Results 121 to 130 of about 6,666 (205)

GFC-Robust Risk Management Strategies under the Basel Accord [PDF]

A risk management strategy is proposed as being robust to the Global Financial Crisis (GFC) by selecting a Value-at-Risk (VaR) forecast that combines the forecasts of different VaR models.
Juan-Ángel Jiménez-Martín, Michael McAleer, Teodosio Pérez-Amaral   +2 more
core  

Conditional Volatility and Correlations of Weekly Returns and the VaR Analysis of 2008 Stock Market Crash [PDF]

, 2010
Pesaran, MH
core   +1 more source

A generalized Dynamic Conditional Correlation Model for Portfolio Risk Evaluation [PDF]

We propose a generalization of the Dynamic Conditional Correlation multivariate GARCH model of Engle (2002) and of the Asymmetric Dynamic Conditional Correlation model of Cappiello et al. (2006).
Massimiliano Caporin, Monica Billio
core  

The effect of COVID-19 and U.S. monetary policy on Bitcoin and stock market volatility: an application of DCC-GARCH model

Humanities & Social Sciences Communications
During the COVID-19 pandemic and subsequent periods of US monetary policy normalization after quantitative easing during COVID-19, global financial markets have encountered elevated levels of volatility and risk.
Kamphol Panyagometh
doaj   +1 more source

Spillover of volatility among financial instruments: ASEAN-5 and GCC market study. [PDF]

PLoS One, 2023
Danila N.
europepmc   +1 more source

Evaluating Portfolio Value-at-Risk using Semi-Parametric GARCH Models [PDF]

In this paper we examine the usefulness of multivariate semi-parametric GARCH models for portfolio selection under a Value-at-Risk (VaR) constraint. First, we specify and estimate several alternative multivariate GARCH models for daily returns on the S ...
Jeroen VK Rombouts, Marno Verbeek
core  

Multivariate DCC-GARCH Model: -With Various Error Distributions

, 2009
In this thesis we have studied the DCC-GARCH model with Gaussian, Student's $t$ and skew Student's t-distributed errors. For a basic understanding of the GARCH model, the univariate GARCH and multivariate GARCH models in general were discussed before the DCC-GARCH model was considered.
openaire   +1 more source

Sensitivity analysis of volatility: a new tool for risk management [PDF]

The extension of GARCH models to the multivariate setting has been fraught with difficulties. In this paper, we suggest to work with univariate portfolio GARCH models.
Ceci, Vladimiro, Manganelli, Simone, Vecchiato, Walter   +2 more
core  

High and Low Frequency Correlations in Global Equity Markets [PDF]

This study models high and low frequency variation in global equity correlations using a comprehensive sample of 43 countries that includes developed and emerging markets, during the period 1995-2008.
José Gonzalo Rangel, Robert F. Engle
core