Modeling Contagion of Financial Markets: A GARCH-EVT Copula Approach
Engineering Proceedings, 2023 To better assess the financial contagion through the VaR, several recent studies used copula models. In the same context, this paper addresses the inefficiency of the classical approach such as a normal distribution in modeling the tail risk, by using ...
Amine Amar, Okou Cyrille
exaly +3 more sources
Discrete Dynamics in Nature and Society, 2022 This paper aims to analyze and compare the ability of bitcoin, gold, and dollar to diversify the risk of traditional market such as crude oil and stock markets.
Feng Jin, Jingwei Li, Guangchen Li
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Value at Risk Estimation Using the GARCH-EVT Approach With Optimal Tail Selection
Mathematics, 2020 A conditional Extreme Value Theory (GARCH-EVT) approach is a two-stage hybrid method that combines a Generalized Autoregressive Conditional Heteroskedasticity (GARCH) filter with the Extreme Value Theory (EVT).
Malgorzata Just, Krzysztof Echaust
exaly +3 more sources
Volatility Modeling of Currency Returns: A Bayesian Multivariate GARCH-EVT Framework
Journal of Probability and StatisticsExchange rate volatility is widely recognized as a major driver of financial instability in emerging markets, driven by its complex dynamics, time-varying dependence structures, and the frequent occurrence of extreme events.
Jean De Dieu Ntawihebasenga +3 more
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Sensitivity Analysis of Two-Step Multinomial Backtests for Evaluating Value-at-Risk [PDF]
تحقیقات مالی, 2022 Objective: Nowadays, the measurement of the risk of the marketplace has a significant effect on investments; however, the inadequate evaluation of this risk will cause a financial crisis and possible bankruptcy.
Mohamad Ali Rastegar, Mehdi Hemati
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Forecasting gains by using extreme value theory with realised GARCH filter
IIMB Management Review, 2021 Early empirical evidence suggests that the realised generalised autoregressive conditional heteroskedasticity (GARCH) model provides significant forecasting gains over the standard GARCH models in volatility forecasting.
Samit Paul, Prateek Sharma
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ESTIMASI CVAR PADA PORTOFOLIO SAHAM MENGGUNAKAN METODE GJR-EVT DENGAN PENDEKATAN D-VINE COPULA
E-Jurnal Matematika, 2022 Risk measure using Conditional Value at Risk can be calculate if values that exceeds the p-quantile is known in VaR. The models used to accommodate characteristics of the stock portfolio in this research are EVT-GARCH-D-vine copula and EVT-GJR-D-vine ...
DERY MAULANA +2 more
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Comparison of EVT Approach with Other Methods of Measuring Market Risk (VAR) in the Context of the Backtesting and Kupiec Test: Implications for Market Risk Management of Financial Institutions [PDF]
فصلنامه پژوهشهای اقتصادی ایران, 2017 In recent years, by using extreme value theory (EVT), researchers have estimated the market risk for rare events (crises) more accurately. This paper examines the different methods of measuring market risk at different levels of reliability. According to
Reza Taleblou, mohammad mahdi davoudi
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Refining value-at-risk estimates using a Bayesian Markov-switching GJR-GARCH copula-EVT model. [PDF]
PLoS ONE, 2018 In this paper, we propose a model for forecasting Value-at-Risk (VaR) using a Bayesian Markov-switching GJR-GARCH(1,1) model with skewed Student's-t innovation, copula functions and extreme value theory.
Marius Galabe Sampid +2 more
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Application Extreme Value Theory and long-Memory to Stock Market in Iran (In Framework Model-GARCH) [PDF]
Journal of Asset Management and Financing, 2018 During last decades, financial markets have witnessed large losses due to their exposure to unexpected market crash. Resulting in these financial disasters, financial institutions, regulators and academics have developed intensive research to provide ...
Hassan Karnameh haghighi, Ali Rostami
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