Results 21 to 30 of about 501 (170)
Value at Risk and Expected Shortfall Estimation for Mexico’s Isthmus Crude Oil Using Long-Memory GARCH-EVT Combined Approaches [PDF]
, 2023 Este artículo son los resultados del trabajo colegiado de algunos miembros del cuerpo académico de economía financiera e internacional.This paper estimates a variety of CGARCH and FIGARCH models with normal distribution to capture salient features of ...
Carvajal Gutiérrez, Lidia E. +2 more
core +1 more source
Tail Risk in the Chinese Vegetable Oil Market: Based on the EGAS‐EVT Model
Discrete Dynamics in Nature and Society, Volume 2022, Issue 1, 2022., 2022 This paper uses extreme value theory and exponential generalised autoregressive score models to estimate the tail extremes of financial return series. The peak‐over‐threshold method based on the generalised pareto distribution is combined with the EGAS models and the nonparametric quantile method is used to determine the thresholds in the POT method ...
Yueqiang Zhang +4 more
wiley +1 more source
Studying the effects of USING GARCH-EVT-COPULA METHOD TO ESTIMATE VALUE AT RISK OF PORTFOLIO [PDF]
Iranian Journal of Finance, 1999 Value at Risk (VaR) plays a central role in risk management. There are several approaches for the estimation of VaR, such as historical simulation, the variance-covariance and the Monte Carlo approaches. This work presents portfolio VaR using an approach
Ghodratollah Emamverdi
doaj +1 more source
Internet Financial Risk Model Evaluation and Control Decision Based on Big Data
Wireless Communications and Mobile Computing, Volume 2022, Issue 1, 2022., 2022 Internet finance is the application of advanced information technology to traditional finance. Internet finance is accelerating its growth, and its performance is most obvious in the financial market. The Internet financial reduces costs of traditional financial, which makes it more civilian. The unstable factors of Internet finance, such as regulation,
Liancheng Chen, Rong Jiang, Chia-Huei Wu
wiley +1 more source
THE VAR EVALUATION OF SHARIAH STOCK MARKET IN MALAYSIA DURING COVID-19 PANDEMIC BY USING CONDITIONAL EVT METHOD [PDF]
, 2023 In the current financial market, the Islamic stock market faced with a significant challenge to sustain and maintain its stability in intensified market volatility and unexpected extreme events.
Chin Wen Cheong +2 more
core +2 more sources
Discrete Dynamics in Nature and Society, Volume 2022, Issue 1, 2022., 2022 This study focuses on the volatility prediction and option volatility investment. By investigating the traditional Volatility Prediction Model and machine learning algorithms, this study tries to merge these two aspects together. This work setup a bridge of previous financial studies and machine learning studies by proposing an algorithm integrating ...
Yuanyang Teng +3 more
wiley +1 more source
Applied Sciences, 2022 Safety stock (SS) is an appropriate tactic to deal with demand and supply uncertainty with the aim of preventing inventory shortages. In the literature, previous work on SS estimation assumes that the forecast error distributions (FED) are independent ...
Mouna Derbel +2 more
doaj +1 more source
Assessing liquidity‐adjusted risk forecasts
Journal of Forecasting, Volume 40, Issue 7, Page 1179-1189, November 2021., 2021 Abstract In this paper, we provide a thorough study on the relevance of liquidity‐adjusted value‐at‐risk (LVaR) and expected shortfall (LES) forecasts. We measure additional liquidity of an asset via the difference between its respective bid and ask prices and we assess the non‐normality of bid–ask spreads, especially in turbulent market times.
Theo Berger, Christina Uffmann
wiley +1 more source
Estimating of value at risk and expected shortfall by using conditional extreme value approach in Tehran Securities Exchange [PDF]
تحقیقات مالی, 2016 This paper investigates the relative performance of Value-at-Risk (VaR) and expected shortfall (ES) models using daily overall index data from TSE for a period of 8 years from 2008 to 2016.
Alireza Saranj, Marziyeh Nourahmadii
doaj +1 more source
Spatially Inhomogeneous Evolutionary Games
Communications on Pure and Applied Mathematics, Volume 74, Issue 7, Page 1353-1402, July 2021., 2021 Abstract We introduce and study a mean‐field model for a system of spatially distributed players interacting through an evolutionary game driven by a replicator dynamics. Strategies evolve by a replicator dynamics influenced by the position and the interaction between different players and return a feedback on the velocity field guiding their motion ...
Luigi Ambrosio +3 more
wiley +1 more source