Alexander, C. (2008). Market risk analysis Value-at-Risk models. England: John Wiley & Sons, Ltd.
Angelidis, T., Benos, A. & Degiannakis, S. (2004). The use of GARCH models in VaR estimation, Statistical Methodology, 1(2): 105- 128.
Barone-Adesi, G. & Giannopoulos, K. (2000). Non-parametric VaR techniques. Myths and realities. Mimeo, Universita della Svizzera Italiana and City University Business School and Westminster Business School, November 2000: 18.
Barone-Adesi, G., Giannopoulos, K. & Vosper, L. (1999). VaR without correlations for non-linear portfolios. Journal of Futures Markets, 19(5): 583 - 602.
Basle Committee on Banking Supervision. (1995). An internal model-based approach to market risk capital requirements. Available in: http://www. bis.org.
Basle Committee on Banking Supervision. (1996). Overview of the amendment to the capital accord to incorporate market risks, http://www.bis.org.
Black, F. (1976). Studies of stock price volatility changes, In proceedings of the 1976 meetings of the business and economics statistics section, American Statistical Association: 177- 181.
Blake, D., Cairns, A. & Dowd, K. (2000). Extrapolating VaR by the square-root rule, Financial Engineering News, 01/2000; 17.
Chrétien, S. & Coggins, F. (2010). Performance and conservatism of monthly FHS VaR: An international investigation, Int. Review of Financial Analysis, 19(5): 323– 333.
Christoffersen, P. F. (1998). Evaluating interval forecasts, International Economic Review, 39(4): 841- 861.
Christoffersen, P. F., Diebold, F. X. & Schuermann, T. (1998). Horizon problems and extreme events in financial risk management, Economic Policy Review, 4(9): 109- 118.
Dowd, K. (2005). Measuring Market Risk, 2nd edition, New York, Wiley.
Efron‚ B. & Tibshirani‚ R. (1993). An introduction to the bootstrap. New York: Chapman & Hall.
Fallahpour, S. & Ahmadi, E. (2014). Estimating value at risk of portfolio of oil and gold by Copula-GARCH method, Retrieved from https://
www.jfr.ut.ac.ir/article_50711_0.html. (
in Persian)
Ghysels, E., Rubia, A. & Valkanov, R. (2009). Multi-period forecast of volatility: Direct, iterated and mixed-data approaches, EFA 2009 Bergen Meetings Paper.
Henderson, A. R. (2005). The bootstrap: A technique for data-driven statistics, Using computer-intensive analyses to explore experimental data, Clinica Chimica Acta, 359(1- 2): 1- 26.
Hull, J. & White, A. (1998). Incorporating volatility updating into the historical simulation method for value-at-risk, Journal of Risk, 1(1): 5-19.
Jorion, P. (2003). Financial risk manager handbook. 2nd edition, John Wiley & Sons Inc.
Mohammdi, S., Raei, R. & Feyzabad, A. (2008). Forecasting value-at-risk using conditional volatility models: Evidence from Tehran stock exchange. Journal of Financial Research, 9(4): 109-124. (in Persian)
Nelson, D.B. (1991). Conditional heteroskedasticity in asset returns: A new approach. Econometrica, 59(2): 347– 370.
Resti‚ A. & Sironi‚ A. (2007). Risk management and shareholders value in banking from risk measurement models to capital allocation policies. John Wiley & Sons‚ Ltd.
Rostami Noroozabad, M., Shojaei, A., Khezri, M. & Rahmani Noorozabad, S. (2015). Estimate value at risk return Tehran stock exchange using wavelet analysis, Journal of Financial Research, 17(1): 59- 82. (in Persian)
Rostami, M. & Haqiqi, F. (2013). Using MGARCH to estimate value at risk. Journal of Financial Research, 15(2): 215- 228. (in Persian)
Skoglund, J., Erdman, D. & Chen, C. (2011). On the time scaling of value-at-risk with trading. Journal of Risk Model Validation, 5(4): 17- 26.
Taylor, J. W. (1999). A quintile regression approach to estimating the distribution of multiperiod returns. Journal of Derivatives, 7(1): 64- 78.
)