Results 71 to 80 of about 50,421 (106)
, 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 MS-GJR-GARCH(1,1) Frank copula EVT VaR model.
Haslifah M. Hasim (4839987) +2 more
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Global Uncertainty and Tail Risk in Indonesia’s Islamic and Conventional Equity Markets
AMAR (Andalas Management Review)Is the Indonesian Islamic stock market more resilient to extreme risks compared to conventional markets when global uncertainty increases? Using daily data from the Jakarta Islamic Index (JKII) and the Jakarta Stock Exchange Composite Index (JKSE), we ...
Arie Sukma
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) Frank copula EVT VaR model.
Haslifah M. Hasim (4839987) +2 more
core +1 more source
ECONOMICSThis study investigates the impact of geopolitical conflict, specifically the Iran–Israel tension, on the volatility and extreme risk of stock markets in six indirectly involved countries: China, Russia, Turkey, the United States, the United Kingdom, and
Darmanto Darmanto +3 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 MS-GJR-GARCH(1,1) Student’s-t copula EVT VaR model.
Haslifah M. Hasim (4839987) +2 more
core +1 more source
Estimación del riesgo en un portafolio de activos
Apuntes del CENES, 2013 Este trabajo introduce el uso de la teoría de valor extremo (EVT) y cópulas para la estimación del valor en riesgo (VaR). Se considera como aplicación a un portafolio compuesto por tres activos representativos del mercado colombiano.
Luis Guillermo Díaz +2 more
doaj
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.
Refenes, Apostolos P. +2 more
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Estimation of Value at Risk : Extreme Value and Robust Approaches
Operations Research and Decisions, 2010 The large portfolios of traded assets held by many financial institutions have made the measurement of market risk a necessity. In practice, VaR measures are computed for several holding periods and confidence levels.
Grażyna Trzpiot, Justyna Majewska
doaj
Ketidakpastian ekonomi dan tingginya volatilitas pasar komoditas menuntut pengelolaan risiko investasi dana pensiun yang lebih akurat. Penelitian ini bertujuan untuk mengukur risiko dan menentukan portofolio optimal saham pertambangan LQ45 sebagai ...
Mahanani, Dyah Ayu
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Long memory with Markov-Switching GARCH [PDF]
The paper considers the Markov-Switching GARCH(1,1)-model with time-varying transition probabilities. It derives su?cient conditions for the square of the process to display long memory and provides some additional intuition for the empirical observation
Krämer, Walter
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