This investigation proposes a composite Simpson's rule, a numerical integral method, for estimating quantiles on the skewed generalized error distribution (SGED). Daily spot prices of S&P500 and Dow-Jones stock indices are used as data to examine the one-day-ahead VaR (Value at Risk) forecasting...

This study blends the simplicity and empirical success of univariate GARCH processes with an easy to estimate and interpret dynamic correlation estimator. A two step estimator and a simple test are employed to verify the null of constant correlation against an alternative of dynamic conditional...