Generating Volatility Forecasts from Value at Risk Estimates
Published Online:1 May 2005https://doi.org/10.1287/mnsc.1040.0355
References
- Range-based estimation of stochastic volatility models. J. Finance (2005) 57:1047–1091Crossref, Google Scholar
- Modeling and forecasting realized volatility. Econometrica (2003) 71:529–626Crossref, Google Scholar
- Generalized autoregressive conditional heteroskedasticity. J. Econometrics (1986) 31:307–327Crossref, Google Scholar
- A conditionally heteroskedastic time series model for speculative prices and rates of return. Rev. Econom. Statist. (1987) 69:542–547Crossref, Google Scholar
- The best of both worlds. Risk (1998) 11(May):64–67Google Scholar
- A no-arbitrage approach to range-based estimation of return covariances and correlations. J. Bus. (2005) . ForthcomingGoogle Scholar
- Econometric evaluation of linear macroeconomic models. Rev. Econom. Stud. (1986) 53:671–690Crossref, Google Scholar
- The relation between implied and realized volatility. J. Financial Econom. (1998) 50:125–150Crossref, Google Scholar
- Making Hard Decisions: An Introduction to Decision Analysis (1996) 2nd ed.(Duxbury Press, Belmont, CA) Google Scholar
- Autoregressive conditional heteroscedasticity with estimates of the variance of United Kingdom inflation. Econometrica (1982) 50:987–1008Crossref, Google Scholar
- CAViaR: Conditional autoregressive value at risk by regression quantiles. J. Bus. Econom. Statist. (2004) 22:367–381Crossref, Google Scholar
- Measuring and testing the impact of news on volatility. J. Finance (1993) 48:1749–1778Crossref, Google Scholar
- On the estimation of security price volatilities from historical data. J. Bus. (1980) 53:67–78Crossref, Google Scholar
- , Maddala G. S., Rao C. R., Vinod H. D. Stochastic volatility. Handbook of Statistics: Statistical Methods in Finance (1996) 14(Elsevier Science, Amsterdam, The Netherlands) Crossref, Google Scholar
- On the relation between the expected value and the volatility of the nominal excess return on stocks. J. Finance (1993) 48:1779–1801Crossref, Google Scholar
- Some comments on the evaluation of economic forecasts. Appl. Econom. (1973) 5:35–47Crossref, Google Scholar
- Forecasting Economic Time Series (1986) 2nd ed.(Academic Press, London, UK) Google Scholar
- Understanding Robust and Exploratory Data Analysis (1983) (John Wiley, New York) Google Scholar
- Triangular approximations for continuous random variables in risk analysis. J. Oper. Res. Soc. (2002) 53:457–467Crossref, Google Scholar
- Conditional volatility, skewness, and kurtosis: Existence, persistence, and comovements. J. Econom. Dynam. Control (2003) 27:1699–1737Crossref, Google Scholar
- Certainty equivalents for three-point discrete-distribution approximations. Management Sci. (1994) 40:760–773Link, Google Scholar
- Three-point approximations for continuous random variables. Management Sci. (1983) 29:595–609Link, Google Scholar
- Better estimation of PERT activity time parameters. Management Sci. (1993) 39:1086–1091Link, Google Scholar
- Regression quantiles. Econometrica (1978) 46:33–50Crossref, Google Scholar
- , Szegö G. Value at risk models in finance. Risk Measures for the 21st Century (2004) (Wiley, Chichester, UK) Google Scholar
- Judgement estimates of the moments of PERT type distributions. Management Sci. (1968) 15:B76–Link, Google Scholar
- Stationarity and persistence in the GARCH(1, 1) model. Econometric Theory (1990) 6:318–334Crossref, Google Scholar
- Conditional heteroskedasticity in asset returns: A new approach. Econometrica (1991) 59:347–370Crossref, Google Scholar
- The extreme value method for estimating the variance of the rate of return. J. Bus. (1980) 53:61–65Crossref, Google Scholar
- Approximate means and standard deviations based on distances between percentage points of frequency curves. Biometrika (1965) 52:533–546Crossref, Google Scholar
- Forecasting volatility in financial markets: A review. J. Econom. Literature (2003) 41:478–639Crossref, Google Scholar
- RiskMetrics (1996) 4th ed.(Morgan Guaranty Trust Company of New York, New York) . Technical documentGoogle Scholar
- Estimation, Inference and Specification Analysis (1994) (Cambridge University Press, Cambridge, UK) Crossref, Google Scholar

