Value-at-Risk estimation: A novel GARCH-EVT approach dealing with bias and heteroscedasticity [PDF]
, 2019 Open House, ISM in National Center of Sciences Building, 2019.6.05統計数理研究所オープンハウス（学術総合センター）、R1.6 ...
Gilles Stupfler +5 more
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Value at risk models in finance [PDF]
The main objective of this paper is to survey and evaluate the performance of the most popular univariate VaR methodologies, paying particular attention to their underlying assumptions and to their logical flaws.
Engle, Robert F., Manganelli, Simone
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Three essays on modeling energy prices with time-varying volatility and jumps [PDF]
, 2021 This thesis addresses the modeling of energy prices with time-varying volatility and jumps in three separate and self-contained papers: A. Modeling energy futures volatility through stochastic volatility processes with Markov chain Monte Carlo This ...
Fernandes, Mário Jorge Correia
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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
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Nonlinear Combination of Financial Forecast with Genetic Algorithm [PDF]
Complexity in the financial markets requires intelligent forecasting models for return volatility. In this paper, historical simulation, GARCH, GARCH with skewed student-t distribution and asymmetric normal mixture GRJ-GARCH models are combined with ...
Cifter, Atilla, Ozun, Alper
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Risk Measuring of Internet Financial Structural Products Based on Garch-EVT-Copula [PDF]
, 2017 Internet structured financial products quickly occupied the market, however, ordinary investors cannot identify its risks because of complex product design.
XIANG, Mengyun, ZHANG, Zhenyu
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Are realized volatility models good candidates for alternative Value at Risk prediction strategies? [PDF]
In this paper, we assess the Value at Risk (VaR) prediction accuracy and efficiency of six ARCH-type models, six realized volatility models and two GARCH models augmented with realized volatility regressors.
Louzis, Dimitrios P. +2 more
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Medidas de Riesgo, Características y Técnicas de Medición: Una Aplicación del VAR y el ES a la Tasa Interbancaria de Colombia [PDF]
En este documento se describen en detalle diversas metodologías que permiten calcular dos medidas utilizadas para cuantificar el riesgo de mercado asociado a un activo financiero: el valor en riesgo, VaR y el Expected Shortfall, ES.
Luis Fernando Melo Velandia +1 more
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A GARCH-EVT Framework for Premium Calculation under Heavy-Tailed Risks
Journal of Research in Applied MathematicsInsurance pricing under heavy-tailed risk models presents challenges due to extreme losses and market volatility. Traditional premium principles often fail to capture tail risks accurately, while Extreme Value Theory (EVT)- based approaches may lead to excessive pricing.
Manasi Goral Manasi Goral +1 more
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PENGUKURAN VALUE AT RISK (VaR) PADA PORTOFOLIO MENGGUNAKAN METODE GARCH-EVT-COPULA [PDF]
, 2018 AbstrakSalah satu metode analisis risiko yang populer adalah Value at Risk (VaR). Beberapa metode yang digunakan untuk menentukan VaR mengasumsikan bahwa return berdistribusi normal dan mengukur dependensi diantara saham-saham portofolio menggunakan ...
Retno Subekti, Puspa Renggani ,
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