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Measuring financial risk : comparison of alternative procedures to estimate VaR and ES [PDF]
, 2008 We review several procedures for estimating and backtesting two of the most important measures of risk, the Value at Risk (VaR) and the Expected Shortfall (ES). The alternative estimators differ in the way the specify and estimate the conditional mean
Nieto, María Rosa, Ruiz, Esther
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The Monetary Policy–Commodities Nexus: A Survey
Journal of Economic Surveys, EarlyView.ABSTRACT This survey synthesizes evidence on the bidirectional links between commodity markets and monetary policy. On the commodities‐to‐policy side, we review how shocks to energy, food, and metals pass through to inflation, inflation expectations, economic activity, and financial stability in state‐dependent ways that vary by shock type, exposure ...
Martin T. Bohl +2 more
wiley +1 more source
Dynamic Conditional Correlations for Asymmetric Processes [PDF]
The paper develops two Dynamic Conditional Correlation (DCC) models, namely the Wishart DCC (wDCC) model. The paper applies the wDCC approach to the exponential GARCH (EGARCH) and GJR models to propose asymmetric DCC models.
Manabu Asai, Michael McAleer
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Daily Tourist Arrivals, Exchange Rates and Volatility for Korea and Taiwan [PDF]
Both domestic and international tourism are a major source of service export receipts for many countries worldwide, and is also increasingly important in Taiwan. One of the three leading tourism source countries for Taiwan is the Republic of Korea, which
Chang, C-L., McAleer, M.J.
core +7 more sources
Mild explocivity, persistent homology and cryptocurrencies' bubbles: An empirical exercise
AIMS MathematicsAn empirical investigation was held regarding whether topological properties associated with point clouds formed by cryptocurrencies' prices could contain information on (locally) explosive dynamics of the processes involved.
Stelios Arvanitis , Michalis Detsis
doaj +1 more source
Business Review, 2022 This study examines the volatility transmission between the currency market and the stock market of Pakistan in the presence of structural breaks. For this purpose, daily data from the stock market and currency market is analyzed.
Muhammad Jamil , Hifsa Mobeen
doaj +1 more source
Robust CDF‐Filtering of a Location Parameter
Journal of Time Series Analysis, EarlyView.ABSTRACT This paper introduces a novel framework for designing robust filters associated with signal plus noise models having symmetric observation density. The filters are obtained by a recursion where the innovation term is a transform of the cumulative distribution function of the residuals.
Leopoldo Catania +2 more
wiley +1 more source
World Gold Price Forecast using APARCH, EGARCH and TGARCH Model
InPrime, 2020 Investment is a process of investing money for profit or material result. One investment commodity is gold. Gold is a precious metal in which the value tends to fluctuate over time.
Yanne Irene +2 more
doaj +1 more source
Information Flows, Stock Market Volatility and the Systemic Risk in Global Finance
International Journal of Finance &Economics, Volume 31, Issue 1, Page 151-173, January 2026.ABSTRACT Information flows are a theoretical explanation for stock market volatility, but controversy remains regarding how to measure them. Based on cross‐sectional and temporal properties of information flows, we decompose total trading volume into four types: cross‐country shocks and country‐specific shocks due to arrivals of private information ...
Yen‐Hsiao Chen +3 more
wiley +1 more source
Estimating Volatility and Investment Risk: An Empirical Case Study for NIFTY MIDCAP 50 Index of National Stock Exchange (NSE) in India [PDF]
Ovidius University Annals: Economic Sciences Series, 2021 This study evaluates performance of Indian index considering NIFTY MIDCAP 50 index daily series returns. Autoregressive model EGARCH forecasts the volatility predictability and empirically analyze volatility pattern considering daily returns from NIFTY ...
Ramona Birau +2 more
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