How Risky Is the Value at Risk? [PDF]
The recent financial crisis has raised numerous questions about the accuracy of value-at-risk (VaR) as a tool to quantify extreme losses. In this paper we present empirical evidence from assessing the out-of-sample performance and robustness of VaR ...
Roxana Chiriac, Winfried Pohlmeier
core
Estimation and Prediction of Commodity Returns Using Long Memory Volatility Models
RisksModelling the volatility of commodity prices and creating more reliable models for estimating and forecasting commodity price returns are crucial.
Kisswell Basira +4 more
doaj +1 more source
Rare earth and financial markets: Dynamics of return and volatility connectedness around the COVID-19 outbreak. [PDF]
Resour Policy, 2021 Song Y, Bouri E, Ghosh S, Kanjilal K.
europepmc +1 more source
Bivariate FIGARCH and Fractional Cointegration [PDF]
We consider the modelling of volatility on closely related markets. Univariate fractional volatility (FIGARCH) models are now standard, as are multivariate GARCH models. In this paper we adopt a combination of the two methodologies.
Celso Brunetti, Christopher L. Gilbert
core
Long memory in stock market volatility and the volatility-in-mean effect: the FIEGARCH-M model [PDF]
We extend the fractionally integrated exponential GARCH (FIEGARCH) model for daily stock return data with long memory in return volatility of Bollerslev and Mikkelsen (1996) by introducing a possible volatility-in-mean effect.
Bent Jesper Christensen +2 more
core
Volatility Dynamics in Foreign Exchange Rates: Further Evidence from the Malaysian Ringgit and Singapore Dollar [PDF]
Singapore dollar are analyzed in this paper. Our approach can simultaneously capture the empirical regularities of persistent and asymmetric effects in volatility and timevarying correlations of financial time series.
Albert K Tsui, Kin-Yip Ho
core
Pricing of futures Bitcoin price under fractional volatility
, 2023 boughabi h, qalli ye.
europepmc +1 more source
Multifractality: Theory and Evidence an Application to the French Stock Market [PDF]
This article presents the basics of multifractal modelling and shows the multifractal properties of the French Stock Market (CAC40). Monte Carlo simulations prove that the Multifractal Model of Asset Returns (MMAR) is a better model to replicate the ...
Jérôme Fillol
core
Co-movements and spillovers of oil and renewable firms under extreme conditions: New evidence from negative WTI prices during COVID-19. [PDF]
Energy Econ, 2020 Corbet S, Goodell JW, Günay S.
europepmc +1 more source
The nexus between black and digital gold: evidence from US markets. [PDF]
Ann Oper Res, 2021 Huynh TLD +4 more
europepmc +1 more source