1. Modality and Limiting Behaviours of Skew Symmetric Distributions. (2025). Nadarajah, Saralees ; Hitchen, Thomas.
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   RePEc:spr:sankha:v:87:y:2025:i:1:d:10.1007_s13171-025-00379-9.

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2. A new Bayesian method for estimation of value at risk and conditional value at risk. (2025). Sanjun, Eva L ; Pizarro, Mario M ; Parra, Isabel M ; Martn, Jacinto.
   In: Empirical Economics.
   RePEc:spr:empeco:v:68:y:2025:i:3:d:10.1007_s00181-024-02664-2.

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3. Time-varying variance and skewness in realized volatility measures. (2023). Lucas, Andre ; Opschoor, Anne.
   In: International Journal of Forecasting.
   RePEc:eee:intfor:v:39:y:2023:i:2:p:827-840.

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4. GAS and GARCH based value-at-risk modeling of precious metals. (2022). Tiwari, Aviral ; Owusu Junior, Peterson ; Tweneboah, George ; Asafo-Adjei, Emmanuel.
   In: Resources Policy.
   RePEc:eee:jrpoli:v:75:y:2022:i:c:s0301420721004645.

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5. A nonparametric copula approach to conditional Value-at-Risk. (2022). Dunn, Richard ; Geenens, Gery.
   In: Econometrics and Statistics.
   RePEc:eee:ecosta:v:21:y:2022:i:c:p:19-37.

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6. Do realized higher moments have information content? - VaR forecasting based on the realized GARCH-RSRK model. (2022). Wang, Tianyi ; Huang, Zhuo ; Yan, Hong ; Liang, Fang.
   In: Economic Modelling.
   RePEc:eee:ecmode:v:109:y:2022:i:c:s026499932200027x.

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7. Value‐at‐risk forecasting via dynamic asymmetric exponential power distributions. (2021). Zhao, Zhibiao ; Ou, LU.
   In: Journal of Forecasting.
   RePEc:wly:jforec:v:40:y:2021:i:2:p:291-300.

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8. Modeling dynamic higher moments of crude oil futures. (2021). Wang, Tianyi ; Huang, Zhuo ; Liang, Fang.
   In: Finance Research Letters.
   RePEc:eee:finlet:v:39:y:2021:i:c:s1544612319302727.

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9. Forecasting Value-at-Risk of Cryptocurrencies with RiskMetrics type models. (2020). Lau, Chi Keung ; Gözgör, Giray ; Liu, Wei ; Gozgor, Giray ; Marco, Chi Keung ; Semeyutin, Artur.
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   RePEc:eee:riibaf:v:54:y:2020:i:c:s0275531920301240.

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10. Time-varying tail behavior for realized kernels. (2019). Lucas, Andre ; Opschoor, Anne.
    In: Tinbergen Institute Discussion Papers.
    RePEc:tin:wpaper:20190051.

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11. A nonparametric copula approach to conditional Value-at-Risk. (2019). Dunn, Richard ; Geenens, Gery.
    In: Papers.
    RePEc:arx:papers:1712.05527.

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12. Improving daily Value-at-Risk forecasts: The relevance of short-run volatility for regulatory quality assessment. (2018). Berger, Theo ; Genay, Ramazan.
    In: Journal of Economic Dynamics and Control.
    RePEc:eee:dyncon:v:92:y:2018:i:c:p:30-46.

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13. Frontiers in VaR forecasting and backtesting. (2016). Ruiz, Esther ; Nieto, Maria Rosa.
    In: International Journal of Forecasting.
    RePEc:eee:intfor:v:32:y:2016:i:2:p:475-501.

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14. Score-driven exponentially weighted moving averages and Value-at-Risk forecasting. (2016). Zhang, Xin ; Lucas, Andre.
    In: International Journal of Forecasting.
    RePEc:eee:intfor:v:32:y:2016:i:2:p:293-302.

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15. Conditional Value-at-Risk: Semiparametric estimation and inference. (2016). Zhao, Zhibiao ; Wang, Chuan-Sheng .
    In: Journal of Econometrics.
    RePEc:eee:econom:v:195:y:2016:i:1:p:86-103.

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16. Score Driven exponentially Weighted Moving Average and Value-at-Risk Forecasting. (2015). Zhang, Xin ; Lucas, Andre ; André Lucas, .
    In: Tinbergen Institute Discussion Papers.
    RePEc:tin:wpaper:20140092.

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17. Score Driven Exponentially Weighted Moving Averages and Value-at-Risk Forecasting. (2015). Zhang, Xin ; Lucas, Andre.
    In: Working Paper Series.
    RePEc:hhs:rbnkwp:0309.

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1. The world price of jump and volatility risk. (2013). Driessen, Joost ; Maenhout, Pascal.
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   RePEc:eee:jbfina:v:37:y:2013:i:2:p:518-536.

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2. Forecasting Value-at-Risk Using Block Structure Multivariate Stochastic Volatility Models. (2012). Caporin, Massimiliano ; Asai, Manabu ; McAleer, M. J..
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   RePEc:ems:eureir:31985.

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3. Can VAR models capture regime shifts in asset returns? A long-horizon strategic asset allocation perspective. (2012). Hyde, Stuart ; Guidolin, Massimo.
   In: Journal of Banking & Finance.
   RePEc:eee:jbfina:v:36:y:2012:i:3:p:695-716.

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4. Can VAR Models Capture Regime Shifts in Asset Returns? A Long-Horizon Strategic Asset Allocation Perspective. (2011). Hyde, Stuart ; Guidolin, Massimo.
   In: Working Papers.
   RePEc:igi:igierp:414.

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5. Recovering copulas from limited information and an application to asset allocation. (2011). Chu, Ba.
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6. Portfolio choice under local industry and country factors. (2010). Castro Iragorri, Carlos.
   In: Financial Markets and Portfolio Management.
   RePEc:kap:fmktpm:v:24:y:2010:i:4:p:353-393.

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7. 1/N and long run optimal portfolios: results for mixed asset menus. (2010). Nicodano, Giovanna ; Guidolin, Massimo ; Fugazza, Carolina.
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8. Can VAR models capture regime shifts in asset returns? a long-horizon strategic asset allocation perspective. (2010). Hyde, Stuart ; Guidolin, Massimo.
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9. A note on wealth effect under CARA utility. (2010). Makarov, Dmitry ; Schornick, Astrid V..
   In: Finance Research Letters.
   RePEc:eee:finlet:v:7:y:2010:i:3:p:170-177.

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10. Equilibrium open interest. (2010). Judd, Kenneth ; Leisen, Dietmar P. J., .
    In: Journal of Economic Dynamics and Control.
    RePEc:eee:dyncon:v:34:y:2010:i:12:p:2578-2600.

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11. Identifying Asymmetric Comovements of International Stock Market Returns. (2010). Li, Fuchun.
    In: Staff Working Papers.
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12. Bayesian Portfolio Analysis. (2010). Zhou, Guofu ; Avramov, Doron.
    In: Annual Review of Financial Economics.
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13. Block Structure Multivariate Stochastic Volatility Models. (2009). Caporin, Massimiliano ; Asai, Manabu.
    In: Econometric Institute Research Papers.
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14. Dynamic Mean-Variance Asset Allocation. (2009). Basak, Suleyman ; Chabakauri, Georgy.
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15. Portfolio selection with transaction costs under expected shortfall constraints. (2008). Breuer, Thomas ; Jandaka, Martin.
    In: Computational Management Science.
    RePEc:spr:comgts:v:5:y:2008:i:4:p:305-316.

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16. Consumption and Portfolio Choice with Option-Implied State Prices. (2008). Ait-Sahalia, Yacine ; At-Sahalia, Yacine ; Brandt, Michael W..
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17. Realized portfolio selection in the euro area. (2008). MORANA, CLAUDIO.
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18. Imperfect predictability and mutual fund dynamics. How managers use predictors in changing systematic risk.. (2008). Savona, Roberto ; amisano, gianni.
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19. Optimal Asset Allocation in Asset Liability Management. (2007). van Binsbergen, Jules ; Brandt, Michael W..
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20. Exploiting short-run predictability. (2007). Gomes, Francisco.
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21. Optimal Decentralized Investment Management. (2006). van Binsbergen, Jules ; koijen, ralph ; Ralph S. J. Koijen, ; Brandt, Michael W..
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22. Asset allocation under multivariate regime switching. (2006). Guidolin, Massimo ; Timmerman, Allan.
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23. Investing in mutual funds when returns are predictable. (2006). wermers, russell ; Avramov, Doron.
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24. Instability of return prediction models. (2006). Timmermann, Allan ; Paye, Bradley S..
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25. Investing in mutual funds when returns are predictable. (2005). wermers, russell ; Avramov, Doron.
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26. The Myth of Long-Horizon Predictability. (2005). Whitelaw, Robert ; Richardson, Matthew ; Boudoukh, Jacob.
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27. Size and value anomalies under regime shifts. (2005). Guidolin, Massimo ; Timmerman, Allan.
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28. The econometrics of efficient portfolios. (2005). Monfort, Alain ; gourieroux, christian.
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29. Parametric Portfolio Policies: Exploiting Characteristics in the Cross Section of Equity Returns. (2005). Valkanov, Rossen ; Santa-Clara, Pedro ; Brandt, Michael W.
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30. Parametric Portfolio Policies: Exploiting Characteristics in the Cross Section of Equity Returns. (2004). Valkanov, Rossen ; Santa-Clara, Pedro ; Brandt, Michael W..
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31. A Simulation Approach to Dynamic Portfolio Choice with an Application to Learning About Return Predictability. (2004). Santa-Clara, Pedro ; Goyal, Amit ; Brandt, Michael W. ; Storud, Jonathan.
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32. Dynamic Portfolio Selection by Augmenting the Asset Space. (2004). Santa-Clara, Pedro ; Brandt, Michael W..
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33. One for the Gain, Three for the Loss. (2004). Anderson, Anders E. S., .
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34. Optimal Portfolio Allocation Under Higher Moments. (2004). Rockinger, Michael ; Jondeau, Eric.
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35. Evaluating Portfolio Policies: A Duality Approach. (2003). Kogan, Leonid ; Haugh, Martin B. ; Wang, Jiang.
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36. Does the Failure of the Expectations Hypothesis Matter for Long-Term Investors. (2003). Wachter, Jessica ; Sangvinatsos, Antonios.
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37. Dynamic strategies, asset pricing models, and the out-of-sample performance of the tangency portfolio. (2003). Robotti, Cesare.
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38. Macroeconomic influences on optimal asset allocation. (2003). Wickens, Michael ; Flavin, Thomas.
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39. Model Uncertainty, Thick Modelling and the Predictability of Stock Returns. (2003). Favero, Carlo ; Aiolfi, Marco.
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40. On Portfolio Choice, Liquidity, and Short Selling: A Nonparametric Investigation. (2003). Ghysels, Eric ; Pereira, Joo.
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41. Climate policy induced investments in developing countries: the implications of investment risks. (2002). Löschel, Andreas ; Böhringer, Christoph ; Bohringer, Christoph ; Loschel, Andreas.
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42. Stock return predictability and model uncertainty. (2002). Doron, Avramov.
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43. Foreign Currency for Long-Term Investors. (2002). Viceira, Luis ; Campbell, John ; White, Josh S..
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44. Macroeconomic Influences on Optimal Asset Allocation. (2002). Wickens, Michael ; Flavin, Thomas.
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45. Alternative Models for Stock Price Dynamics. (2002). Tauchen, George ; Ghysels, Eric ; Gallant, A. ; Chernov, Mikhail.
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46. Asset Allocation in Transition Economies.. (2002). Rockinger, Michael ; Jondeau, Eric.
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47. A Multivariate Model of Strategic Asset Allocation. (2001). Viceira, Luis ; Campbell, John ; Chan, Yeung Lewis .
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48. A Risk Management Approach to Optimal Asset Allocation. (2001). Wickens, Michael ; Flavin, Thomas.
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49. Optimal demand for long-term bonds when returns are predictable. (2001). Gil-Bazo, Javier.
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50. A Multivariate Model of Strategic Asset Allocation. (2001). Viceira, Luis ; Campbell, John ; Chan, Yeung Lewis .
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