Results 41 to 50 of about 2,923 (211)
Financial Innovation, 2020 This study investigates the volatility in daily stock returns for Total Nigeria Plc using nine variants of GARCH models: sGARCH, girGARCH, eGARCH, iGARCH, aGARCH, TGARCH, NGARCH, NAGARCH, and AVGARCH along with value at risk estimation and backtesting ...
Ngozi G. Emenogu +2 more
doaj +1 more source
Backtesting and forecasting of risk measures [PDF]
, 2016 Das Basel Committee on Banking Supervision (BCBS) arbeitet an einer neuen Version der derzeitig gültigen Basel III Verordnung. Zukünftig soll bei der Berechnung des Kapitalerfordernisses für das Marktrisiko der Value at Risk durch ein anderes Risikomaß ...
Bauer, Birgit
core +1 more source
Wind Energy, Volume 29, Issue 8, August 2026.ABSTRACT Accurate, time‐resolved installed capacity data are crucial for forecasting and analysing wind‐power production. The time series of installed capacity is often only approximately known in regions with rapid wind power development. Public wind power databases may only be updated yearly and installation dates may not be differentiated within ...
Olle Viotti, Johan Arnqvist, Jon Olauson
wiley +1 more source
Mathematics, 2022 We assess Value-at-Risk (VaR) and Expected Shortfall (ES) estimates assuming different models for the standardized returns: distributions based on polynomial expansions such as Cornish-Fisher and Gram-Charlier, and well-known parametric densities such as
Brenda Castillo-Brais +2 more
doaj +1 more source
Engineering Reports, Volume 8, Issue 6, June 2026.This study introduces a rigorous, walk‐forward protocol to evaluate next‐day return and volatility‐proxy forecasting across matched model families. By enforcing fold‐isolated preprocessing and causal feature construction on US mega‐caps, the study eLectively mitigates performance inflation.
Abdul Kadar Muhammad Masum +5 more
wiley +1 more source
Journal of Accounting Research, Volume 64, Issue 3, Page 1375-1426, June 2026.ABSTRACT This paper provides descriptive evidence on how stock market participants use Generative Artificial Intelligence (GenAI) to process investment‐related information. Using a data set of 1.7 million stock‐related queries from one of China's largest GenAI platforms during the first half of 2024, we document that user queries address a wide range ...
FRANK ECKER, XITONG LI, YILAN LI, FAN WU
wiley +1 more source
Some Results on Foreign Equity Portfolio Risk Backtesting via Lévy Ordinary Copula Model [PDF]
Journal of Competitiveness, 2012 The soundness of risk monitoring and measuring systems is a key point for the reliability of financial institutions. One of the features of a reliable risk model is that it passes a backtesting procedure – a comparison of the one step ahead risk ...
Kresta Aleš, Tichý Tomáš
doaj
An Academic Response to Basel 3.5
Risks, 2014 Recent crises in the financial industry have shown weaknesses in the modeling of Risk-Weighted Assets (RWAs). Relatively minor model changes may lead to substantial changes in the RWA numbers.
Paul Embrechts +4 more
doaj +1 more source
Fish and Fisheries, Volume 27, Issue 3, Page 519-536, May 2026.ABSTRACT Rebuilding fish stocks to levels above which they produce Maximum Sustainable Yield (MSY) is a management aim for all European commercially exploited stocks. Progress is typically monitored against the fishing mortality that produces MSY in the long term (FMSY), however, the corresponding biomass target (BMSY) is rarely evaluated nor reported.
Henning Winker +5 more
wiley +1 more source
Backtesting the predictability of COVID-19
CoRR, 2020 The advent of the COVID-19 pandemic has instigated unprecedented changes in many countries around the globe, putting a significant burden on the health sectors, affecting the macro economic conditions, and altering social interactions amongst the population.
Dmitry Gordeev +4 more
openaire +2 more sources