Results 41 to 50 of about 50,421 (106)
Pacific Economic Review, Volume 31, Issue 4, Page 338-362, October 2026.ABSTRACT This study investigates the impact of China's recent real estate crisis, stemming from Evergrande's struggles, on the return and risk profiles of US‐listed exchange traded funds (ETFs) tracking Chinese stock market indexes. Analysing 26 funds from February 2, 2018 to December 31, 2024, we first employ a VAR model to assess contagion and ...
Gerasimos Rompotis +2 more
wiley +1 more source
Back-testing results following Bayesian GJR-GARCH(1,1) Student’s-t and Frank copula-EVT VaR models.
, 2018 Back-testing results following Bayesian GJR-GARCH(1,1) Student’s-t and Frank copula-EVT VaR models.
Haslifah M. Hasim (4839987) +2 more
core +1 more source
The Basel 2.5 capital regulatory framework and the COVID-19 crisis: evidence from the ethical investment market [PDF]
PSU Research ReviewPurpose – This research aims to evaluate the accuracy of several Value-at-Risk (VaR) approaches for determining the Minimum Capital Requirement (MCR) for Islamic stock markets during the pandemic health crisis. Design/methodology/approach – This research
Wassim Ben Ayed, Rim Ben Hassen
doaj +1 more source
Financial Time Series Uncertainty: A Review of Probabilistic AI Applications
Journal of Economic Surveys, Volume 40, Issue 2, Page 915-953, April 2026.ABSTRACT Probabilistic machine learning models offer a distinct advantage over traditional deterministic approaches by quantifying both epistemic uncertainty (stemming from limited data or model knowledge) and aleatoric uncertainty (due to inherent randomness in the data), along with full distributional forecasts.
Sivert Eggen +4 more
wiley +1 more source
Nonlinear Dependence Structure Between BRICS Stock Markets, Gold, and Cryptocurrencies
The Manchester School, Volume 94, Issue 1, Page 75-89, January 2026.ABSTRACT This study aims to conduct an in‐depth analysis of the complex nonlinear dependence relationships between cryptocurrencies and gold within the stocks of BRICS countries. The study employs a GARCH‐EVT‐Vine‐Copula and wavelet coherence models to evaluate the interconnectedness, tail risk and Co‐movement pattern of these assets before and after ...
Jiale Yan
wiley +1 more source
, 2022 This study compared the EVT and GARCH-EVT models to determine the most reliable model with regard to forecasting VaR during a crisis, specifically the Global Financial Crisis and the COVID-19 Pandemic. Hence, the paper analyzed the selected ASEAN indices’
Zapanta, Patricia Anne M. +3 more
core
Tail-risk-constrained portfolio optimization with cluster pre-selection and machine learning: risk-adjusted evidence from the S&P 500 [PDF]
Journal of Capital Markets StudiesPurposeStandard Gaussian risk frameworks underestimate extreme joint losses in large equity universes, exposing investors to unbudgeted drawdowns.
David Toscano, Juan C. Roca
doaj +1 more source
, 2018 Back-testing results following Bayesian MS-GJR-GARCH(1,1) Student’s-t and Frank copula-EVT VaR models.
Haslifah M. Hasim (4839987) +2 more
core +1 more source
Reliability: Theory & ApplicationsThis study uses Value-at-risk (VaR) and Expected Shortfall (ES) to determine if the availability of high-frequency data improves the accuracy of estimating severe market risk as compared to low-frequency data. The daily closing stock prices of the NIFTY
Nadia Sha, Hena M, Bitha S Mani
doaj +1 more source
Media Statistika, 2019 Stock is the most popular type of financial asset investment. Before buying a stock, an investor must estimate the risks which will be received. Value at Risk (VaR) is one of the methods that can be used to measure the level of risk.
Mutik Dian Prabaning Tyas +2 more
doaj +1 more source