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Predicting the tail behavior of financial times stock exchange/Johannesburg Stock Exchange (FTSE/JSE) closing banking indices : extreme value theory approach
Makatjane, Katleho; Moroke, Ntebogang Dinah; Munapo, Elias - In: Handbook of research on emerging theories, models, and …, (pp. 31-64). 2021
apply extreme value theory (EVT) distributions to predict extreme losses of five South African (SA) financial times stock … independently and identically distributed (i.i.d). It is therefore concluded that the generalized Pareto distribution (GPD) is a …
Persistent link: https://www.econbiz.de/10012604174
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Volatility modeling and Value-at-Risk (VaR) forecasting of emerging stock markets in the presence of long memory, asymmetry, and skewed heavy tails
Gencer, Hatice Gaye; Demiralay, Sercan - In: Emerging markets finance & trade : a journal of the … 52 (2016) 1/3, pp. 639-657
Persistent link: https://www.econbiz.de/10011562539
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Multifractal analysis of realized volatilities in Chinese stock market
Liu, Yufang; Zhang, Weiguo; Fu, Junhui; Wu, Xiang - In: Computational economics 56 (2020) 2, pp. 319-336
Persistent link: https://www.econbiz.de/10012272033
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Value at risk (VaR) analysis for fat tails and long memory in returns
Günay, Samet - In: Eurasian economic review : a journal in applied … 7 (2017) 2, pp. 215-230
Persistent link: https://www.econbiz.de/10011684346
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Dependence in credit default swap and equity markets : dynamic copula with Markov-switching
Fei, Fei; Fuertes, Ana María; Kalotychou, Elena - In: International journal of forecasting 33 (2017) 3, pp. 662-678
Persistent link: https://www.econbiz.de/10011746197
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Time-varying asymmetric tail dependence of international equities markets
Zhou, Chunyang; Qin, Xiao - In: Pacific-Basin finance journal 68 (2021), pp. 1-13
Persistent link: https://www.econbiz.de/10013332425
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The behaviour of stock returns under price limits, a truncated time series approach
Errais, Eymen; Albacha, Jawhar - In: American journal of finance and accounting 6 (2021) 3/4, pp. 223-251
Persistent link: https://www.econbiz.de/10012610836
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Risk estimation with a time-varying probability of zero returns
Sucarrat, Genaro; Grønneberg, Steffen - In: Journal of financial econometrics 20 (2022) 2, pp. 278-309
Persistent link: https://www.econbiz.de/10013187979
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Prediction of risk : decoding the serial dependence of stock return volatility with copula
Zhu, Liang; Lim, Christine; Zhang, Jianlun - In: Journal of hospitality & tourism research : JHTR ; the … 45 (2021) 1, pp. 6-27
Persistent link: https://www.econbiz.de/10012426080
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Predicting VaR for China's stock market : a score-driven model based on normal inverse Gaussian distribution
Song, Shijia; Li, Handong - In: International review of financial analysis 82 (2022), pp. 1-20
Persistent link: https://www.econbiz.de/10013426497