Results 61 to 70 of about 13,792,513 (203)
Expected Shortfall based on Adaptive FIGARCH model [PDF]
, 2014 在风险管理领域，在险价值（VAR）是最常见的风险度量方法之一。在险价值（VAR）指的是在一定时期内，对一个固定概率而言的预期最大损失值。与常见的在险价值（VAR）方法相比，期望损失法（ES）和有条件的在险价值法（CVAR）更常被采用，这是因为它们估计了超过在险价值时的预期损失。本文介绍了基于适应性FIGARCH模型的期望损失，该模型比FIGARCH模型更能准确的估计波动率。 在后验测试中，我们采用了国际市场数据，对其进行Kupiec检验和百分之九十五和百分之九十九置信区间下的动态分位数回归检验 ...
WIPHOB THANAKANCHOT
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Performance of the Multifractal Model of Asset Returns (MMAR): Evidence from Emerging Stock Markets
International Journal of Financial Studies, 2016 In this study, the performance of the Multifractal Model of Asset Returns (MMAR) was examined for stock index returns of four emerging markets. The MMAR, which takes into account stylized facts of financial time series, such as long memory, fat tails and
Samet Günay
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Previsão de value-at-risk e expected shortfall para mercados emergentes usando modelos FIGARCH [PDF]
, 2015 This paper compares the performance of long-memory models (FIGARCH) with short-memory models (GARCH) in forecasting volatility for calculating value-at-risk (VaR) and expected shortfall (ES) for multiple periods ahead for six emerging markets stock ...
De Moraes, Alex Sandro Monteiro +2 more
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Economies, 2019 The impact that oil market shocks have on stock markets of oil-related economies has several implications for both domestic and foreign investors. Thus, we investigate the role of the oil market in deriving the dynamic linkage between stock markets of ...
Manel Youssef, Khaled Mokni
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A hybrid ExpAR-FIGARCH-ANN model for time series forecasting
Journal of Statistical Sciences and Computational IntelligenceFinancial time series forecast is challenging due to nonlinear mean dynamics, volatility clustering, and long-memory effects. Traditional hybrid models such as Autoregressive Integrated Moving Average – Generalised Autoregressive Conditional Heteroscedasticity (ARIMA–GARCH) and Fractional Generalised Integrated Autoregressive Conditional ...
Abba Bello Muhammad +5 more
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Long term hedging of the Australian All Ordinaries Index using a bivariate error correction FIGARCH model [PDF]
This article compares the performance of bivariate error correction GARCH and FIGARCH models when estimating long term dynamic minimum variance hedge ratios (MVHRs) on the Australian All Ordinaries Index.
Jonathan Dark
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Systemic Risk and Tail-Dependence Between Bitcoin and Selected Precious Metals [PDF]
Financial Markets, Institutions and RisksBitcoin and major precious metals are frequently discussed as hedges against equity drawdowns, inflation surprises, and policy uncertainty, which implicitly assumes a degree of functional equivalence in their risk behavior.
Keorapetse LEBALLO, Jules Clement MBA
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Commonality in the LME aluminium and copper volatility processes through a Figarch lens [PDF]
We consider dynamic representation of spot and three month aluminium and copper volatilities. These are the two most important metals traded in the London Metal Exchange (LME).
Christopher L. Gilbert +1 more
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On the Predictability of Green Finance Markets: An Assessment Based on Fractal and Shannon Entropy
Fractal and FractionalEconophysics is an interdisciplinary field that applies physics concepts to economic and financial systems. By utilizing tools such as statistical physics, including fractal analysis and entropy measures, econophysics helps model the complex and non ...
Sonia Benghiat, Salim Lahmiri
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East Asian Economic Review, 2014 This paper examines the effects of financial crises on the long memory volatility dependency of daily exchange returns focusing on the Asian crisis in 97-98 and the Global crisis in 08-09.
Young Wook Han
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