The DOI matches its Crossref record; 11 of the 11 references it cites were found in a registry or an index.
Value-at-Risk and Extreme Returns
Abstract
Jon Danielsson, Casper G. De Vries, Value-at-Risk and Extreme Returns, Annales d'Économie et de Statistique, No. 60, Microstructure des marchés financiers / Financial Market Microstructure (Oct. - Dec., 2000), pp. 239-270
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Citations
Cites
An introduction to probability theory and its applications
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An Introduction to Probability Theory and its Applications.
Kingman, J. F. C., & Feller, W. (1972) · Journal of the Royal Statistical Society. Series A (General) · doi:10.2307/2344620 · Cited by 4,938
A Simple General Approach to Inference About the Tail of a Distribution
Hill, B. M. (1975) · The Annals of Statistics · doi:10.1214/aos/1176343247 · Cited by 3,086
McNeil, A. J., & Frey, R. (2000) · Journal of Empirical Finance · doi:10.1016/s0927-5398(00)00012-8 · Cited by 1,727
Duffie, D., & Pan, J. (1997) · The Journal of Derivatives · doi:10.3905/jod.1997.407971 · Cited by 1,296
Jorion, P. (2001) · Cited by 846
From value at risk to stress testing: The extreme value approach
Longin, F. M. (2000) · Journal of Banking & Finance · doi:10.1016/s0378-4266(99)00077-1 · Cited by 517
Using a Bootstrap Method to Choose the Sample Fraction in Tail Index Estimation
Danı́elsson, J., de Haan, L., Peng, L., & de Vries, C. G. (2001) · Journal of Multivariate Analysis · doi:10.1006/jmva.2000.1903 · Cited by 451
How Relevant is Volatility Forecasting for Financial Risk Management?
Christoffersen, P., & Diebold, F. X. (2000) · The Review of Economics and Statistics · doi:10.1162/003465300558597 · Cited by 336
de Haan, L., Resnick, S. I., Rootzén, H., & de Vries, C. G. (1989) · Stochastic Processes and their Applications · doi:10.1016/0304-4149(89)90076-8 · Cited by 250
Cited by
Adrian, T., & Brunnermeier, M. K. (2016) · American Economic Review · doi:10.1257/aer.20120555 · Cited by 2,373
Value-at-Risk Prediction: A Comparison of Alternative Strategies
Kuester, K. (2005) · Journal of Financial Econometrics · doi:10.1093/jjfinec/nbj002 · Cited by 632
Value‐at‐risk for long and short trading positions
Giot, P., & Laurent, S. (2003) · Journal of Applied Econometrics · doi:10.1002/jae.710 · Cited by 373
Carbon neutrality: The role of banks in optimal environmental management strategies
Chaudhry, S. M., Saeed, A., & Ahmed, R. (2021) · Journal of Environmental Management · doi:10.1016/j.jenvman.2021.113545 · Cited by 33
Metadata
- Authors
- Danielsson, & Vries, D.
- Venue
- Annales d'Économie et de Statistique
- Publisher
- JSTOR
- Published
- 2000
- Issue
- 60
- Pages
- 239
- ISSN
- 0769-489X (ISSN-L)
- OpenAlex
- W2099208941
- Cited by
- 320
- References
- 11
- FWCI
- 20.98
- Type
- journal article
- Language
- fr
- Open access
- closed
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Data sources
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Contains information from the Semantic Scholar Academic Graph Datasets, made available under the ODC Attribution License (ODC-BY 1.0).
Semantic Scholar’s data is described in: Kinney, R., et al. (2023). The Semantic Scholar Open Data Platform. arXiv:2301.10140.
