Results 51 to 60 of about 501 (170)
Estimation of Optimal Investment Portfolio Using Value at Risk (VaR) and Expected Shortfall (ES) Models: GARCH-EVT-Copula Approach [PDF]
Faslnāmah-i Pizhūhish/Nāmah-i Iqtisādī, 2018 In this paper, an optimal investment portfolio including securities of four sectors: financial, chemical, pharmaceutical and automotive is estimated. Various types of Copula models are used to study the structure of asset co-dependency.
Reza Taleblou, mohammad mahdi davoudi
doaj +1 more source
Mathematics, 2020 This paper analyzes the volatility dynamics in the financial markets of the (three) most powerful countries from a military perspective, namely, the U.S., Russia, and China, during the period 2015–2018 that corresponds to their intervention in the Syrian
Viviane Naimy +3 more
doaj +1 more source
, 2022 Conditional extreme value theory (EVT) methods promise enhanced forecasting of the extreme tail events that often dominate systemic risk. We present an improved two-tailed peaks-over-threshold (2T-POT) Hawkes model that is adapted for conditional ...
Greenwood, David +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
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
Extreme Risk Forecast for Quantitative Financial Risk Management [PDF]
, 2022 Value at Risk (VaR) is one of the key risk measures for quantitative financial risk management. VaR measures extreme risk, which has a small probability but a significant consequence to financial institutions.
Zhang, Lequn
core
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
Cogent Economics & FinanceThe aim of this paper is to assess whether the availability of high-frequency data enhances the accuracy of extreme market risk estimation in comparison to low-frequency data by using Value-at-risk (VaR) and Expected shortfall (ES).
Nor Azliana Aridi +2 more
doaj +1 more source
Quantitative Finance and Economics, 2019 This study employs several methods to simulate and construct the portfolio from stock indexes of the six Association of Southeast Asian Nations (ASEAN) markets during the period from January 2001 to December 2017, namely, time-varying Copulas; Glosten ...
Sang Phu Nguyen, Toan Luu Duc Huynh
doaj +1 more source
Modelling Short- and Long-Term Dependencies of Clustered High-Threshold Exceedances in Significant Wave Heights [PDF]
, 2021 The peaks-over-threshold (POT) method has a long tradition in modelling extremes in environmental variables. However, it has originally been introduced under the assumption of independently and identically distributed (iid) data. Since environmental data
Dissanayake, Pushpa +3 more
core +3 more sources