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1. A model-free approach to do long-term volatility forecasting and its variants. (2023). Karmakar, Sayar ; Wu, Kejin.
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2. Non-Gaussian models for CoVaR estimation. (2023). Rivieccio, Giorgia ; de Luca, Giovanni ; Bianchi, Michele Leonardo.
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3. Backtesting and estimation error: value-at-risk overviolation rate. (2021). Cataldo, James ; Tsafack, Georges.
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4. Forecasting crude oil and refined products volatilities and correlations: New evidence from fractionally integrated multivariate GARCH models. (2020). Di Iorio, Francesca ; Tamvakis, Michael ; Kyriakou, Ioannis ; Marchese, Malvina.
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5. Using mixed-frequency and realized measures in quantile regression. (2020). Gallo, Giampiero ; Candila, Vincenzo ; Petrella, Lea.
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6. CoVaR with volatility clustering, heavy tails and non-linear dependence. (2020). Rivieccio, Giorgia ; de Luca, Giovanni ; Bianchi, Michele Leonardo.
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7. Old-fashioned parametric models are still the best. A comparison of Value-at-Risk approaches in several volatility states.. (2019). Chlebus, Marcin ; Buczyski, Mateusz.
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8. Sector Portfolio Performance Comparison between Islamic and Conventional Stock Markets. (2019). Jareño, Francisco ; Jareo, Francisco ; De, Maria ; el Haddouti, Camalea.
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9. Spectral backtests of forecast distributions with application to risk management. (2019). Gordy, Michael ; McNeil, Alexander J ; Lok, Hsiao Yen .
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10. Forecasting Value-at-Risk under Temporal and Portfolio Aggregation. (2017). van Dijk, Dick ; Kole, Erik ; Opschoor, Anne ; Markwat, Thijs .
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11. Systemic risk spillovers in the European banking and sovereign network. (2016). Schienle, Melanie ; Peltonen, Tuomas ; Hautsch, Nikolaus ; Betz, Frank .
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12. Measuring spot variance spillovers when (co)variances are time-varying - the case of multivariate GARCH models. (2016). Fengler, Matthias ; Herwartz, Helmut.
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13. Frontiers in VaR forecasting and backtesting. (2016). Ruiz, Esther ; Nieto, Maria Rosa .
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14. TENET: Tail-Event driven NETwork risk. (2016). Härdle, Wolfgang ; Hardle, Wolfgang Karl ; Yu, Lining ; Wang, Weining.
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15. Managing risk with a realized copula parameter. (2016). Fengler, Matthias ; Okhrin, Ostap.
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16. Are benefits from oil-stocks diversification gone? New evidence from a dynamic copula and high frequency data. (2015). Baruník, Jozef ; Avdulaj, Krenar ; Barunik, Jozef.
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17. Measuring spot variance spillovers when (co)variances are time-varying – the case of multivariate GARCH models. (2015). Fengler, Matthias ; Herwartz, Helmut.
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18. Exploiting Spillovers to forecast Crashes. (2015). Kole, Erik ; Franses, Philip Hans ; Gresnigt, Francine.
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19. Do Long Memory and Asymmetries Matter When Assessing Downside Return Risk?. (2015). Katzke, Nico ; Garbers, Chris.
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20. Computing electricity spot price prediction intervals using quantile regression and forecast averaging. (2015). Weron, Rafał ; Nowotarski, Jakub.
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21. Backtesting Value-at-Risk: A Generalized Markov Framework. (2015). Pajhede, Thor .
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22. A framework for assessing comprehensive income risk exposure over varying time horizons. (2015). Cataldo, James .
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23. Backtesting Expected Shortfall: Accounting for Tail Risk. (2015). Escanciano, Juan Carlos ; Du, Zaichao.
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24. CoMargin. (2015). Harris, Jeffrey ; Cruz Lopez, Jorge ; Hurlin, Christophe ; Perignon, Christophe.
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25. Estimation and Performance Assessment of Value-at-Risk and Expected Shortfall Based on Long-Memory GARCH-Class Models. (2015). Aloui, Chaker ; ben Hamida, Hela .
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26. A comparison of Expected Shortfall estimation models. (2015). Righi, Marcelo Brutti ; Ceretta, Paulo Sergio.
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27. Are benefits from oil–stocks diversification gone? New evidence from a dynamic copula and high frequency data. (2015). Baruník, Jozef ; Avdulaj, Krenar.
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28. Testing for structural breaks in correlations: Does it improve Value-at-Risk forecasting?. (2015). Wied, Dominik ; Berens, Tobias ; Weiß, Gregor N. F., .
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29. Are benefits from oil - stocks diversification gone? New evidence from a dynamic copula and high frequency data. (2015). Baruník, Jozef ; Avdulaj, Krenar.
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30. Systemic risk spillovers in the European banking and sovereign network. (2014). Peltonen, Tuomas ; Hautsch, Nikolaus ; Betz, Frank ; Schienle, Melanie.
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31. A Likelihood Ratio and Markov Chain Based Method to Evaluate Density Forecasting. (2014). Li, Yushu ; Andersson, Jonas.
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32. Implied Risk Exposures. (2014). Hurlin, Christophe ; Perignon, Christophe ; Benoit, Sylvain.
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33. An Evaluation of Bank VaR Measures for Market Risk During and Before the Financial Crisis. (2014). O'Brien, James M. ; Szerszen, Pawel J..
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34. Forecasting VaR and ES of stock index portfolio: A Vine copula method. (2014). Zhang, Bangzheng ; Peng, Zhenfeng ; Wei, YU ; Lai, Xiaodong ; Yu, Jiang.
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35. A new set of improved Value-at-Risk backtests. (2014). Wied, Dominik ; Ziggel, Daniel ; Weiß, Gregor N. F., ; Berens, Tobias .
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36. Electricity price forecasting: A review of the state-of-the-art with a look into the future. (2014). Weron, Rafał.
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37. Evaluating the accuracy of value-at-risk forecasts: New multilevel tests. (2014). Urga, Giovanni ; Leccadito, Arturo ; Boffelli, Simona .
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38. The role of the information set for forecasting - with applications to risk management. (2014). Holzmann, Hajo ; Eulert, Matthias .
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39. Financial network systemic risk contributions. (2013). Schienle, Melanie ; Schaumburg, Julia ; Hautsch, Nikolaus.
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40. Can We Still Benefit from International Diversification? The Case of the Czech and German Stock Markets. (2013). Baruník, Jozef ; Avdulaj, Krenar.
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41. Risk models–at–risk. (2013). Maillet, Bertrand ; Danielsson, Jon ; Boucher, Christophe M. ; Kouontchou, Patrick S..
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42. Forecasting Value-at-Risk with a duration-based POT method. (2013). Santos, Araujo P. ; Fraga Alves, M. I., .
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43. Dynamic factor Value-at-Risk for large heteroskedastic portfolios. (2013). Wu, Jason ; Giudice Rodriguez, Marius del, ; Aramonte, Sirio.
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44. The Risk Map: A new tool for validating risk models. (2013). Hurlin, Christophe ; Perignon, Christophe ; Colletaz, Gilbert.
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45. Energy risk management through self-exciting marked point process. (2013). Herrera, Rodrigo.
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46. Value at risk forecasts by extreme value models in a conditional duration framework. (2013). Herrera, Rodrigo ; Schipp, Bernhard .
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47. Risk analysis with contractual default. Does covenant breach matter?. (2013). Borgonovo, Emanuele ; Gatti, Stefano.
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48. Quantile Prediction. (2013). Komunjer, Ivana .
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49. Testing for Granger causality in distribution tails: An application to oil markets integration. (2013). Tokpavi, Sessi ; Joëts, Marc ; Candelon, Bertrand ; Joets, Marc.
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50. Risk index based models for portfolio adjusting problem with returns subject to experts evaluations. (2013). Ying, Haiyao ; Huang, Xiaoxia.
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51. Can we still benefit from international diversification? The case of the Czech and German stock markets. (2013). Baruník, Jozef ; Avdulaj, Krenar.
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52. Semiparametric Conditional Quantile Models for Financial Returns and Realized Volatility. (2013). Baruník, Jozef ; Zikes, Filip.
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53. Margin Backtesting. (2012). Hurlin, Christophe ; Perignon, Christophe.
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54. The Risk Map: A New Tool for Validating Risk Models. (2012). Hurlin, Christophe ; Perignon, Christophe ; Colletaz, Gilbert.
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55. Backtesting Value-at-Risk: From Dynamic Quantile to Dynamic Binary Tests. (2012). Dumitrescu, Elena Ivona ; Hurlin, Christophe ; Pham, Vinson .
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56. Pitfalls in backtesting Historical Simulation VaR models. (2012). Escanciano, Juan Carlos ; Pei, Pei.
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57. Forecasting Value-at-Risk using nonlinear regression quantiles and the intra-day range. (2012). McAleer, Michael ; Chen, Cathy W. S. ; Chen, Cathy W. S., ; Gerlach, Richard ; Hwang, Bruce B. K., .
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58. Forecasting Value-at-Risk Using Nonlinear Regression Quantiles and the Intraday Range. (2011). McAleer, Michael ; Chen, Cathy W. S. ; Chen, C. W. S., ; Gerlach, R. ; Hwang, B. B. K., .
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