A Value-at-Risk Analysis of VIX Futures Long Memory, Heavy Tails, and Asymmetry

SSRN Electronic Journal ◽

10.2139/ssrn.1495229 ◽

2009 ◽

Cited By ~ 5

Author(s):

Bujar Huskaj

Keyword(s):

At Risk ◽

Risk Analysis ◽

Long Memory ◽

Value At Risk ◽

Heavy Tails ◽

A Value ◽

Vix Futures

Download Full-text

Assessing market and credit risk of country funds: A value-at-risk analysis

International Finance Review - Global Risk Management: Financial, Operational, and Insurance Strategies ◽

10.1016/s1569-3767(02)03007-8 ◽

2004 ◽

pp. 61-79 ◽

Cited By ~ 2

Author(s):

Michael G. Papaioannou ◽

E.K. Gatzonas

Keyword(s):

At Risk ◽

Risk Analysis ◽

Credit Risk ◽

Value At Risk ◽

A Value ◽

Country Funds

Download Full-text

A Value at Risk Analysis of Credit Default Swaps

SSRN Electronic Journal ◽

10.2139/ssrn.2794016 ◽

2008 ◽

Author(s):

Burkhard Raunig ◽

Martin Scheicher

Keyword(s):

At Risk ◽

Risk Analysis ◽

Value At Risk ◽

Credit Default Swaps ◽

A Value ◽

Credit Default

Download Full-text

Trading Turkey's External and Internal Risks: A Value at Risk Analysis

SSRN Electronic Journal ◽

10.2139/ssrn.271891 ◽

2001 ◽

Cited By ~ 2

Author(s):

Kurt Kurt Dew

Keyword(s):

At Risk ◽

Risk Analysis ◽

Value At Risk ◽

A Value

Download Full-text

A Value at Risk Analysis of Credit Default Swaps

SSRN Electronic Journal ◽

10.2139/ssrn.1297184 ◽

2008 ◽

Author(s):

Burkhard Raunig ◽

Martin Scheicher

Keyword(s):

At Risk ◽

Risk Analysis ◽

Value At Risk ◽

Credit Default Swaps ◽

A Value ◽

Credit Default

Download Full-text

Volatility Modeling and Value-at-Risk (VaR) Forecasting of Emerging Stock Markets in the Presence of Long Memory, Asymmetry, and Skewed Heavy Tails

Emerging Markets Finance and Trade ◽

10.1080/1540496x.2014.998557 ◽

2015 ◽

Vol 52 (3) ◽

pp. 639-657 ◽

Cited By ~ 6

Author(s):

Hatice Gaye Gencer ◽

Sercan Demiralay

Keyword(s):

At Risk ◽

Long Memory ◽

Stock Markets ◽

Value At Risk ◽

Heavy Tails ◽

Volatility Modeling ◽

Emerging Stock Markets

Download Full-text

Value-at-risk analysis of the asymmetric long-memory volatility process of dry bulk freight rates

Maritime Economics & Logistics ◽

10.1057/mel.2014.13 ◽

2014 ◽

Vol 16 (3) ◽

pp. 298-320 ◽

Cited By ~ 2

Author(s):

Chao-Chi Chang ◽

Heng Chih Chou ◽

Chun Chou Wu

Keyword(s):

At Risk ◽

Risk Analysis ◽

Long Memory ◽

Value At Risk ◽

Freight Rates

Download Full-text

A value-at-risk analysis of credit default swaps

The Journal of Risk ◽

10.21314/jor.2011.232 ◽

2011 ◽

Vol 13 (4) ◽

pp. 3-29 ◽

Cited By ~ 3

Author(s):

Burkhard Raunig ◽

Martin Scheicher

Keyword(s):

At Risk ◽

Risk Analysis ◽

Value At Risk ◽

Credit Default Swaps ◽

A Value ◽

Credit Default

Download Full-text

Long memory in stock index futures markets: A value-at-risk approach

Physica A Statistical Mechanics and its Applications ◽

10.1016/j.physa.2005.10.017 ◽

2006 ◽

Vol 366 ◽

pp. 437-448 ◽

Cited By ~ 56

Author(s):

Ta-Lun Tang ◽

Shwu-Jane Shieh

Keyword(s):

At Risk ◽

Long Memory ◽

Value At Risk ◽

Futures Markets ◽

Stock Index ◽

Stock Index Futures ◽

Index Futures ◽

A Value ◽

Risk Approach

Download Full-text

A value-at-risk analysis of carry trades using skew-GARCH models

Studies in Nonlinear Dynamics & Econometrics ◽

10.1515/snde-2012-0028 ◽

2013 ◽

Vol 17 (4) ◽

Author(s):

Yu-Jen Wang ◽

Huimin Chung ◽

Jia-Hau Guo

Keyword(s):

At Risk ◽

Risk Analysis ◽

Value At Risk ◽

Garch Models ◽

A Value

Download Full-text

Value-at-Risk analysis for long-term interest rate futures: Fat-tail and long memory in return innovations

Journal of Empirical Finance ◽

10.1016/j.jempfin.2006.02.001 ◽

2007 ◽

Vol 14 (2) ◽

pp. 248-259 ◽

Cited By ~ 23

Author(s):

Ping-Tsung Wu ◽

Shwu-Jane Shieh

Keyword(s):

At Risk ◽

Interest Rate ◽

Risk Analysis ◽

Long Memory ◽

Value At Risk ◽

Fat Tail ◽

Interest Rate Futures

Download Full-text