Assessing portfolio market risk in the BRICS economies: use of multivariate GARCH models

Aniūnas, P., Nedzveckas, J., & Krušinskas, R. (2015). Variance-covariance risk value model for currency market, Engineering Economics, 61(1).

Bauwens, L., Ben Omrane, W., & Rengifo, E. W. (2006). Intra-daily FX optimal portfolio allocation. Available at SSRN 912697.

Berger, T. H. E. O., & Missong, M. (2014). Financial crisis, Value-at-Risk forecasts and the puzzle of dependency modelling, International Review of Financial Analysis, 33: 33-38.

Berkowitz, J. and O’Brien, J. (2002). How accurate are Value at Risk Models at Commercial Banks, Journal of Finance, 57(3): 1093-1111.

Bollerslev, T. (1990). Modelling the coherence in short-run nominal exchange rates: a multivariate generalized ARCH model, Review of Economics and Statistics 72, (3): 498-505.

Bonga-Bonga, L. and Mutema, G. (2009). Volatility forecasting and value-at-risk estimation in emerging markets: the case of stock market index portfolio in South Africa. South African journal of Economics and Management sciences, 12(4):

Bonga-Bonga, L., & Hoveni, J. (2013). Volatility spillovers between the equity market and foreign exchange market in South Africa in the 1995-2010 period, South African Journal of Economics, 18(2): 260-274.

Cappiello, L., R. Engle, and K. Sheppard (2006). Asymmetric dynamics in the correlations of global equity and bond returns, Journal of Financial Econometrics, 4 (4): 537-572.

Christoffersen, P. F. (1998). Evaluating interval forecasts, International Economic Review, 39: 841-862.

de Sousa Gabriel, V. M. (2014). Multivariate Models to Forecast Portfolio Value at Risk: from the Dot-Com crisis to the global financial crisis, Revista Brasileira de Gestão de Negócios, 16(51): 299.

Engle, R. (2002). Dynamic conditional correlation: A simple class of multivariate generalized autoregressive conditional heteroskedasticity models, Journal of Business & Economic Statistics, 20(3): 339-350.

Glasserman, P., Heidelberger, P. and Shahabuddin, P. (2000). Efficient Monte Carlo Methods for Value at Risk, Working Paper, Columbia University.

Hsu Ku, Y. H., & Wang, J. J. (2008). Estimating portfolio value-at-risk via dynamic conditional correlation MGARCH model–an empirical study on foreign exchange rates, Applied Economics Letters, 15(7): 533-538.

Hsu Ku, Y.H. (2008). Student-t distribution based VAR-MGARCH: an application of the DCC model on international portfolio risk management, Applied Economics 40:1685-1697.

Hendricks, D. (1996). Evaluation of value-at-risk models using historical data, Economic policy review, 2 (1): 39-67 Jorion, P. (1996). Measuring the risk in value at risk, Financial analysts journal, 52(6): 47-56

Jorion, P. (2007). Value at Risk: The new benchmark for managing financial risk, 3rd edition. New York: McGwar-Hill.

Kupiec, P. (1995). Techniques for verifying the accuracy of risk measurement models, Journal of Derivatives, 3: 73-84.

Lee, M. C., Chiou, J. S., & Lin, C. M. (2006). A study of value-at-risk on portfolio in stock return using DCC multivariate GARCH, Applied Financial Economics Letters, 2(3): 183-188.

Lopez, J. A. (1999). Regulatory evaluation of value-at-risk models, FRB of New York Staff Report, (33).

Morimoto, T., & Kawasaki, Y. (2008). Empirical comparison of multivariate GARCH models for estimation of intraday value at risk. [On-line] Available: http://ssrn.com/abstract=1090807. (Accessed 17 June 2015). Nyssanov, A. (2013). An empirical study in risk management: estimation of Value at Risk with GARCH family models (Master’s Thesis). Sweden: Uppsala University.

O’Neill, J. (2001). Building Better Global Economic BRICs (Vol 66). Goldman, Sachs & Company.

Patterson, M. & Chen, S. (2011). BRIC decade ends with record fund outflows as growth slows. [Online] Available: http://www.bloomberg.com/news/articles/2011-12-27/bric-decade-ends-with-record-stock-outflows-as-goldman-says-growth-peaked. (Accessed 6 October 2015)

Rombouts, J. V., & Verbeek, M. (2009). Evaluating portfolio Value-at-Risk using semi-parametric GARCH models, Quantitative Finance, 9(6): 737-745.

Santos, A. A., Nogales, F. J., & Ruiz, E. (2013). Comparing univariate and multivariate models to forecast portfolio value-at-risk, Journal of Financial Econometrics, 11(2): 400-441.

Silvennoinen, A., & Teräsvirta, T. (2005). Multivariate autoregressive conditional heteroskedasticity with smooth transitions in conditional correlations, SSE/EFI Working Paper Series in Economics and Finance, (No. 577).

Tsay, R. S. (2010). Analysis of financial time series, 3rd edition. New Jersey: John Wiley & Sons.

Tse, Y. K., & Tsui, A. K. C. (2002). A multivariate generalized autoregressive conditional heteroscedasticity model with time-varying correlations, Journal of Business & Economic Statistics, 20(3): 351-362.