Quantitative modelling frontiers: a literature review on the evolution in financial and risk modelling after the financial crisis (2008-2019). [PDF]
SN Bus Econ, 2022 Vogl M.
europepmc +1 more source
Actuarial Implication of Structural Changes in El Niño-Southern Oscillation Index Dynamics [PDF]
The influence of climate variability on agricultural production and financial risks faced by an individual or an institution has been the center of the public discussion in the recent years.
Chen, Shu-Ling
core +1 more source
Volatility modelling and accurate minimun capital risk requirements : a comparison among several approaches [PDF]
, 2007 In this paper we estimate, for several investment horizons, minimum capital risk requirements for short and long positions, using the unconditional distribution of three daily indexes futures returns and a set of GARCH-type and stochastic volatility ...
Grané, Aurea, Veiga, Helena
core +1 more source
Long Memory Features in Return and Volatility of the Malaysian Stock Market [PDF]
This study aims to investigate the existence of long memory in the Malaysian stock market utilizing daily stock price index from the period 1998:09 to 2009:12.
Mohammad Tariqul Islam Khan +1 more
core
The persistence of financial volatility after COVID-19. [PDF]
Financ Res Lett, 2022 Vera-Valdés JE.
europepmc +1 more source
Multifractality of Deutschemark/US Dollar Exchange Rates [PDF]
This paper presents the first empirical investigation of the Multifractal Model of Asset Returns ("MMAR"). The MMAR, developed in Mandelbrot, Fisher, and Calvet (1997), is an alternative to ARCH-type representations for modelling temporal heterogeneity ...
Adlai Fisher +2 more
core
The fine-structure of volatility feedback I: multi-scale self-reflexivity
, 2013 We attempt to unveil the fine structure of volatility feedback effects in the context of general quadratic autoregressive (QARCH) models, which assume that today's volatility can be expressed as a general quadratic form of the past daily returns.
Akaike +51 more
core +3 more sources
Do Chinese stock markets share common information arrival processes? [PDF]
According to the Mixture of Distributions Hypothesis (MDH), returns volatility and trading volume are driven by a common news arrival variable. Consequently, these two variables should be correlated. This paper extends, and to some extent, globalises the
Philip Kostov +2 more
core
Filtered Extreme Value Theory for Value-At-Risk Estimation [PDF]
Extreme returns in stock returns need to be captured for a successful risk management function to estimate unexpected loss in portfolio. Traditional value-at-risk models based on parametric models are not able to capture the extremes in emerging markets ...
Cifter, Atilla +2 more
core +1 more source
Short-term effect of COVID-19 pandemic on cryptocurrency markets: A DCC-GARCH model analysis. [PDF]
Heliyon, 2023 Ben-Ahmed K, Theiri S, Kasraoui N.
europepmc +1 more source