, 307–327.CrossRef
Bollerslev, T. (1987). “A Conditionally Heteroscedastic Time Series Model of Security Prices and Rates of Return Data.” Review of Economics and Statistics,
Bollerslev, T., R.Y. Chou, and K.F. Kroner. (1992). “ARCH Modeling in Finance: A Review of the Theory and Empirical Evidence.” Journal of Econometrics
, 52, 5–59.CrossRef
Bollerslev, T., R.F. Engle, and D.B. Nelson. (1994). “ARCH Models.” In R.F. Engle, and D.L. McFadden (eds.), Handbook of Econometrics, Vol 4, pp. 2959–3038, Amsterdam: Elsevier.
Box, G., and G.C. Tiao. (1962). “A Further Look at Robustness Via Bayes Theorem,” Biometrika, 49, 419–432.
Christoffersen, P.F. (1998). “Evaluating Interval Forecasts.” International Economic Review
, 39, 841–862.CrossRef
Christoffersen, P.F., and F.X., Diebold. (2000). “How Relevant is Volatility Forecasting for Financial Risk Management.” Review of Economics and Statistics
, 82, 12–22.CrossRef
Cox, J.C., J. Ingersoll, and S. Ross. (1985). “A Theory of the Term Structure of Interest Rates.” Econometrica
, 53, 385–407.CrossRef
Cummins, J.D., G. Dionne, J.B. McDonald, and B.M. Pritchett. (1990). “Applications of the GB2 Family of Distributions in Modeling Insurance Loss Processes.” Insurance: Mathematics and Economics
, 9, 257–272.CrossRef
De Ceuster, M. and D. Trappers (1992). “Diagnostic Checking of Estimation with a Student-$t$ Error Density.” Working Paper UFSIA, Centrum voor Bedrijfeconomie en Bedrijfeconometrie.
Delbaen, F. 1998. “Coherent Risk Measures on General Probability Spaces.” Working Paper, ETH Zurich.
Ding, Z., C.W. Granger, and R.F. Engle. (1993). “A Long Memory Property of Stock Market Returns and a New Model.” Journal of Empirical Finance
, 1, 83–106.CrossRef
Duan, J.-C. (1997). “Augmented GARCH(p,q) Process and its Diffusion Limit.” Journal of Econometrics,
Embrechts, P. (2000). “Extreme Value Theory: Potential and Limitations as an Integrated Risk Management Tool.” Working Paper, ETH Zurich.
Engle, R.F. (1982). “Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation.” Econometrica,
Engle, R.F. (1990). “Discussion: Stock Market Volatility and the Crash of ‘87.” Review of Financial Studies, 3, 103–106.
Engle, R.F. and T. Bollerslev. (1986). “Modeling the Persistence of Conditional Variances.”Econometric Reviews, 5, 1–50.
Engle, R.F. and S. Manganelli. (2004). “CAViaR: conditional autoregressive Value at Risk by Regression Quantiles.” Journal of Business and Economic Statistics, 22, 367–381.
Engle, R.F. and V.K. Ng. (1993). “Measuring and Testing the Impact of News on Volatility.” Journal of Finance
, 48, 1749–1778.CrossRef
Giot, P. and S. Laurent. (2003). “Value at Risk for Long and Short Positions.” Journal of Applied Econometrics
, 18, 641–663.CrossRef
Glosten, L.R., R. Jagannathan, and D.E. Runkle (1993). “On the Relation Between the Expected Value and the Volatility of the Nominal Excess Return on Stocks.” Journal of Finance
, 48, 1779–1801.CrossRef
Hansen, B.E. (1994). “Autoregressive Conditional Density Estimation,” International Economic Review
, 35, 705–730.CrossRef
Hansen, C.B., J.B. McDonald, and P. Theodossiou. (2001). “Some Flexible Parametric Models and Leptokurtic Data.” Working Paper, Brigham Young University.
Hardouvelis, G. and P. Theodossiou. (2002). “The Asymmetric Relation Between Margin Requirements and Stock Market Volatility Across Bull and Bear Markets,” Review of Financial Studies
, 15, 1525–1159.CrossRef
Heikkinen, V.P. and A. Kanto. (2002). “Value-at-Risk Estimation Using Noninteger Degrees of Freedom of Student’s Distribution.” Journal of Risk, 4, 77–84.
Hentschel, L.E. (1995). “All in the Family: Nesting Symmetric and Asymmetric GARCH Models.” Journal of Financial Economics
, 39, 71–104.CrossRef
Heston, S. and S. Nandi. (1999). “Pricing Bonds and Interest Rate Derivatives Under a Two-Factor Model of Interest Rates with GARCH Volatility: Analytical Solutions and Their Applications.” Working Paper 99-20 (November), Federal Reserve Bank of Atlanta.
Higgins, M.L. and A.K. Bera. (1992). “A Class of Nonlinear Arch Models.” International Economic Review
, 33, 137–158.CrossRef
Jondeau, E. and M. Rockinger. (2003). “Conditional Volatility, Skewness, and Kurtosis: Existence and Persistence.” Journal of Economic Dynamics and Control, forthcoming.
Krokhmal, P., J. Palmquist, and S. Uryasev. (2002). “Portfolio Optimization with Conditional Value-at-Risk Objective and Constraints.” Journal of Risk, 4, 43–68.
Krokhmal, P., S. Uryasev, and G. Zrazhevsky. (2002). “Risk Management for Hedge Fund Portfolios: A Comparative Analysis of Linear Balancing Strategies.” Journal of Alternative Investments
, 5, 10–29.CrossRef
Kupiec, P.H. (1995). “Techniques for Verifying the Accuracy of Risk Measurement Models.” Journal of Derivatives, 3, 73–84.
Longin, F.M. (2000). “From Value at Risk to Stress Testing: The Extreme Value Approach.” Journal of Banking and Finance
, 24, 1097–1130.CrossRef
McDonald, J.B. and W.K. Newey (1988). “Partially Adaptive Estimation of Regression Models Via the Generalized $t$ Distribution” Econometric Theory, 4, 428–457.
McNeil, A.J. and R. Frey (2000). “Estimation of Tail-Related Risk Measures for Heteroscedastic Financial Time Series: An Extreme Value Approach.” Journal of Empirical Finance,
Mittnik, S., and M. Paolella. (2000). “Conditional Density and Value-at-Risk Prediction of Asian Currency Exchange Rates.” Journal of Forecasting
, 19, 313–333.CrossRef
Nelson, D. (1991). “Conditional Heteroskedasticity in Asset Returns: A New Approach.” Econometrica
, 59, 347–370.CrossRef
Pagan, A. (1996). “The Econometrics of Financial Markets.” Journal of Empirical Finance
, 3, 15–102.CrossRef
Piero, A. (1999). “Skewness in Financial Returns.” Journal of Banking and Finance
, 23, 847–862.CrossRef
Rockafeller, R.T. and S. Uryasev. (2000). “Optimization of Conditional Value at Risk.” Journal of Risk, 2, 21–41.
Schwert, G.W. (1989). “Why Does Stock Market Volatility Change Over Time?” Journal of Finance
, 44, 1115–1153.CrossRef
Sentana, E. (1995). “Quadratic ARCH Models.” Review of Economic Studies
, 62, 639–661.CrossRef
Seymour, A.J. and D.A. Polakow. (2003). “A Coupling of Extreme-Value Theory and Volatility Updating with Value-at-Risk Estimation in Emerging Markets: A South African Test.” Multinational Finance Journal, 7, 3–23.
Subbotin, M.T.H. (1923). “On the Law of Frequency of Error.” Matematicheskii Sbornik, 31, 296–301.
Taylor, S. (1986). Modeling Financial Time Series. New York: Wiley.
Theodossiou, P. (2001). “Skewness and Kurtosis in Financial Data and the Pricing of Options.” Working Paper, Rutgers University.
Theodossiou, P. (1998). “Financial Data and the Skewed Generalized $t$ Distribution.” Management Science
, 44, 1650–1661.CrossRef
Topaloglou, N., Vladimirou, H., and S.A. Zenios. (2002). “CVaR models with selective hedging for international asset allocation.” Journal of Banking and Finance
, 26, 1535–1561.CrossRef
Wu, G. and Z. Xiao. (2002). “An Analysis of Risk Measures.” Journal of Risk, 4, 53–75.
Zakoian, J.-M. (1994). “Threshold Heteroscedastic Models.” Journal of Economic Dynamics and Control 18, 931–995.