A risk measurement study evaluating the impact of COVID-19 on China's financial market using the QR-SGED-EGARCH model. [PDF]
Ann Oper Res, 2023 Song M, Sui Z, Zhao X.
europepmc +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
MODELLING ENERGY MARKET VOLATILITY USING GARCH MODELS AND ESTIMATING VALUE-AT-RISK [PDF]
, 2019 Purpose: The study focused on modelling the volatility of energy markets spot prices using GARCH models and estimating Value-at-Risk. Methodology: The conditional heteroscedasticity models are used to model the volatility of gasoline and crude oil energy
Ngunyi, Antony +2 more
core +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
Tourism stocks in times of crises: An econometric investigation of unexpected non-macroeconomic factors [PDF]
, 2017 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
core +2 more sources
Joint extremes in precipitation and infectious disease in the USA: A bivariate POT study. [PDF]
One Health, 2023 Cai Z, Zhang Y, Li T, Chen Y, Ling C.
europepmc +1 more source
Quantitative modelling frontiers: a literature review on the evolution in financial and risk modelling after the financial crisis (2008-2019). [PDF]
SN Bus Econ, 2022 Vogl M.
europepmc +1 more source
Automatic Data Processing System of Constructing an Optimal Mean/Value-at-Risk Portfolio [PDF]
, 2019 We propose a computer-based automatic system of share prices processing for constructing an optimal mean/Valueat-Risk portfolio with mixed integer linear programming algorithm based on Benati - Rizzi method.
Belsner, Olga Alexandrovna +1 more
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