Results 61 to 70 of about 50,421 (106)
Financial InnovationThe purpose of this study was to assess the dependence structure and volatility connectedness among the COVID-19 crisis, the 2022 Russia–Ukraine war, and their influence on cryptocurrencies, crude oil, developed markets, and the equity markets of China ...
Hongjun Zeng, Abdullahi D. Ahmed
doaj +1 more source
Forecasting Value-at-Risk with Novel Wavelet Based Garch-EVT Model
, 2016 In this study, wavelet based GARCH-Extreme Value Theory (EVT) is proposed to model financial return series to forecast daily value-at-risk. Wavelets based GARCH-EVT is hybrid model combining the wavelet analysis and EVT.
ALTUN, EMRAH, Tatlidil, Huseyin
core
, 2018 POT parameter estimates, VaRq(Z) and following Bayesian GJR-GARCH(1,1) Frank and Student’s-t copula-EVT models.
Haslifah M. Hasim (4839987) +2 more
core +1 more source
Applied GARCH-EVT-Copula model to estimate the VaR of exchange portfolio
, 2016 碩士本研究以APEC組織成員國中與台灣貿易頻繁的國家─中國、香港、新加坡、美國、日本、韓國等六國所組成的外匯投資組合為例，且資料區間考量中國第一次匯改政策時點，故取2005年7月21日起至2014年7月21日，共九年之資料；而研究方法本文有別於以往傳統定義報酬率尾部分配為常態的假設，而以GARCH、極端值理論、Copula函數所建立的GARCH-EVT-Copula非線性模型來衡量該投資組合的風險值。實證方面，建立等權重的投資組合，並且比較傳統VAR-COV模型與靜態、動態的GARCH-EVT ...
賴政宏;Lai, Cheng-Hung
core +1 more source
Explosive Price and Tail Risk in Asean-5 Islamic Equity Markets
Ekonomi SyariahThis study examines whether explosive prices are associated with extreme tail risk in Islamic equity markets across five ASEAN countries. Using the GSADF framework to identify explosive episodes and a GARCH–EVT approach to measure tail risk, it ...
Arie Sukma
doaj +1 more source
UEG Week 2024 Moderated Posters
United European Gastroenterology Journal, Volume 12, Issue S8, Page 201-664, October 2024.
wiley +1 more source
Measuring value-at-risk and expected shortfall of newer cryptocurrencies: new insights
Cogent Business & ManagementA significant amount of historical returns is needed for the generalized autoregressive conditional heteroscedasticity (GARCH) models to be calibrated.
Agoestina Mappadang +4 more
doaj +1 more source
, 2018 Forecasts daily VaR estimates and daily profit and loss (P&L) plots for an investment in a portfolio consisting of all banks following Bayesian GJR-GARCH(1,1) Student’s-t copula EVT VaR model.
Haslifah M. Hasim (4839987) +2 more
core +1 more source