{"id":"https://openalex.org/W2113236133","doi":"https://doi.org/10.1016/j.frl.2007.06.001","title":"Optimality of the RiskMetrics VaR model","display_name":"Optimality of the RiskMetrics VaR model","publication_year":2007,"publication_date":"2007-06-14","ids":{"openalex":"https://openalex.org/W2113236133","doi":"https://doi.org/10.1016/j.frl.2007.06.001","mag":"2113236133"},"language":"en","primary_location":{"id":"doi:10.1016/j.frl.2007.06.001","doi":"https://doi.org/10.1016/j.frl.2007.06.001","is_oa":false,"landing_page_url":"https://doi.org/10.1016/j.frl.2007.06.001","pdf_url":null,"source":{"id":"https://openalex.org/S88577320","display_name":"Finance research letters","issn_l":"1544-6123","issn":["1544-6123","1544-6131"],"is_oa":false,"is_in_doaj":false,"is_core":true,"listed_in":["abdc-a","anvur-class-a","anvur-scientific","cwts-core","fnege-3","jufo-1","norway-1","poland-70","russia-white-list-1","vabb-shw"],"host_organization":"https://openalex.org/P4310320990","host_organization_name":"Elsevier BV","host_organization_lineage":["https://openalex.org/P4310320990"],"host_organization_lineage_names":["Elsevier BV"],"type":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Finance Research Letters","raw_type":"journal-article"},"volume":null,"type":"article","indexed_in":["crossref"],"open_access":{"is_oa":false,"oa_status":"closed","oa_url":null,"any_repository_has_fulltext":false},"authorships":[{"author_position":"first","author":{"id":"https://openalex.org/A5038200304","display_name":"Gloria Gonz\u00e1lez\u2010Rivera","orcid":"https://orcid.org/0000-0002-4360-2488","observed_orcids":["https://orcid.org/0000-0002-4360-2488"]},"institutions":[{"id":"https://openalex.org/I103635307","display_name":"University of California, Riverside","ror":"https://ror.org/03nawhv43","country_code":"US","type":"education","lineage":["https://openalex.org/I103635307"]}],"countries":["US"],"is_corresponding":true,"raw_author_name":"Gloria Gonz\u00e1lez-Rivera","raw_affiliation_strings":["Department of Economics, University of California, Riverside, CA 92521, USA"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"Department of Economics, University of California, Riverside, CA 92521, USA","institution_ids":["https://openalex.org/I103635307"]}]},{"author_position":"middle","author":{"id":"https://openalex.org/A5016865475","display_name":"Tae\u2010Hwy Lee","orcid":"https://orcid.org/0000-0002-4994-4382","observed_orcids":["https://orcid.org/0000-0002-4994-4382"]},"institutions":[{"id":"https://openalex.org/I103635307","display_name":"University of California, Riverside","ror":"https://ror.org/03nawhv43","country_code":"US","type":"education","lineage":["https://openalex.org/I103635307"]}],"countries":["US"],"is_corresponding":false,"raw_author_name":"Tae-Hwy Lee","raw_affiliation_strings":["Department of Economics, University of California, Riverside, CA 92521, USA"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"Department of Economics, University of California, Riverside, CA 92521, USA","institution_ids":["https://openalex.org/I103635307"]}]},{"author_position":"last","author":{"id":"https://openalex.org/A5042709907","display_name":"Emre Yolda\u015f","orcid":"https://orcid.org/0000-0002-9924-7905","observed_orcids":["https://orcid.org/0000-0002-9924-7905"]},"institutions":[{"id":"https://openalex.org/I103635307","display_name":"University of California, Riverside","ror":"https://ror.org/03nawhv43","country_code":"US","type":"education","lineage":["https://openalex.org/I103635307"]}],"countries":["US"],"is_corresponding":false,"raw_author_name":"Emre Yoldas","raw_affiliation_strings":["Department of Economics, University of California, Riverside, CA 92521, USA"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"Department of Economics, University of California, Riverside, CA 92521, USA","institution_ids":["https://openalex.org/I103635307"]}]}],"institutions":[],"countries_distinct_count":1,"institutions_distinct_count":1,"corresponding_author_ids":["https://openalex.org/A5038200304"],"corresponding_institution_ids":["https://openalex.org/I103635307"],"apc_list":{"value":3730,"currency":"USD","value_usd":3730},"apc_paid":null,"fwci":4.1229,"has_fulltext":false,"cited_by_count":23,"citation_normalized_percentile":{"value":0.94182917,"is_in_top_1_percent":false,"is_in_top_10_percent":true},"cited_by_percentile_year":{"min":88,"max":97},"biblio":{"volume":"4","issue":"3","first_page":"137","last_page":"145"},"is_retracted":false,"is_paratext":false,"is_xpac":false,"primary_topic":{"id":"https://openalex.org/T10282","display_name":"Financial Risk and Volatility Modeling","score":0.9984999895095825,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},"topics":[{"id":"https://openalex.org/T10282","display_name":"Financial Risk and Volatility Modeling","score":0.9984999895095825,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T11413","display_name":"Risk and Portfolio Optimization","score":0.0003000000142492354,"subfield":{"id":"https://openalex.org/subfields/1803","display_name":"Management Science and Operations Research"},"field":{"id":"https://openalex.org/fields/18","display_name":"Decision Sciences"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T11918","display_name":"Forecasting Techniques and Applications","score":0.00019999999494757503,"subfield":{"id":"https://openalex.org/subfields/1803","display_name":"Management Science and Operations Research"},"field":{"id":"https://openalex.org/fields/18","display_name":"Decision Sciences"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}}],"keywords":[{"id":"https://openalex.org/keywords/value-at-risk","display_name":"value at risk","score":0.9599999785423279},{"id":"https://openalex.org/keywords/riskmetrics","display_name":"RiskMetrics","score":0.8320000171661377},{"id":"https://openalex.org/keywords/loss-functions","display_name":"loss functions","score":0.9369999766349792},{"id":"https://openalex.org/keywords/var-estimation","display_name":"VaR estimation","score":0.527999997138977},{"id":"https://openalex.org/keywords/forecast-evaluation","display_name":"forecast evaluation","score":0.6480000019073486},{"id":"https://openalex.org/keywords/out-of-sample-performance","display_name":"out-of-sample performance","score":0.871999979019165},{"id":"https://openalex.org/keywords/decay-factor","display_name":"decay factor","score":0.6489999890327454},{"id":"https://openalex.org/keywords/stock-market","display_name":"stock market","score":0.7279999852180481},{"id":"https://openalex.org/keywords/exchange-rates","display_name":"exchange rates","score":0.972000002861023},{"id":"https://openalex.org/keywords/bond-market","display_name":"bond market","score":0.8980000019073486},{"id":"https://openalex.org/keywords/parameter-estimation","display_name":"parameter estimation","score":0.3529999852180481}],"concepts":[{"id":"https://openalex.org/C149782125","wikidata":"https://www.wikidata.org/wiki/Q160039","display_name":"Econometrics","level":1,"score":0.7148153185844421},{"id":"https://openalex.org/C162324750","wikidata":"https://www.wikidata.org/wiki/Q8134","display_name":"Economics","level":0,"score":0.5233737230300903},{"id":"https://openalex.org/C2779343474","wikidata":"https://www.wikidata.org/wiki/Q3109175","display_name":"Context (archaeology)","level":2,"score":0.5209664106369019},{"id":"https://openalex.org/C94128290","wikidata":"https://www.wikidata.org/wiki/Q963287","display_name":"Value at risk","level":3,"score":0.5145673155784607},{"id":"https://openalex.org/C199728807","wikidata":"https://www.wikidata.org/wiki/Q2578557","display_name":"Equity (law)","level":2,"score":0.49838900566101074},{"id":"https://openalex.org/C180075932","wikidata":"https://www.wikidata.org/wiki/Q5333342","display_name":"Econometric model","level":2,"score":0.46553483605384827},{"id":"https://openalex.org/C5496284","wikidata":"https://www.wikidata.org/wiki/Q5420856","display_name":"Expected shortfall","level":3,"score":0.46300604939460754},{"id":"https://openalex.org/C96250715","wikidata":"https://www.wikidata.org/wiki/Q965330","display_name":"Estimation","level":2,"score":0.4504837989807129},{"id":"https://openalex.org/C14036430","wikidata":"https://www.wikidata.org/wiki/Q3736076","display_name":"Function (biology)","level":2,"score":0.41295087337493896},{"id":"https://openalex.org/C32896092","wikidata":"https://www.wikidata.org/wiki/Q189447","display_name":"Risk management","level":2,"score":0.12353411316871643},{"id":"https://openalex.org/C10138342","wikidata":"https://www.wikidata.org/wiki/Q43015","display_name":"Finance","level":1,"score":0.08288419246673584},{"id":"https://openalex.org/C17744445","wikidata":"https://www.wikidata.org/wiki/Q36442","display_name":"Political science","level":0,"score":0.0},{"id":"https://openalex.org/C187736073","wikidata":"https://www.wikidata.org/wiki/Q2920921","display_name":"Management","level":1,"score":0.0},{"id":"https://openalex.org/C151730666","wikidata":"https://www.wikidata.org/wiki/Q7205","display_name":"Paleontology","level":1,"score":0.0},{"id":"https://openalex.org/C86803240","wikidata":"https://www.wikidata.org/wiki/Q420","display_name":"Biology","level":0,"score":0.0},{"id":"https://openalex.org/C199539241","wikidata":"https://www.wikidata.org/wiki/Q7748","display_name":"Law","level":1,"score":0.0},{"id":"https://openalex.org/C78458016","wikidata":"https://www.wikidata.org/wiki/Q840400","display_name":"Evolutionary biology","level":1,"score":0.0}],"mesh":[],"locations_count":3,"locations":[{"id":"doi:10.1016/j.frl.2007.06.001","doi":"https://doi.org/10.1016/j.frl.2007.06.001","is_oa":false,"landing_page_url":"https://doi.org/10.1016/j.frl.2007.06.001","pdf_url":null,"source":{"id":"https://openalex.org/S88577320","display_name":"Finance research letters","issn_l":"1544-6123","issn":["1544-6123","1544-6131"],"is_oa":false,"is_in_doaj":false,"is_core":true,"listed_in":["abdc-a","anvur-class-a","anvur-scientific","cwts-core","fnege-3","jufo-1","norway-1","poland-70","russia-white-list-1","vabb-shw"],"host_organization":"https://openalex.org/P4310320990","host_organization_name":"Elsevier BV","host_organization_lineage":["https://openalex.org/P4310320990"],"host_organization_lineage_names":["Elsevier BV"],"type":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Finance Research Letters","raw_type":"journal-article"},{"id":"pmh:oai:CiteSeerX.psu:10.1.1.488.3638","doi":null,"is_oa":false,"landing_page_url":"http://citeseerx.ist.psu.edu/viewdoc/summary?doi=10.1.1.488.3638","pdf_url":null,"source":null,"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":"http://www.faculty.ucr.edu/~taelee/paper/lambda.pdf","raw_type":"text"},{"id":"pmh:oai:RePEc:eee:finlet:v:4:y:2007:i:3:p:137-145","doi":null,"is_oa":false,"landing_page_url":"http://www.sciencedirect.com/science/article/pii/S1544-6123(07)00030-X","pdf_url":null,"source":{"id":"https://openalex.org/S4306401271","display_name":"RePEc: Research Papers in Economics","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"listed_in":[],"host_organization":"https://openalex.org/I77793887","host_organization_name":"Federal Reserve Bank of St. Louis","host_organization_lineage":["https://openalex.org/I77793887"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":null,"raw_type":"article"}],"best_oa_location":null,"sustainable_development_goals":[],"study_designs":[],"awards":[],"funders":[],"has_content":{"pdf":false,"grobid_xml":false},"content_urls":null,"referenced_works_count":14,"referenced_works":["https://openalex.org/W1588064737","https://openalex.org/W2003113914","https://openalex.org/W2104556565","https://openalex.org/W2131374304","https://openalex.org/W2134752891","https://openalex.org/W2135177937","https://openalex.org/W2317795240","https://openalex.org/W2889890362","https://openalex.org/W3121171935","https://openalex.org/W3124383505","https://openalex.org/W3125342451","https://openalex.org/W3125759495","https://openalex.org/W4241653265","https://openalex.org/W4285719527"],"related_works":["https://openalex.org/W2196633466","https://openalex.org/W2297355131","https://openalex.org/W310916977","https://openalex.org/W2417929108","https://openalex.org/W2565903233","https://openalex.org/W2784613697","https://openalex.org/W2123970954","https://openalex.org/W2053070737","https://openalex.org/W2100172242","https://openalex.org/W7099147952"],"abstract_inverted_index":null,"counts_by_year":[{"year":2025,"cited_by_count":1},{"year":2024,"cited_by_count":1},{"year":2021,"cited_by_count":1},{"year":2018,"cited_by_count":2},{"year":2017,"cited_by_count":1},{"year":2016,"cited_by_count":3},{"year":2015,"cited_by_count":3},{"year":2014,"cited_by_count":2},{"year":2013,"cited_by_count":1},{"year":2012,"cited_by_count":1}],"updated_date":"2026-10-30T12:39:25.321706","created_date":"2016-06-24T00:00:00"}