Results 61 to 70 of about 3,586 (227)
Using MGARCH to Estimate Value at Risk [PDF]
تحقیقات مالی, 2013 In this paper we compared multivariate GARCH models toestimate Value-at-Risk. We used a portfolio of weekly indexesincluding TEDPIX, KLSE, XU100 during ten years. To estimateValue-at-Risk, first we estimated CCC, DCC of Engle, DCC of Tseand Tsui, Dynamic
Mohammad Reza Rostami, Fatemeh Haqiqi
doaj +1 more source
Asia‐Pacific Economic History Review, Volume 65, Issue 1, Page 131-159, March 2025.Abstract This study examines the adaptive market hypothesis in the prewar and wartime Japanese stock market using a new market capitalization‐weighted price index. First, we find that the degree of market efficiency varies over time and with major historical events. This implies that the hypothesis is supported in this market.
Kenichi Hirayama, Akihiko Noda
wiley +1 more source
A multivariate generalized independent factor GARCH model with an application to financial stock returns [PDF]
, 2008 We propose a new multivariate factor GARCH model, the GICA-GARCH model , where the data are assumed to be generated by a set of independent components (ICs).
García-Ferrer, Antonio +2 more
core
Studying the effects of USING GARCH-EVT-COPULA METHOD TO ESTIMATE VALUE AT RISK OF PORTFOLIO [PDF]
Iranian Journal of Finance, 1999 Value at Risk (VaR) plays a central role in risk management. There are several approaches for the estimation of VaR, such as historical simulation, the variance-covariance and the Monte Carlo approaches. This work presents portfolio VaR using an approach
Ghodratollah Emamverdi
doaj +1 more source
Optimal Hedging Strategies in the Low‐Sulphur Bunker Fuel Landscape
European Financial Management, EarlyView.ABSTRACT The IMO2020 regulation for the green transition in shipping turned the industry into using two compliant bunker fuels: very low‐sulphur fuel oil (VLSFO) and low‐sulphur marine gas oil (LSMGO). VLSFO futures contracts introduced in late 2019 and other energy‐related futures contracts indicate that the VLSFO contracts trading on the Singapore ...
Xiwen Bai +2 more
wiley +1 more source
Optimizing the Model Investment Portfolios Based on Coherent Risk Measures under Conditions of Asymmetric Financial Market Volatility [PDF]
Problemi EkonomikiThis article is dedicated to the optimization of model investment portfolios by integrating asymmetric volatility forecasting using GJR-GARCH models, considering the minimization of Conditional Value at Risk (CVaR).
Manoilenko Oleksandr V. +2 more
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Another Look at the (Ir)Relevance of Long‐Run Risks for Equity Risk Premia
Journal of Money, Credit and Banking, EarlyView.Abstract I investigate the empirical asset pricing implications of a three‐factor macro model that extends the baseline consumption model Consumption Capital Asset Pricing Model (CCAPM) by adding the innovations in expected long‐run consumption growth (consumption growth news) and expected long‐run consumption variance (variance news) as risk factors ...
PAULO MAIO
wiley +1 more source
RisksWe introduce the Normalising Flow GARCH (NF-GARCH), a two-stage hybrid framework that enhances traditional GARCH models by replacing restrictive parametric innovation distributions with learned densities via normalising flows.
Abdullah Hassan +2 more
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Quantile Dependence between Foreign Exchange Market and Stock Market: The Case of Korea
East Asian Economic Review, 2016 This paper examines quantile dependence and directional predictability between the foreign exchange market and the stock market in Korea. Instead of adopting a multivariate model such as a vector autoregressive model, a multivariate GARCH model or a ...
Heejoon Han , Na Kyeong Lee
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A Conditional Tail Expectation Type Risk Measure for Time Series
Journal of Time Series Analysis, EarlyView.ABSTRACT We consider the estimation of the conditional expectation 𝔼(Xh|X0>UX(1/p)), provided 𝔼|X0|<∞, at extreme levels, where (Xt)t∈ℤ$$ {\left({X}_t\right)}_{t\in \mathbb{Z}} $$ is a strictly stationary time series, UX$$ {U}_X $$ its tail quantile function, h$$ h $$ is a positive integer and p∈(0,1)$$ p\in \left(0,1\right) $$ is such that p→0$$ p\to ...
Yuri Goegebeur +2 more
wiley +1 more source