penalised through higher capital charges. This paper investigates the performance of five popular volatility models that can be …

and realized volatility; (2) symmetry, asymmetry and leverage; (3) dynamic correlations and dynamic covariances; (4 …

, volatility spillovers from the Chinese stock market to economic neighbours, a detailed comparison of Value-at-Risk estimates, the …-at-risk with a duration-based POT method, and extreme market risk and extreme value theory. …

__Abstract__ The paper investigates the impact of jumps in forecasting co-volatility, accommodating leverage effects … positive definite. Using this approach we can disentangle the estimates of the integrated co-volatility matrix and jump … indicate that the co-jumps of two assets have a significant impact on future co-volatility, but that the impact is negligible …

VaR forecasts of a set of conditional volatility models. This risk management strategy is GFC-robust in the sense that …

robust forecast was based on the median of the point VaR forecasts of a set of conditional volatility models. In this paper …

This paper investigates the conditional correlations and volatility spillovers between crude oil returns and stock … empirical results from the VARMA-GARCH and VARMA-AGARCH models provide little evidence of volatility spillovers between the …