Results 51 to 60 of about 50,421 (106)
Improved VaR forecasts using extreme value theory with the Realized GARCH model
, 2017 Purpose This study aims to forecast daily value-at-risk (VaR) for international stock indices by using the conditional extreme value theory (EVT) with the Realized GARCH (RGARCH) model. The predictive ability of this Realized GARCH-EVT (RG-EVT) model is
Prateek Sharma, Samit Paul
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Journal of Economic and Financial Sciences, 2019 Orientation: Exchange market pressure (EMP) is the selling pressure of domestic currency or excess demand needed for foreign currency. Research purpose: The purpose of this study was to analyse EMP using extreme value theory (EVT) and to compare two ...
Pieter-Henk Boer +3 more
doaj +1 more source
EAI Endorsed Transactions on Energy WebINTRODUCTION: The increasing coupling between carbon emission trading and electricity markets creates significant joint risk challenging grid cost-effectiveness and stability. Existing approaches apply LSTM and Copula models separately, lacking a unified
Runxin Hua
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A Comparative Study of GARCH and EVT Model in Modeling Value-at-Risk [PDF]
, 2017 The paper addresses an inefficiency of the traditional approach in modeling the tail risk, particularly the 1-day ahead forecast of Value-at-Risk (VaR), using Extreme Value Theory (EVT) and GARCH model.
Li, Longqing
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Applying GARCH-EVT to estimate the portfolio's value at risk : the case of TSEC Taiwan 50 index
, 2014 碩士本研究運用Markowitz (1952) 的平均數-變異數模型(Mean-Variance Model)來對臺灣50指數成份股進行篩選，藉此建構最適投資組合。再利用變異數¬-共變異數法(Variance-Covariance Method)、CCC-GARCH、DCC-GARCH、EVT與McNeil and Frey (2000)提出的GARCH-EVT模型等五種方法，分別對次貸風暴發生前後兩段期間，評估所建構投資組合之風險值。接著以Gerlach et al.
翁銘志; Weng, Ming-Chih
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Estimación del VaR en índices bursátiles. Enfoque GARCH-EVT [PDF]
Treballs Finals del Màster de Ciències Actuarials i Financeres, Facultat d'Economia i Empresa, Universitat de Barcelona, Curs: 2024-2025, Tutor: Samer Ajour El ZeinEste trabajo evalúa la estimación del Valor en Riesgo (VaR) en los índices del S&P 500 y ...
Quiaro Liani, Andrés Eduardo
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Crisis, Value at Risk, and Conditional Extreme Value Theory via Garch-Jump Model
, 2010 This study develops a new conditional extreme value theory-based model (EVT) combined with the GARCH-Jump model to forecast extreme risks. This paper utilizes the GARCH-Jump model to asymmetrically feed back the past realization of jump innovation to the
Ze-To, S.
core
Picking Winners in Dhaka Stock Exchange Without Getting Tailed
Bhutan Journal of Business and ManagementA forecasting contest cannot identify the best tail-risk model if the specification favoured by the descriptive-fit comparison is never allowed to compete. This study examines a selection–evaluation gap and shows that including the omitted specification
Gourav Roy
doaj +1 more source
, 2018 POT parameter estimates, VaRq(Z) and following Bayesian MS-GJR-GARCH(1,1) Frank and Student’s-t copula-EVT models.
Haslifah M. Hasim (4839987) +2 more
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wmk21/EVT-D-statistics-comparison: EVT-D-statistics-comparison
, 2021 Full Changelog: https://github.com/wmk21/EVT-D-statistics-comparison/commits/EVT-D-statistics Python script to compare D statistics (Coles et al., 2001) among statistical models and plot the best model for each grid point. As input, it uses negative log-
wmk21
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