Bali, G.T., Mo, H. & Tang, Y. (2008). The Role of Autoregressive Conditional
Skewness and Kurtosis in the Estimation of Conditional VaR, Journal of
Banking and Finance, 32(2): 269–282.
Barndorff-Nielsen, O. E. & Shephard, N. (2002). Econometric analysis of realised
volatility and its use in estimating stochastic volatility models. Journal of the
Royal Statistical Society, 64(2): 253-280.
Barndorff-Nielsen, O. E. & Shephard, N. (2006). Impact of Jumps on Returns and
Realised Variances: Econometric Analysis of Time-Deformed Lèvy
Processes. Journal of Econometrics, 131 (1-2): 217–252.
Barndorff-Nielsen, O.E. (1997). Normal Inverse Gaussian Distributions and Stochastic
Volatility Modelling, Scandinavian Journal of Statistics, 24(1): 1–14.
Barone-Adesi, G., Giannopoulos, K. & Vosper, L. (1999). VaR without correlations
for portfolios of derivative securities. Journal of Futures Markets, 10(5):
583-602.
Basel (2004). International convergence of capital measurement and capital
standards. A revised framework. Updated November 2005. Basel Committee
on Banking Supervision. Bank for International Settlement, Basel, Switzerland.
Bollerslev, T. & Forsberg, L. (2002). Bridging the Gap between the Distribution of
Realized (ECU) Volatility and ARCH Modeling (of the Euro): The GARCH
Normal Inverse Gaussian Model, Journal of Applied Econometrics, 17 (5):
535–548.
Bollerslev, T. (1986). Generalised autoregressive conditional heteroskedasticity,
Journal of Econometrics, 31(3): 307–327.
Chan, W. & Maheu J. (2002) Conditional Jump Dynamics in Stock Market Returns.
Journal of Business and Economic Statistics, 20(3): 377–389.
Das, S. & Sundaram, R. (1997). Taming the Skew: Higher-Order Moments in
Modeling Asset Price Processes in Finance. National Bureau of Economic
Research. Working Paper 5976. DOI: 10.3386/w5976.
Gibson, M. (2001). Incorporating Event Risk into Value-at-Risk, FEDS Discussion,
200:1-17.
Giot, P. & Laurent S. (2003). Value-at-Risk for long and short trading positions.
Journal of Applied Econometrics, 18(6): 641-664.
Hansen, B. E. (1994). Autoregressive Conditional Density Estimation. International
Economic Review, 35(3): 705–730.
Harvey, C. & Siddique, A. (1999). Autoregressive Conditional Skewness. Journal of
Financial and Quantitative Analysis, 34(4): 465–488.
Kuester, K., Mittnik, S. & Paolella, M. (2006). Value-at-Risk Prediction: A
Comparison of Alternative Strategies. Journal of Financial Econometrics, 4:
53–89.
Lanne, M. (2007). Forecasting Realized Volatility by Decomposition. International
Journal of Forecasting, 23(2): 307–320.
Maheu, J.M. & McCurdy T.H. (2004). News Arrival, Jump Dynamics and Volatility
Components for Individual Stock Returns. Journal of Finance, 59: 755–793.
Nelson, D. (1991). Conditional heteroscedasticity in asset returns: A new approach.
Econometrica, 59(2): 347–370.
Nyberg, P. & Wilhelmsson, A. (2009). Measuring Event Risk. Journal of Financial
Econometrics, 7(3): 265–287.
Press, S. J. (1967). A compound events model for security prices. Journal of
Business, 40(3): 317-335.
Pritsker, M. (1997). Evaluating Value at Risk Methodologies, Journal of Financial
Services Research, 12(2/3): 201-242.
Raei, R. & Saeedi, A. (2009). Financial engineering and risk management
principles, Fourth Edition, Tehran: Samt. (in Persian)
Rydberg, T. H. (1999). Generalized hyperbolic diffusion processes with application
in finance. Mathematical Finance, 9(2): 183–201.
Sajadi, Z. & Fathi, S. (2014). A four-step explanation of the process of calculating
the value at risk as a measure of risk and implement it in an optimization
model for investors. Financial knowledge Analysis Securities Journal, 6(20.
Stambaugh, F. (1996). Risk and Value-at-Risk. European Management Journal, 14
(6): 612-621.
Wilhelmsson, A. (2009). Value at Risk with Time-Varying Variance, Skewness and
Kurtosis – The NIG-ACD Model. Econometrics Journal, 12 (1): 82–104.