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
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Empirical Research on VAR Model Based on GJR-GARCH, EVT and Copula [PDF]
Science Journal of Applied Mathematics and Statistics, 2015 In this paper, we establish GJR-GARCH models to extract the residuals of logarithmic returns of two index--- New York stock exchange composite index (NYA) and NASDAQ. and estimate the distribution function of the residuals utilizing Gaussian kernel method and Extreme Value Theory.
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CONDITIONAL VAR USING GARCH-EVT APPROACH WITH OPTIMAL TAIL SELECTION
Proceedings of the 10th Economics & Finance Conference, Rome, 2018 Accurate risk prediction plays a key role in effective risk management process. A conditional GARCH-EVT approach combines Extreme Value Theory and GARCH methodology and it allows us to estimate Value at Risk with high accuracy. The approach requires to pre-specify a threshold indicating distribution tails. In this paper we use an optimal tail selection
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Using Genetic Algorithms to Pick Stocks and Manage Portfolio in Technical Analysis System [PDF]
, 2016 在投资领域，如何高效地进行资产配置、获得高收益并控制风险是每个投资者进行投资决策时最为关注的问题，如何有效地选股和进行投资组合管理是一个广泛存在的难题。技术分析是主流的选股方法之一，是通过分析历史的市场数据如股价、成交量等，来预测股票未来的趋势的一种投资分析方法；遗传算法是模拟自然界物种进化的随机全局搜索最优解的算法，目前广泛应用于组合优化、机器学习、自适应控制、信号处理等领域；证券投资组合优化问题的实质就是有限的资产在具有不同风险收益特性的证券之间的优化配置问题 ...
王振华
core
Approximate uncertainty modeling in risk analysis with vine copulas [PDF]
, 2015 Many applications of risk analysis require us to jointly model multiple uncertain quantities. Bayesian networks and copulas are two common approaches to modelling joint uncertainties with probability distributions. This paper focuses on new methodologies
Bedford, Tim +2 more
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The Application of VaR Method Based on the MS-GARCH Model in Securities Asset Management Market [PDF]
, 2016 近几年来，我国券商资产管理业务取得了突飞猛进的发展，然而相应的风险管理学术研究较少。为了研究券商资管市场的风险管理VaR方法，本文选取股票型券商理财指数作为数据处理对象，假定模型的扰动项分别服从正态分布、t分布、广义误差分布、偏t分布、偏广义误差分布，采用单一状态GARCH族模型（GARCH模型、EGARCH模型、GJR-GARCH模型、APARCH模型）对数据进行建模。之后，文章在GARCH模型中引入马尔可夫状态转换过程，构建MS-GARCH模型 ...
何浩
core
Review of Recent Legacy Airline Mergers in the U.S.: An Empirical Study from Investors’ Perspectives [PDF]
, 2019 Since the 2008 financial crisis, three legacy airline mergers have dramatically reshaped the landscape of the U.S. airline industry. Due to the lengthy process involved in an airline merger, it is important to understand whether the investors view the ...
Flouris, Triant +2 more
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Tourism stocks in times of crises: An econometric investigation of non-macro factors [PDF]
, 2016 Following the recent terrorist attacks in Paris, the European media emphatically pronounced that billions of euros were wiped from tourism related stocks.
Lambertides, Neophytos +3 more
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Analisis Risiko Saham Subsektor Rumah Makan dan Ritel Pakaian & Tekstil di Bursa Efek Indonesia Menggunakan Conditional Value-at-Risk dengan Pendekatan ARMA-GARCH dan Extreme Value Theory [PDF]
SSaham merupakan salah satu aset finansial yang po-puler. Saham menunjukkan kepemilikan sebuah perusahaan terbuka oleh individu (ritel) maupun institusi yang cenderung memiliki risiko tinggi.
Ardhini, Laila, Prastyo, Dedy Dwi
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Violation duration as a better way of VaR model evaluation : evidence from Turkish market portfolio [PDF]
Financial crisis those we have been experienced during last two decades encouraged the efforts of both academicians and the market participants to develop clear representations of the risk exposure of a nancial institute.
Kilic, Ekrem
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