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Single-index and portfolio models for forecasting value-at-risk thresholds

McAleer, Michael; Da Veiga, Bernardo - In: Journal of forecasting 27 (2008) 3, pp. 217-235

Persistent link: https://www.econbiz.de/10003738590

A Portfolio Index GARCH model

Asai, Manabu; McAleer, Michael - In: International journal of forecasting 24 (2008) 3, pp. 449-461

Persistent link: https://www.econbiz.de/10003764112

Shock and volatility spillovers among equity sectors of the gulf Arab stock markets

Hammoudeh, Shawkat M. (contributor); Yuan, Yuan (contributor) - 2008

Persistent link: https://www.econbiz.de/10003780792

The Ten Commandments for optimizing Value-at-Risk and daily capital charges

McAleer, Michael (contributor) - 2008

Persistent link: https://www.econbiz.de/10003780795

A decision rule to minimize daily capital charges in forecasting value-at-risk

McAleer, Michael; Jimenez-Martin, Juan-Angel; Pérez … - 2008

Under the Basel II Accord, banks and other Authorized Deposit-taking Institutions (ADIs) have to communicate their daily risk estimates to the monetary authorities at the beginning of the trading day, using a variety of Value-at-Risk (VaR) models to measure risk. Sometimes the risk estimates...