Results 151 to 160 of about 501 (170)

AR-GARCH-EVT-Copula for securitised real estate: an approach to improving risk forecasts?

Journal of Property Research, 2020
This study presents a quantitative analysis of the so-called AR-GARCH-EVT-Copula model aimed at forecasting risk metrics for multi-asset portfolios, including securitised real estate positions.
Carsten Fritz, Cay Oertel
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Portfolio optimization through hybrid deep learning and genetic algorithms vine Copula-GARCH-EVT-CVaR model

Technological Forecasting and Social Change, 2023
International audience ; This study investigates the potential benefits of using the Conditional Value at Risk (CVaR) portfolio optimization approach with a GARCH model, Extreme Value Theory (EVT), and Vine Copula to obtain the optimal allocation decision for a portfolio consisting of Bitcoin, gold, oil, and stock indices.
Bedoui, Rihab, Benkraiem, Ramzi, Guesmi, Khaled, Kedidi, Islem   +3 more
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ПРОГНОЗИРОВАНИЕ НА ДОЛГОСРОЧНОМ ПЕРИОДЕ ИНВЕСТИРОВАНИЯ С ИСПОЛЬЗОВАНИЕМ МОДЕЛИ GARCH-EVT-COPULA

2020
Данная работа посвящена моделированию инвестиционного портфеля пенсионных накоплений, а также прогнозированию доходностей портфеля при различных вариантах диверсификации на долгосрочном периоде инвестирования с использованием модели GARCH-EVT-COPULA.
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Black–Litterman portfolio optimization based on GARCH–EVT–Copula and LSTM models

Annals of Operations Research
zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Vu Huynh, Bao Quoc Ta
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Estimating Value-at-Risk and expected shortfall of metal commodities: Application of GARCH-EVT method

Journal of Risk Management in Financial Institutions, 2023
The metal markets have become extremely competitive and highly volatile due to financial globalisation. Therefore, in this study, the Value-at-Risk (VaR) and expected shortfall (ES) are estimated for the metal markets. A two-stage dynamic extreme value theory (EVT) method has been adopted along with the GARCH (1, 1) model to identify the pre-specified ...
Maaz Khan, Mrestyal Khan, Muhammad Irfan
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Value-at-Risk estimation of energy commodities: A long-memory GARCH–EVT approach

Energy Economics, 2015
Abstract In this paper, we evaluate Value-at-Risk (VaR) and expected shortfall (ES) for crude oil and gasoline market. We adopt three long-memory-models including, FIGARCH, HYGARCH and FIAPARCH to forecast energy commodity volatility by capturing some volatility stylized fact such as long-range memory, heteroscedasticity, asymmetry and fat-tails ...
Manel Youssef, Lotfi Belkacem, Khaled Mokni   +2 more
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Estimating the Portfolio Risk with Copula-GARCH-EVT Method: Empirical Study of Carbon Market

Advanced Materials Research, 2013
With the rapid growth of the carbon market, carbon price fluctuations are increasingly important for market participants. Carbon market risk directly affects the investor confidence and emission reduction results. In this paper we use Copula-GARCH-EVT model to calculate the Value-at-Risk of carbon futures via Monte Carlo method and demonstrate that ...
Ting Li, Zhi Gang Zhang, Lu Tao Zhao
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Garch-EVT Model

2015
In this study, wavelet based GARCH-Extreme Value Theory (EVT) is proposed to model financial return series to forecast daily value-at-risk. Wavelets based GARCH-EVT is hybrid model combining the wavelet analysis and EVT. Proposed model contains three stages.
ALTUN, Emrah, TATLİDİL, Hüseyin
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The application Copula-GARCH-EVT models in analyzing financial markets tail dependence of China

2010 International Conference on Financial Theory and Engineering, 2010
Dependence plays a central role in financial theory. Linear correlation is the appropriate measure of dependence if financial asset returns follow an elliptical distribution. However, experiences show that the volatility of a single asset return possesses the heteroscedasticity and clustering. Meanwhile, a distribution of financial asset return has fat-
Kang Meng-meng, Zhao Jia-zhang
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Efficacy of GARCH-EVT Model in Intraday Risk Management: Evidence from Severely Pandemic-affected Countries

Global Business Review, 2022
Countries around the world have experienced severe-to-moderate economic restrictions during the first two waves of COVID-19 pandemic. The present article captures the time frame of this unprecedented turmoil to test the efficacy of the conditional extreme value theory (EVT) model to forecast value at risk (VaR) and expected shortfall (ES). The article
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