Paul H. Kupiec : Citation Profile

Are you Paul H. Kupiec?

American Enterprise Institute

11

H index

13

i10 index

1189

Citations

RESEARCH PRODUCTION:

21

Articles

45

Papers

1

Chapters

RESEARCH ACTIVITY:

   32 years (1989 - 2021). See details.
   Cites by year: 37
   Journals where Paul H. Kupiec has often published
   Relations with other researchers
   Recent citing documents: 155.    Total self citations: 6 (0.5 %)

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   Permalink: http://citec.repec.org/pku379
   Updated: 2023-04-01    RAS profile: 2023-02-12    
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Relations with other researchers

Works with:

Authors registered in RePEc who have co-authored more than one work in the last five years with Paul H. Kupiec.

Is cited by:

Degiannakis, Stavros (24)

Lopez, Jose (15)

Nguyen, Duc Khuong (13)

Hurlin, Christophe (12)

Varotto, Simone (11)

Hammoudeh, Shawkat (11)

Daripa, Arup (10)

Perignon, Christophe (10)

Weron, Rafał (10)

Prescott, Edward (10)

Dionne, Georges (9)

Cites to:

Bernanke, Ben (7)

Marino, Anthony (4)

Scholes, Myron (4)

Gertler, Mark (4)

Berger, Allen (4)

Calomiris, Charles (4)

merton, robert (4)

Romer, Christina (4)

Rajan, Raghuram (4)

Richardson, Gary (3)

Bordo, Michael (3)

Main data

Where Paul H. Kupiec has published?

Journals with more than one article published# docs
Journal of Financial Stability5
Journal of Futures Markets4
Journal of Financial Services Research4

Working Papers Series with more than one paper published# docs
Finance and Economics Discussion Series / Board of Governors of the Federal Reserve System (U.S.)26
AEI Economics Working Papers / American Enterprise Institute13
IMF Working Papers / International Monetary Fund4

Recent works citing Paul H. Kupiec (2022 and 2021)

YearTitle of citing document
2021Performance and Risks: Islamic Indices and Compared to Conventional Indices. (2021). Agouram, Jamal ; Lakhnati, Ghizlane ; ben Hssain, Lhoucine ; Anoualigh, Jamaa. In: Asian Journal of Economics and Empirical Research. RePEc:aoj:ajeaer:2021:p:17-26.

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2021A Semi-parametric Realized Joint Value-at-Risk and Expected Shortfall Regression Framework. (2018). Chen, Qian ; Gerlach, Richard ; Wang, Chao. In: Papers. RePEc:arx:papers:1807.02422.

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2023Using mixed-frequency and realized measures in quantile regression. (2020). Gallo, Giampiero ; Candila, Vincenzo ; Petrella, Lea. In: Papers. RePEc:arx:papers:2011.00552.

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2022Incorporating Financial Big Data in Small Portfolio Risk Analysis: Market Risk Management Approach. (2021). Yu, Seunghyeon ; Kim, Donggyu. In: Papers. RePEc:arx:papers:2102.12783.

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2022Overnight GARCH-It\^o Volatility Models. (2021). Wang, Yazhen ; Kim, Donggyu. In: Papers. RePEc:arx:papers:2102.13467.

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2021GARCH-UGH: A bias-reduced approach for dynamic extreme Value-at-Risk estimation in financial time series. (2021). STUPFLER, Gilles ; Kawasaki, Yoshinori ; Kaibuchi, Hibiki. In: Papers. RePEc:arx:papers:2104.09879.

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2021Modeling Portfolios with Leptokurtic and Dependent Risk Factors. (2021). Zoia, Maria Grazia ; Vacca, Gianmarco ; Quatto, Piero. In: Papers. RePEc:arx:papers:2106.04218.

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2021Forecasting VaR and ES using a joint quantile regression and implications in portfolio allocation. (2021). Raponi, Valentina ; Petrella, Lea ; Merlo, Luca. In: Papers. RePEc:arx:papers:2106.06518.

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2021Multi-Transformer: A New Neural Network-Based Architecture for Forecasting S&P Volatility. (2021). Jos'e Javier N'u~nez-Vel'azquez, ; Alonso-Gonz, Pablo J ; Ramos, Eduardo. In: Papers. RePEc:arx:papers:2109.12621.

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2021An Improved Reinforcement Learning Model Based on Sentiment Analysis. (2021). Yang, Xiao ; Li, Fangyi ; Zhou, Peng. In: Papers. RePEc:arx:papers:2111.15354.

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2022Multinomial Backtesting of Distortion Risk Measures. (2022). Kim, Sojung ; Bettels, Soren ; Weber, Stefan. In: Papers. RePEc:arx:papers:2201.06319.

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2023Dynamic Risk Measurement by EVT based on Stochastic Volatility models via MCMC. (2022). , Shibo ; Bo, Shi. In: Papers. RePEc:arx:papers:2201.09434.

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2022Tail Risk of Electricity Futures. (2022). Mayoral, Silvia ; Rodriguez, Rosa ; Pena, Juan Ignacio. In: Papers. RePEc:arx:papers:2202.01732.

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2022Estimating risks of option books using neural-SDE market models. (2022). Cohen, Samuel N ; Wang, Sheng ; Reisinger, Christoph. In: Papers. RePEc:arx:papers:2202.07148.

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2023Tail-GAN: Nonparametric Scenario Generation for Tail Risk Estimation. (2022). Cont, Rama ; Zhang, Chao ; Xu, Renyuan ; Cucuringu, Mihai. In: Papers. RePEc:arx:papers:2203.01664.

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2022Predicting Value at Risk for Cryptocurrencies Using Generalized Random Forests. (2022). Gorgen, Konstantin ; Schienle, Melanie ; Meirer, Jonas. In: Papers. RePEc:arx:papers:2203.08224.

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2022Vulnerability-CoVaR: Investigating the Crypto-market. (2022). Okhrin, Ostap ; Singh, Abhay Kumar ; Waltz, Martin. In: Papers. RePEc:arx:papers:2203.10777.

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2022Forecasting Electricity Prices. (2022). Weron, Rafał ; Uniejewski, Bartosz ; Maciejowska, Katarzyna. In: Papers. RePEc:arx:papers:2204.11735.

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2022Mack-Net model: Blending Macks model with Recurrent Neural Networks. (2022). Jos'e Javier N'u~nez-Vel'azquez, ; Alonso-Gonz, Pablo J ; Ramos, Eduardo. In: Papers. RePEc:arx:papers:2205.07334.

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2022Distributional neural networks for electricity price forecasting. (2022). Ziel, Florian ; Weron, Rafal ; Narajewski, Michal ; Marcjasz, Grzegorz. In: Papers. RePEc:arx:papers:2207.02832.

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2023Smoothing Quantile Regression Averaging: A new approach to probabilistic forecasting of electricity prices. (2023). Uniejewski, Bartosz. In: Papers. RePEc:arx:papers:2302.00411.

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2021Measuring the impact of a bank failure on the real economy. An EU-wide analytical framework. (2021). Vacca, Valerio ; Ricci, Giacomo ; Miani, Claudia ; Ballesteros, Elisa Llorente ; Hoeretzeder, Silvia ; Ebner, Andr ; di Primio, Luciano ; Bravo, Antonio J ; Boschi, Natalie ; Westman, Hanna ; Biraschi, Paolo ; Schellerer, Stefan ; Bichlmeier, Fabian ; Santioni, Raffaele. In: Questioni di Economia e Finanza (Occasional Papers). RePEc:bdi:opques:qef_626_21.

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2022An empirical investigation of the quality of value?at?risk disclosure in Australia. (2022). Smith, Daniel R ; Campbell, Angus. In: Accounting and Finance. RePEc:bla:acctfi:v:62:y:2022:i:1:p:469-491.

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2021Are central banks to blame? Monetary policy and bank lending behavior. (2021). Savva, Christos ; Koursaros, Demetris ; Michail, Nektarios A. In: Bulletin of Economic Research. RePEc:bla:buecrs:v:73:y:2021:i:4:p:762-779.

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2022A component Markov regime?switching autoregressive conditional range model. (2022). Mazibas, Murat. In: Bulletin of Economic Research. RePEc:bla:buecrs:v:74:y:2022:i:2:p:650-683.

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2022Are boards ‘substitute’ or ‘complement’ dividend payout? Econometric evidence for Indian banks. (2022). Gulati, Rachita ; Bhatia, Madhur. In: Economic Notes. RePEc:bla:ecnote:v:51:y:2022:i:2:n:e12198.

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2021An Extensive Comparison of Some Well?Established Value at Risk Methods. (2021). Lettieri, Davi ; Ferioli, Eduardo ; Calmon, Wilson ; Pizzinga, Adrian ; Soares, Johann. In: International Statistical Review. RePEc:bla:istatr:v:89:y:2021:i:1:p:148-166.

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2022Next generation models for portfolio risk management: An approach using financial big data. (2022). Yu, Seunghyeon ; Kim, Donggyu ; Jung, Kwangmin. In: Journal of Risk & Insurance. RePEc:bla:jrinsu:v:89:y:2022:i:3:p:765-787.

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2022A new volatility model: GQARCH?ItÔ model. (2022). Xu, LU ; Sun, Yulei ; Yuan, Huiling ; Cui, Xiangyu ; Zhou, Yong. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:43:y:2022:i:3:p:345-370.

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2022Conditional quantile analysis for realized GARCH models. (2022). Wang, Yazhen ; Oh, Minseog ; Kim, Donggyu. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:43:y:2022:i:4:p:640-665.

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2021A CBA of APC: analysing approaches to procyclicality reduction in CCP initial margin models. (2021). Murphy, David ; Vause, Nicholas. In: Bank of England working papers. RePEc:boe:boeewp:0950.

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2021Assessing the performance of deep learning models for multivariate probabilistic energy forecasting. (2021). Honkapuro, Samuli ; Kaarna, Arto ; Lensu, Lasse ; Kuronen, Toni ; Mashlakov, Aleksei. In: Applied Energy. RePEc:eee:appene:v:285:y:2021:i:c:s0306261920317748.

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2021An intraday-return-based Value-at-Risk model driven by dynamic conditional score with censored generalized Pareto distribution. (2021). Li, Handong ; Tian, Fei ; Song, Shijia. In: Journal of Asian Economics. RePEc:eee:asieco:v:74:y:2021:i:c:s1049007821000439.

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2021Outer power transformations of hierarchical Archimedean copulas: Construction, sampling and estimation. (2021). Okhrin, Ostap ; Hofert, Marius ; Gorecki, Jan . In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:155:y:2021:i:c:s0167947320302000.

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2021Multi-agent-based VaR forecasting. (2021). Poddig, Thorsten ; Fieberg, Christian ; Tubbenhauer, Tobias. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:131:y:2021:i:c:s0165188921001664.

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2021Intersectoral systemic risk spillovers between energy and agriculture under the financial and COVID-19 crises. (2021). Chevallier, Julien ; Deng, Yuanyue ; Lin, Renda ; Zhu, BO ; Chen, Pingshe. In: Economic Modelling. RePEc:eee:ecmode:v:105:y:2021:i:c:s0264999321002406.

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2022Do realized higher moments have information content? - VaR forecasting based on the realized GARCH-RSRK model. (2022). Yan, Hong ; Huang, Zhuo ; Liang, Fang ; Wang, Tianyi. In: Economic Modelling. RePEc:eee:ecmode:v:109:y:2022:i:c:s026499932200027x.

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2022Exchange rates and the global transmission of equity market shocks. (2022). Reboredo, Juan C ; Ojea-Ferreiro, Javier. In: Economic Modelling. RePEc:eee:ecmode:v:114:y:2022:i:c:s0264999322001602.

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2021Bayesian estimation for a semiparametric nonlinear volatility model. (2021). Poskitt, Donald ; Hu, Shuowen ; Zhang, Xibin. In: Economic Modelling. RePEc:eee:ecmode:v:98:y:2021:i:c:p:361-370.

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2021Risk spillover between Bitcoin and conventional financial markets: An expectile-based approach. (2021). GUPTA, RANGAN ; Ma, Shu-Jiao ; Bouri, Elie ; Zhang, Yue-Jun. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:55:y:2021:i:c:s1062940820301868.

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2021Measuring systemic risk of the Chinese banking industry: A wavelet-based quantile regression approach. (2021). Jiang, Cuixia ; Jin, Bei ; Xu, Qifa. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:55:y:2021:i:c:s1062940820302357.

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2021Dynamic volatility modelling of Bitcoin using time-varying transition probability Markov-switching GARCH model. (2021). Ng, Kooi-Huat ; Koh, You-Beng ; Tan, Chia-Yen. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:56:y:2021:i:c:s1062940821000164.

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2021Forecasting the Value-at-Risk of REITs using realized volatility jump models. (2021). Odusami, Babatunde O. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:58:y:2021:i:c:s1062940821000589.

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2021Extreme risk spillovers between crude palm oil prices and exchange rates. (2021). Lau, Wee-Yeap ; Go, You-How. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:58:y:2021:i:c:s1062940821001315.

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2021A new copula for modeling portfolios with skewed, leptokurtic and high-order dependent risk factors. (2021). Zoia, Maria Grazia ; Vacca, Gianmarco ; Quatto, Piero. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:58:y:2021:i:c:s1062940821001443.

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2022Extreme risk transmission channels between the stock index futures and spot markets: Evidence from China. (2022). Zhu, Zhican ; Li, Xupei ; Jian, Zhihong. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:59:y:2022:i:c:s1062940821002242.

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2021BP-CVaR: A novel model of estimating CVaR with back propagation algorithm. (2021). Zhu, Chun-Long ; Wang, Gang-Jin. In: Economics Letters. RePEc:eee:ecolet:v:209:y:2021:i:c:s016517652100402x.

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2021Efficient estimation of multivariate semi-nonparametric GARCH filtered copula models. (2021). Yi, Yanping ; Huang, Zhuo ; Chen, Xiao Hong. In: Journal of Econometrics. RePEc:eee:econom:v:222:y:2021:i:1:p:484-501.

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2022A nonparametric copula approach to conditional Value-at-Risk. (2022). Dunn, Richard ; Geenens, Gery. In: Econometrics and Statistics. RePEc:eee:ecosta:v:21:y:2022:i:c:p:19-37.

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2022Analyzing Commodity Futures Using Factor State-Space Models with Wishart Stochastic Volatility. (2022). Oglend, Atle ; Moura, Guilherme Valle ; Liesenfeld, Roman ; Kleppe, Tore Selland. In: Econometrics and Statistics. RePEc:eee:ecosta:v:23:y:2022:i:c:p:105-127.

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2022High-dimensional GARCH process segmentation with an application to Value-at-Risk. (2022). Korkas, Karolos K ; Cho, Haeran. In: Econometrics and Statistics. RePEc:eee:ecosta:v:23:y:2022:i:c:p:187-203.

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2021A data-driven framework for consistent financial valuation and risk measurement. (2021). Kirkby, Lars J ; Cui, Zhenyu ; Nguyen, Duy. In: European Journal of Operational Research. RePEc:eee:ejores:v:289:y:2021:i:1:p:381-398.

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2021Bayesian Value-at-Risk backtesting: The case of annuity pricing. (2021). Li, Youwei ; Leung, Melvern ; Vigne, Samuel A ; Pantelous, Athanasios A. In: European Journal of Operational Research. RePEc:eee:ejores:v:293:y:2021:i:2:p:786-801.

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2021Bank stocks, risk factors, and tail behavior. (2021). Huang, Lin ; Marcus, Alan J ; Cai, Jun ; Yang, Huan. In: Journal of Empirical Finance. RePEc:eee:empfin:v:63:y:2021:i:c:p:203-229.

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2021The transformed Gram Charlier distribution: Parametric properties and financial risk applications. (2021). Iguez, Trino-Manuel ; Leon, Angel. In: Journal of Empirical Finance. RePEc:eee:empfin:v:63:y:2021:i:c:p:323-349.

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2021Revisiting value-at-risk and expected shortfall in oil markets under structural breaks: The role of fat-tailed distributions. (2021). Patra, Saswat. In: Energy Economics. RePEc:eee:eneeco:v:101:y:2021:i:c:s0140988321003406.

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2021Global crude oil and the Chinese oil-intensive sectors: A comprehensive causality study. (2021). Leong, Soon Heng. In: Energy Economics. RePEc:eee:eneeco:v:103:y:2021:i:c:s014098832100431x.

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2022Implications of clean energy, oil and emissions pricing for the GCC energy sector stock. (2022). Nasir, Muhammad Ali ; Chaudhuri, Kausik ; Alkathery, Mohammed A. In: Energy Economics. RePEc:eee:eneeco:v:112:y:2022:i:c:s014098832200278x.

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2021Modelling the volatility of TOCOM energy futures: A regime switching realised volatility approach. (2021). Marsh, Ian W ; Huang, Chih-Yueh ; Alizadeh, Amir H. In: Energy Economics. RePEc:eee:eneeco:v:93:y:2021:i:c:s0140988319302063.

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2021Stochastic volatility, jumps and leverage in energy and stock markets: Evidence from high frequency data. (2021). Baum, Christopher ; Chen, Liyuan ; Zerilli, Paola. In: Energy Economics. RePEc:eee:eneeco:v:93:y:2021:i:c:s0140988319302622.

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2021Regularized quantile regression averaging for probabilistic electricity price forecasting. (2021). Weron, Rafał ; Uniejewski, Bartosz. In: Energy Economics. RePEc:eee:eneeco:v:95:y:2021:i:c:s0140988321000268.

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2022Regulatory technology (Reg-Tech) in financial stability supervision: Taxonomy, key methods, applications and future directions. (2022). Ergu, Daji ; Qian, Qian ; Li, Tie ; Chen, Jia ; Ran, Qin ; Chao, Xiangrui. In: International Review of Financial Analysis. RePEc:eee:finana:v:80:y:2022:i:c:s1057521922000035.

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2022Bank business models, failure risk and earnings opacity: A short- versus long-term perspective. (2022). Boateng, Agyenim ; Danso, Albert ; James, Gregory A ; Lartey, Theophilus. In: International Review of Financial Analysis. RePEc:eee:finana:v:80:y:2022:i:c:s1057521922000205.

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2022Predicting VaR for Chinas stock market: A score-driven model based on normal inverse Gaussian distribution. (2022). Song, Shijia ; Li, Handong. In: International Review of Financial Analysis. RePEc:eee:finana:v:82:y:2022:i:c:s1057521922001429.

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2021Portfolio value-at-risk with two-sided Weibull distribution: Evidence from cryptocurrency markets. (2021). Dingec, Kemal Dincer ; Silahli, Baykar ; Aydin, Nezir ; Cifter, Atilla. In: Finance Research Letters. RePEc:eee:finlet:v:38:y:2021:i:c:s1544612319312024.

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2021Modeling dynamic higher moments of crude oil futures. (2021). Li, Chao ; Wang, Tianyi ; Liang, Fang ; Huang, Zhuo. In: Finance Research Letters. RePEc:eee:finlet:v:39:y:2021:i:c:s1544612319302727.

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2021Tail risk emanating from troubled European banking sectors. (2021). Virk, Nader ; Sabzevari, Hassan ; Javed, Farrukh. In: Finance Research Letters. RePEc:eee:finlet:v:43:y:2021:i:c:s1544612321000337.

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2021Quantile-based GARCH-MIDAS: Estimating value-at-risk using mixed-frequency information. (2021). Liu, Hening ; Wang, Xinyu ; Xu, Yan. In: Finance Research Letters. RePEc:eee:finlet:v:43:y:2021:i:c:s1544612321000465.

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2021Backtesting VaR under the COVID-19 sudden changes in volatility. (2021). Iguez, Trino-Manuel ; Leon, Angel ; Castillo, Brenda. In: Finance Research Letters. RePEc:eee:finlet:v:43:y:2021:i:c:s1544612321001057.

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2022A Value-at-Risk forecastability indicator in the framework of a Generalized Autoregressive Score with “Asymmetric Laplace Distribution”. (2022). Roxana, Ioan ; Maria, Dima Tefana ; Bogdan, Dima. In: Finance Research Letters. RePEc:eee:finlet:v:45:y:2022:i:c:s1544612321002154.

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2022Risk management of Bitcoin futures with GARCH models. (2022). Guo, Zi-Yi. In: Finance Research Letters. RePEc:eee:finlet:v:45:y:2022:i:c:s1544612321002671.

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2022More to cryptos than bitcoin: A GARCH modelling of heterogeneous cryptocurrencies. (2022). Pereira, Javier ; Jeong, Jiin ; Fung, Kennard. In: Finance Research Letters. RePEc:eee:finlet:v:47:y:2022:i:pa:s1544612321005079.

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2022Forecasting tail risk for Bitcoin: A dynamic peak over threshold approach. (2022). Tan, Changchun ; Yang, Luyao ; Ke, Rui. In: Finance Research Letters. RePEc:eee:finlet:v:49:y:2022:i:c:s1544612322003129.

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2022Systemic risk measures and regulatory challenges. (2022). Brzeszczyski, Janusz ; Sharma, Satish ; Ellis, Scott. In: Journal of Financial Stability. RePEc:eee:finsta:v:61:y:2022:i:c:s1572308921001194.

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2021Loan growth, ownership, and regulation in the European Banking Sector: Old versus new banking landscape. (2021). Kouretas, Georgios ; Agoraki, Maria-Eleni. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:75:y:2021:i:c:s1042443121001608.

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2021Volatility spillovers between oil and equity markets and portfolio risk implications in the US and vulnerable EU countries. (2021). Kang, Sang Hoon ; Vo, Xuan Vinh ; Hammoudeh, Shawkat ; Mensi, Walid. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:75:y:2021:i:c:s1042443121001657.

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2022Portfolio risk and stress across the business cycle. (2022). Chakraborty, Sandip ; Kakani, Ram Kumar ; Sampath, Aravind. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:80:y:2022:i:c:s1042443122000993.

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2022Forecasting realized volatility of agricultural commodities. (2022). Walther, Thomas ; Filis, George ; Degiannakis, Stavros ; Klein, Tony. In: International Journal of Forecasting. RePEc:eee:intfor:v:38:y:2022:i:1:p:74-96.

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2023Forecasting expected shortfall: Should we use a multivariate model for stock market factors?. (2023). Dionne, Georges ; Simonato, Jean-Guy ; Fortin, Alain-Philippe. In: International Journal of Forecasting. RePEc:eee:intfor:v:39:y:2023:i:1:p:314-331.

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2023Non-Gaussian models for CoVaR estimation. (2023). Rivieccio, Giorgia ; de Luca, Giovanni ; Bianchi, Michele Leonardo. In: International Journal of Forecasting. RePEc:eee:intfor:v:39:y:2023:i:1:p:391-404.

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2021Forecasting VaR and ES using a joint quantile regression and its implications in portfolio allocation. (2021). Raponi, Valentina ; Petrella, Lea ; Merlo, Luca. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:133:y:2021:i:c:s0378426621002077.

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2022Internal models for deposits: Effects on banks capital and interest rate risk of assets. (2022). Dal Borgo, Mariela. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:135:y:2022:i:c:s0378426620302028.

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2022Testing market regulations in experimental asset markets – The case of margin purchases. (2022). Neugebauer, Tibor ; Fullbrunn, Sascha. In: Journal of Economic Behavior & Organization. RePEc:eee:jeborg:v:200:y:2022:i:c:p:1160-1183.

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2022Can gold hedge against oil price movements: Evidence from GARCH-EVT wavelet modeling. (2022). Huang, Shupei ; Lucey, Brian ; Wang, Xinya. In: Journal of Commodity Markets. RePEc:eee:jocoma:v:27:y:2022:i:c:s2405851321000593.

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2022Value-at-Risk forecasting: A hybrid ensemble learning GARCH-LSTM based approach. (2022). Jain, Ishan ; Kakade, Kshitij ; Mishra, Aswini Kumar. In: Resources Policy. RePEc:eee:jrpoli:v:78:y:2022:i:c:s0301420722003476.

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2022Dynamic correlations and portfolio implications across stock and commodity markets before and during the COVID-19 era: A key role of gold. (2022). Zaman, Umer ; Kocak, Emrah ; Shehzad, Khurram ; Liu, Xiaoxing. In: Resources Policy. RePEc:eee:jrpoli:v:79:y:2022:i:c:s0301420722004287.

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2022Encoded Value-at-Risk: A machine learning approach for portfolio risk measurement. (2022). Zamani, Shiva ; Tabatabaei, Ehsan ; Moghimi, Mehrdad ; Arian, Hamid. In: Mathematics and Computers in Simulation (MATCOM). RePEc:eee:matcom:v:202:y:2022:i:c:p:500-525.

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2022The collateral rule: Evidence from the credit default swap market. (2022). Haynes, Richard ; Giglio, Stefano ; Cheng, Wan-Schwin Allen ; Capponi, Agostino. In: Journal of Monetary Economics. RePEc:eee:moneco:v:126:y:2022:i:c:p:58-86.

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2021Systemically important banks in Asian emerging markets: Evidence from four systemic risk measures. (2021). Bannigidadmath, Deepa ; Powell, Robert ; Pham, Thach N. In: Pacific-Basin Finance Journal. RePEc:eee:pacfin:v:70:y:2021:i:c:s0927538x21001773.

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2022Bank profitability and economic growth. (2022). Weill, Laurent ; Klein, Paul-Olivier. In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:84:y:2022:i:c:p:183-199.

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2022Revisiting the accuracy of standard VaR methods for risk assessment: Using the Copula–EVT multidimensional approach for stock markets in the MENA region. (2022). Hedhli, Amel ; Chebbi, Ali. In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:84:y:2022:i:c:p:430-445.

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2021International portfolio allocation: The role of conditional higher moments. (2021). Le, Trung H. In: International Review of Economics & Finance. RePEc:eee:reveco:v:74:y:2021:i:c:p:33-57.

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2021Measuring risk spillovers from multiple developed stock markets to China: A vine-copula-GARCH-MIDAS model. (2021). Liu, Yezheng ; Xu, Qifa ; Jiang, Cuixia. In: International Review of Economics & Finance. RePEc:eee:reveco:v:75:y:2021:i:c:p:386-398.

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2022A cryptocurrency empirical study focused on evaluating their distribution functions. (2022). Muela, Sonia Benito ; Arguedas-Sanz, Raquel ; Lopez-Martin, Carmen. In: International Review of Economics & Finance. RePEc:eee:reveco:v:79:y:2022:i:c:p:387-407.

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2022Estimating tail-risk using semiparametric conditional variance with an application to meme stocks. (2022). Khanom, Najrin ; Daddona, Stefano. In: International Review of Economics & Finance. RePEc:eee:reveco:v:82:y:2022:i:c:p:241-260.

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2022Semi-nonparametric risk assessment with cryptocurrencies. (2022). Perote, Javier ; Mora-Valencia, Andrés ; Jimenez, Ines. In: Research in International Business and Finance. RePEc:eee:riibaf:v:59:y:2022:i:c:s0275531921001884.

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2022Forecasting Value-at-Risk of cryptocurrencies using the time-varying mixture-accelerating generalized autoregressive score model. (2022). Liu, Yimeng ; Song, Jiashan ; Zeng, Linhui ; Jiang, Kunliang. In: Research in International Business and Finance. RePEc:eee:riibaf:v:61:y:2022:i:c:s0275531922000228.

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2022Model Risk and Basic Approaches to its Estimation on Example of Market Risk Models. (2022). Lapshin, Victor A ; Yu, Andrey. In: Finansovyj žhurnal — Financial Journal. RePEc:fru:finjrn:220206:p:91-112.

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2022Maximum Likelihood Inference for Asymmetric Stochastic Volatility Models. (2022). Zevallos, Mauricio ; Abbara, Omar. In: Econometrics. RePEc:gam:jecnmx:v:11:y:2022:i:1:p:1-:d:1013050.

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2021Tail Dependence between Crude Oil Volatility Index and WTI Oil Price Movements during the COVID-19 Pandemic. (2021). Just, Magorzata ; Echaust, Krzysztof. In: Energies. RePEc:gam:jeners:v:14:y:2021:i:14:p:4147-:d:591470.

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2022Quantifying Foreign Exchange Risk in the Selected Listed Sectors of the Johannesburg Stock Exchange: An SV-EVT Pairwise Copula Approach. (2022). Eita, Joel ; Tchuinkam, Charles Raoul. In: IJFS. RePEc:gam:jijfss:v:10:y:2022:i:2:p:24-:d:784927.

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More than 100 citations found, this list is not complete...

Works by Paul H. Kupiec:

YearTitleTypeCited
2019Policy uncertainty, financial stability, and stress testing In: AEI Economics Working Papers.
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2019Policy uncertainty and bank stress testing In: AEI Economics Working Papers.
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2020Policy uncertainty and bank stress testing.(2020) In: Journal of Financial Stability.
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This paper has another version. Agregated cites: 1		article
2014Can the single point of entry strategy be used to recapitalize a failing bank? In: AEI Economics Working Papers.
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2015Testing for systemic risk using stock returns In: AEI Economics Working Papers.
[Full Text][Citation analysis]		paper11
2016Testing for Systemic Risk Using Stock Returns.(2016) In: Journal of Financial Services Research.
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This paper has another version. Agregated cites: 11		article
2015Portfolio diversification in concentrated bond and loan portfolios In: AEI Economics Working Papers.
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2015Capital for concentrated credit portfolios In: AEI Economics Working Papers.
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2015Capital for concentrated credit portfolios.(2015) In: AEI Economics Working Papers.
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This paper has another version. Agregated cites: 0		paper
2015Will TLAC regulations fix the G-SIB too-big-to-fail problem? In: AEI Economics Working Papers.
[Full Text][Citation analysis]		paper6
2016Will TLAC regulations fix the G-SIB too-big-to-fail problem?.(2016) In: Journal of Financial Stability.
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This paper has another version. Agregated cites: 6		article
2015Is Dodd Frank orderly liquidation authority necessary to fix too-big-to-fail? In: AEI Economics Working Papers.
[Full Text][Citation analysis]		paper1
2016Fixing prompt corrective action In: AEI Economics Working Papers.
[Full Text][Citation analysis]		paper0
2018Inside the black box: The accuracy of alternative stress test models In: AEI Economics Working Papers.
[Full Text][Citation analysis]		paper0
2017The leverage ratio is not the problem In: AEI Economics Working Papers.
[Full Text][Citation analysis]		paper0
2018On the accuracy of alternative approaches for calibrating bank stress test models In: AEI Economics Working Papers.
[Full Text][Citation analysis]		paper5
2018On the accuracy of alternative approaches for calibrating bank stress test models.(2018) In: Journal of Financial Stability.
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This paper has another version. Agregated cites: 5		article
1995A SECURITIES TRANSACTIONS TAX AND CAPITAL MARKET EFFICIENCY In: Contemporary Economic Policy.
[Full Text][Citation analysis]		article8
2021American Enterprise Institute Roundtable: Government Policies Reshape the Banking System In: Journal of Applied Corporate Finance.
[Full Text][Citation analysis]		article0
1991 Animal Spirits, Margin Requirements, and Stock Price Volatility. In: Journal of Finance.
[Full Text][Citation analysis]		article18
1990Animal spirits, margin requirements, and stock price volatility.(1990) In: Finance and Economics Discussion Series.
[Citation analysis]
This paper has another version. Agregated cites: 18		paper
1989Animal spirits, margin requirements, and stock price volatility.(1989) In: Finance and Economics Discussion Series.
[Citation analysis]
This paper has another version. Agregated cites: 18		paper
2015Can the “Single Point of Entry” strategy be used to recapitalize a systemically important failing bank? In: Journal of Financial Stability.
[Full Text][Citation analysis]		article2
2017Does bank supervision impact bank loan growth? In: Journal of Financial Stability.
[Full Text][Citation analysis]		article15
2013Bank failures and the cost of systemic risk: Evidence from 1900 to 1930 In: Journal of Financial Intermediation.
[Full Text][Citation analysis]		article25
1990Futures margins and stock price volatility: is there any link? In: Finance and Economics Discussion Series.
[Citation analysis]		paper3
1989Futures margins and stock price volatility: is there any link?.(1989) In: Finance and Economics Discussion Series.
[Citation analysis]
This paper has another version. Agregated cites: 3		paper
1993Futures margins and stock price volatility: Is there any link?.(1993) In: Journal of Futures Markets.
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This paper has another version. Agregated cites: 3		article
1990A primer on program trading and stock price volatility: a survey of the issues and the evidence In: Finance and Economics Discussion Series.
[Citation analysis]		paper2
1990Financial liberalization and international trends in stock, corporate bond and foreign exchange market volatilities In: Finance and Economics Discussion Series.
[Citation analysis]		paper2
1991Financial Liberalisation and International Trends in Stock, Corporate Bond and Foreign Exchange Market Volatilities.(1991) In: OECD Economics Department Working Papers.
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This paper has another version. Agregated cites: 2		paper
1990A securities transactions tax: beyond the rhetoric, what can we really say? In: Finance and Economics Discussion Series.
[Citation analysis]		paper1
1991Prudential margin policy in a futures-style settlement system In: Finance and Economics Discussion Series.
[Citation analysis]		paper19
1993Prudential margin policy in a futures?style settlement system.(1993) In: Journal of Futures Markets.
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This paper has another version. Agregated cites: 19		article
1991Stock market volatility in OECD countries: recent trends, consequences for the real economy, and proposals for reform In: Finance and Economics Discussion Series.
[Citation analysis]		paper10
1991Noise traders, excess volatility, and securities transaction tax In: Finance and Economics Discussion Series.
[Citation analysis]		paper5
1995Noise traders, excess volatility, and a securities transactions tax.(1995) In: Finance and Economics Discussion Series.
[Citation analysis]
This paper has another version. Agregated cites: 5		paper
1992Dividend-price ratios and expected inflation: is there more to the story than the proxy effect? In: Finance and Economics Discussion Series.
[Citation analysis]		paper0
1997The pre-commitment approach: using incentives to set market risk capital requirements In: Finance and Economics Discussion Series.
[Full Text][Citation analysis]		paper21
1997Margin requirements, volatility, and market integrity: what have we learned since the crash? In: Finance and Economics Discussion Series.
[Full Text][Citation analysis]		paper18
1998Margin Requirements, Volatility, and Market Integrity: What Have We Learned Since the Crash?.(1998) In: Journal of Financial Services Research.
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This paper has another version. Agregated cites: 18		article
1997Deposit insurance, bank incentives, and the design of regulatory policy In: Finance and Economics Discussion Series.
[Full Text][Citation analysis]		paper6
1998Deposit insurance, bank incentives, and the design of regulatory policy.(1998) In: Economic Policy Review.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 6		article
1992On the ramifications of a securities transaction tax for the function and efficiency of capital markets In: Finance and Economics Discussion Series.
[Citation analysis]		paper0
1989Initial margin requirements and stock returns volatility: another look In: Finance and Economics Discussion Series.
[Citation analysis]		paper20
1989A survey of exchange-traded basket instruments In: Finance and Economics Discussion Series.
[Citation analysis]		paper1
1989Microeconomic sources of beta risk instability In: Finance and Economics Discussion Series.
[Citation analysis]		paper0
1993On the efficacy of a portfolio approach to margin setting in a futures- style settlement system In: Finance and Economics Discussion Series.
[Citation analysis]		paper0
1993The performance of S&P500 futures product margins under the span margining system In: Finance and Economics Discussion Series.
[Citation analysis]		paper8
1994The performance of S&P 500 futures product margins under the SPAN margining system.(1994) In: Journal of Futures Markets.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 8		article
1995The use of bank trading risk models for regulatory capital purposes In: Finance and Economics Discussion Series.
[Citation analysis]		paper9
1995Techniques for verifying the accuracy of risk measurement models In: Finance and Economics Discussion Series.
[Citation analysis]		paper902
1995A pre-commitment approach to capital requirements for market risk In: Finance and Economics Discussion Series.
[Citation analysis]		paper27
1995A pre-commitment approach to capital requirements for market risk..(1995) In: Proceedings.
[Citation analysis]
This paper has another version. Agregated cites: 27		paper
1995Recent developments in bank capital regulation of market risks In: Finance and Economics Discussion Series.
[Citation analysis]		paper12
1996Regulatory competition and the efficiency of alternative derivative product margining systems In: Finance and Economics Discussion Series.
[Full Text][Citation analysis]		paper13
1996Regulatory competition and the efficiency of alternative derivative product margining systems.(1996) In: Journal of Futures Markets.
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This paper has another version. Agregated cites: 13		article
2001The New Basel Capital Accord: The Devil Is in the (Calibration) Details In: IMF Working Papers.
[Full Text][Citation analysis]		paper2
2002Calibrating Your Intuition: Capital Allocation for Market and Credit Risk In: IMF Working Papers.
[Full Text][Citation analysis]		paper5
2002Internal Models-Based Capital Regulation and Bank Risk-Taking Incentives In: IMF Working Papers.
[Full Text][Citation analysis]		paper0
2002Internal Models, Subordinated Debt, and Regulatory Capital Requirements for Bank Credit Risk In: IMF Working Papers.
[Full Text][Citation analysis]		paper0
2007Financial stability and Basel II In: Annals of Finance.
[Full Text][Citation analysis]		article2
2007Capital Allocation for Portfolio Credit Risk In: Journal of Financial Services Research.
[Full Text][Citation analysis]		article3
2012Editors’ Note on the Special Issue of the 10th FDIC/JFSR Bank Research Conference In: Journal of Financial Services Research.
[Full Text][Citation analysis]		article0
2004Assessing Systemic Risk Exposure from Banks and GSEs Under Alternative Approaches to Capital Regulation In: The Journal of Real Estate Finance and Economics.
[Full Text][Citation analysis]		article3
2005Insurers are not Banks: Assessing Liquidity, Efficiency and Solvency Risk Under Alternative Approaches to Capital Adequacy In: The Geneva Papers on Risk and Insurance - Issues and Practice.
[Full Text][Citation analysis]		article2
2005The IMF–World Bank Financial Sector Assessment Program: A View from the Inside In: World Scientific Book Chapters.
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