RDP 1999-04: Value at Risk: On the Stability and Forecasting of the Variance-Covariance Matrix References

Alexander, C.O. and C.T. Leigh (1997), ‘On the Covariance Matrices used in Value at Risk Models’, The Journal of Derivatives, 4(3), pp. 50–62.

Berndt, K., B. Hall, R. Hall and J. Hausman (1974), ‘Estimation and Inference in Nonlinear Structual Model’, Annals of Economic and Social Measurement, 3(4), pp. 653–665.

Bollerslev, T. (1986), ‘Generalized Autoregressive Conditional Heteroskedasticity’, Journal of Econometrics, 31(3), pp. 307–327.

Bollerslev, T. (1990), ‘Modelling the Coherence in Short-run Nominal Exchange Rates: A Multivariate Generalised ARCH Model’, The Review of Economics and Statistics, 72(3), 498–505.

Boudoukh, J., M. Richardson and R.F. Whitelaw (1997), ‘Investigation of a Class of Volatility Estimators’, The Journal of Derivatives, 4(3), pp. 63–71.

Brailsford, T. And R. Faff (1996), ‘An Evolution of Volatility Forecasting Techniques’, Journal of Banking and Finance, 20(3), pp. 419–438.

Campa, J.M. and P.H.K. Chang (1997), ‘The Forecasting Ability of Correlations Implied in Foreign Exchange Options’, NBER Working Paper No. 5974.

Cassidy, C. and M. Gizycki (1997), ‘Measuring Traded Market Risk: Value-at-Risk and Backtesting Techniques’, Reserve Bank of Australia Research Discussion Paper No. 9708.

Engle, R. (1982), ‘Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation’, Econometrica, 50(4), pp. 987–1007.

Engle, R. and K. Kroner (1995), ‘Multivariate Simultaneous Generalized ARCH’, Econometric Theory, 11(1), pp. 122–150.

Figlewski, S. (1994), ‘Forecasting Volatility Using Historical Data’, New York University Salomon Brothers Working Paper Series. No. S-94–13.

Gizycki, M. and N. Hereford (1998), ‘Assessing the Dispersion in Banks' Estimates of Market Risk: The Results of a Value-at-Risk Survey’, Australian Prudential Regulation Authority Discussion Paper No. 1.

Jenrich, R. (1970), ‘An Asymptotic χ2 Test for the Equality of Two Correlation Matrices’, Journal of the American Statistical Association, 65(330), pp. 904–912.

JP Morgan and Reuters (1996), ‘RiskMetrics™ – Technical Document’, Fourth Edition, New York.

Kaplanis, E.C. (1988), ‘Stability and Forecasting of the Comovement Measures of International Stock Market Returns’, Journal of International Money and Finance, 7(1), pp. 63–75.

Longin, F. and B. Solnik (1995), ‘Is the Correlation in International Equity Returns Constant: 1960–1990?’, Journal of International Money and Finance, 14(1), pp. 3–26.

Sheedy, E. (1997), ‘Correlation in International Equity and Currency Markets: A Risk Adjusted Perspective’, Macquarie University Centre for Studies in Money Banking and Finance Paper No. 17.

West, K.D. and D. Cho (1994), ‘The Predictive Ability of Several Models of Exchange Rate Volatility’, NBER Working Paper No. 152.