Results 81 to 90 of about 50,421 (106)
Extreme Value Theory and Value at Risk : Application to Oil Market [PDF]
Recent increases in energy prices, especially oil prices, have become a principal concern for consumers, corporations, and governments. Most analysts believe that oil price fluctuations have considerable consequences on economic activity.
Abdelwahed Trabelsi +2 more
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ESTIMASI VALUE AT RISK (VaR) PADA PORTOFOLIO MENGGUNAKAN METODE GARCH-EVT-COPULA [PDF]
, 2018 Salah 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 korelasi
Subekti, Retno, Renggani, Puspa
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Extreme Value at Risk and Expected Shortfall during Financial Crisis [PDF]
This paper investigates Value at Risk and Expected Shortfall for CAC 40, S&P 500, Wheat and Crude Oil indexes during the 2008 financial crisis. We show an underestimation of the risk of loss for the unconditional VaR models as compared with the ...
D. Dupre +3 more
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Multimodality in the GARCH Regression Model [PDF]
Several aspects of GARCH(p,q) models that are relevant for empirical applications are investigated. In particular, it is noted that the inclusion of dummy variables as regressors can lead to multimodality in the GARCH likelihood.
Jurgen A. Doornik, Marius Ooms
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Regime switching GARCH models [PDF]
We develop univariate regime-switching GARCH (RS-GARCH) models wherein the conditional variance switches in time from one GARCH process to another. The switching is governed by a time-varying probability, specified as a function of past information.
Luc, BAUWENS +2 more
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Wake me up before you GO-GARCH [PDF]
In this paper we present a new three-step approach to the estimation of Generalized Orthogonal GARCH (GO-GARCH) models, as proposed by van der Weide (2002).
Boswijk, H.P., Weide, R. van der
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Symmetric Normal Mixture GARCH [PDF]
Normal mixture (NM) GARCH models are better able to account for leptokurtosis in financial data and offer a more intuitive and tractable framework for risk analysis and option pricing than student’s t-GARCH models.
Emese Lazar, Carol Alexandra
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A Comparison of EVT and Standard VaR Estimations
In this paper, Extreme value theory (EVT) is applied in estimating low quantiles of P/L distribution and the results are compared to common VaR methodologies.
Jiří Witzany, Jaroslav Baran
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Stress Testing Tail Risk in India: A Comparative Evaluation of EVT-Copula and Gaussian Models
This paper develops and validates a GARCH(1,1)-Extreme Value Theory (EVT)-Student-t Copula framework for three Indian asset classes, Nifty 50 (equities), Gold (INR), and USD/INR (currency),using 18 years of daily data spanning September 2007 to December ...
Divya Grover
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Technological Forecasting and Social Change, 2023 International audienceThis study investigates the potential benefits of using the Conditional Value at Risk (CVaR) portfolio optimization approach with a GARCH model, Extreme Value Theory (EVT), and Vine Copula to obtain the optimal allocation decision ...
Ramzi Benkraiem
exaly +2 more sources