References
Christoffersen, P. F., Diebold, F. X. (2000): How Relevant is Volatility Forecasting for Financial Risk
Management? Review of Economics and Statistics 82: 1-11.
Danielsson, J., de Vries, C. G. (1997): Beyond the Sample: Extreme Quantile and Probability Estimation. Working
Paper, London School of Economics, University of Iceland.
Danielsson, J., de Vries, C. G. (2000): Value-at-Risk and Extreme Returns. Annals d'Economie et de Statistique 60:
239-269.
Danielsson, J., Hartmann, P., de Vries, C. G. (1998): The Cost of Conservatism. Risk 11: 101-103.
Danielsson, J., de Haan, L., Peng, L., de Vries, C. G. (2001): Using a Bootstrap Method to Choose the Sample
Fraction in Tail Index Estimation. Journal of Multivariate Analysis 76: 226-248.
Diebold, F.X. Hickman, A., Inoue, A., Schuermann, T. (1997): Converting 1-Day Volatility to h-Day Volatility:
Scaling by Root-h is Worse than You Think. Wharton Financial Institutions Center, Working Paper 97-34.
Published in condensed form as "Scale Models", Risk, 11, 104-107 (1998).
Diebold, F., X., Schuerman, T., Stroughair, J. D. (1998): Pitfalls and Opportunities in the Use of Extreme Value
Theory in Risk Management. Working Paper 98-10, The Wharton School, University of Pennsylvania.
Dowd, K. (1998): Beyond Value at Risk. Wiley, Chicester u.a.
Drost, F. C., Nijman, T. E. (1993): Temporal Aggregation of GARCH Processes. Econometrica, 61, 909-927.
Embrechts, P., Klüppelberg, C., Mikosch, T. (1997): Modeling Extremal Events for Insurance and Finance.
Springer, Berlin.
Greene, W. H. (2000): Econometric Analysis, Fourth Edition. Prentice-Hall, New Jersey.
Jorion, P. (1997): Value at Risk - The New Benchmark for Controlling Market Risk. McGraw-Hill, New York.
Li, D. X. (1999): Value at Risk based on the Volatility, Skewness and Kurtosis. Working Paper, Riskmetrics Group,
New York.
Manfredo, M., R., Leuthold, R., M. (1999): Market Risk Measurement and the Cattle Feeding Margin: An
Application of Value-at-Risk. OFOR Paper no. 99-04, University of Illinois at Urbana-Champaign.
McNeil, A., J. (1998): Calculating Quantile Risk Measures for Financial Return Series using Extreme Value Theory.
Working Paper, Department Mathematik, ETH Zürich.
McNeil, A., J., Frey, R. (2000): Estimation of Tail-Related Risk Measures for Heteroscedastic Financial Time
Series: an Extreme Value Approach. Journal of Empirical Finance 7: 271-300.
Odening, M., Muβhoff, O. (2002): Value-at-Risk - ein nützliches Instrument des Risikomanagements in
Agrarbetrieben? In: Brockmeier, M. et al. (Hrsg.): Liberalisierung des Weltagrarhandels - Strategien und
Konsequenzen. Schriften der Gesellschaft für Wirtschafts- und Sozialwissenschaften des Landbaus, Band
37 (in press).
Yang, S. R., Brorsen, B. W. (1992): Nonlinear Dynamics of Daily Cash Prices. American Journal of Agricultural
Economics 74: 706-715.
19