近幾年，風險值已經成為金融機構風險控管的重要工具。它的明確及簡單易懂是其讓人接受的原因，加上巴塞爾銀行監理委員會在1996提出的巴塞爾協定修正，規定銀行將市場風險因素納入考量，並允許銀行自行發展內部模型，以風險值模型衡量市場風險後，各種風險值的估算方法相繼被提出。 本篇論文是使用部分整合自回歸條件變異數（Fractional Integrated Generalized Autoregressive Conditional Heteroskedasticity，簡稱FIGARCH ...
吳秉宗
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Dynamic linkages and determinants of sovereign CDS and exchange rates: evidence from G7 and BRICS
Humanities & Social Sciences CommunicationsIn the wake of the COVID-19 pandemic, global public debt has escalated, further intensified by ongoing geopolitical tensions. This paper explores the dynamic relationship between sovereign credit risk and exchange rate fluctuations through the innovative
Min Su +3 more
doaj +1 more source
Application of FIGARCH and EWMA Models on Stock Indices PX and BUX [PDF]
Volatility of the financial time series belongs to the crucial estimated parameters in finance (e.g. in risk management, derivative pricing). It is well known, that volatility varies in time, so that new approaches of volatility modeling have appeared ...
Zdeněk Štolc
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Long Memory and FIGARCH Models for Daily and High Frequency Commodity Prices [PDF]
Daily futures returns on six important commodities are found to be well described as FIGARCH fractionally integrated volatility processes, with small departures from the martingale in mean property. The paper also analyzes several years of high frequency
Young-Wook Han +3 more
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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
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
Using ARFIMA and FIGARCH methods in Markowitz mean variance portfolio optimization: An application on ISE-30 index stocks [PDF]
, 2013 Finans yazınında, Markowitz ortalama varyans portföy optimizasyon modeli için bazı problemler söz konusudur. Bu problemlerden biri, optimizasyon hesaplamalarında kullanılan hisse senedi beklenen getirilerin nasıl belirleneceğidir.
Pekkaya, Mehmet, Albayrak, Ali Sait
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Pricing of futures Bitcoin price under fractional volatility
, 2023 boughabi h, qalli ye.
europepmc +1 more source
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