Results 161 to 170 of about 501 (170)
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Bitcoin, gold, oil and stock indices porfolio optimization using vine copula Garch-Evt-Cvarmodel
2020p.
Bouguerra, Amal, Bedoui Ben-Salem, Rihab
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Value-at-Risk Estimation of Carbon Spot Market Based on the Combined GARCH-EVT-VaR Model
Advanced Materials Research, 2014Based on the analysis of the dynamics of carbon price volatility, this article proposes to develop a combined extreme value theory and conditional variance based Value-at-Risk model (GARCH-EVT-VaR) for short-term risk measurement and estimation of the carbon spot market under the European Union Emission Trading Scheme (EU ETS).
Jing Jing Jiang, Bin Ye
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Applied Financial Economics, 2014
We propose a time-varying copula model to analyse the comovement between the Tunisian stock market and three stock markets: American, French and Moroccan. The model is implemented with a GJR- GARCH-EVT-Copula, which allows capturing nonlinear dependency, tails behaviour and offers significant advantages over econometric techniques in analysing the ...
A. Chebbi, A. Hedhli
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We propose a time-varying copula model to analyse the comovement between the Tunisian stock market and three stock markets: American, French and Moroccan. The model is implemented with a GJR- GARCH-EVT-Copula, which allows capturing nonlinear dependency, tails behaviour and offers significant advantages over econometric techniques in analysing the ...
A. Chebbi, A. Hedhli
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Estimating Portfolio Risk Using GARCH-EVT-Copula Model: An Empirical Study on Exchange Rate Market
2010This paper introduces GARCH-EVT-Copula model and applies it to study the portfolio risk of exchange rates. Multivariate Copulas including Gaussian Copula, t Copula and Clayton Copula were used to describe the structure and extend the analysis from bivariate to any n-dimension.
Zongrun Wang, Yanbo Jin, Yanju Zhou
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The Quarterly Review of Economics and Finance, 2017
Abstract The study investigates dependence structure and estimates portfolio risk on data from foreign exchange market in India. We specify both marginal models for the foreign exchange returns and a joint model for the dependence. We employ the AR-t-GARCH-EVT models for the marginal distribution of each of five currency returns series. For the joint
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Abstract The study investigates dependence structure and estimates portfolio risk on data from foreign exchange market in India. We specify both marginal models for the foreign exchange returns and a joint model for the dependence. We employ the AR-t-GARCH-EVT models for the marginal distribution of each of five currency returns series. For the joint
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AN ALGORITHM FOR CONDITIONAL EXTREME VALUE THEORY GARCH-EVT TECHNIQUE FOR ESTIMATING VALUE AT RISK
Extreme events in financial time series are characterized by their low probability yet high impact and they pose significant challenges in financial risk management. This study aims to model and forecast extreme events, with a particular emphasis on Value at Risk (VaR) estimation.K.M. Sakthivel, V. Nandhini
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Hedge Funds Portfolio Optimization Using Vine Copula-GARCH-EVT-CVaR Model
SSRN Electronic Journal, 2017Sameh Noiali, Rihab Bedoui
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Data-Driven Risk Measurement by SV-GARCH-EVT Model
2024 6th International Conference on Data-driven Optimization of Complex Systems (DOCS)Shi Bo, Minheng Xiao
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Proposing a portfolio optimization model based on the GARCH-EVT-Copula combined approach
2022Alishavandi, Abdullah +3 more
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Industry Systemic Risk Measurement Based on GARCH-EVT Method and Copula Function
Proceedings of the 5th International Conference on Economic Management and Model Engineering, ICEMME 2023, November 17–19, 2023, Beijing, ChinaJiaxuan Ding, Qianqian Wang, Minrui Chen
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