Appropriate risk management is crucial to ensure the competitiveness of financial institutions and the stability of the economy. One widely used financial risk measure is Value-at-Risk (VaR). VaR estimates based on linear and parametric models can lead to biased results or even underestimation...

We develop a uniform test for detecting and dating explosive behavior of a strictly stationary GARCH(r, s) (generalized autoregressive conditional heteroskedasticity) process. Namely, we test the null hypothesis of a globally stable GARCH process with constant parameters against an alternative...

This work aims to investigate the (inter)relations of information arrival, news sentiment, volatilities and jump dynamics of intraday returns. Two parametric GARCH-type jump models which explicitly incorporate both news arrival and news sentiment variables are proposed, among which one assumes...

Common negative extreme variations in returns are prevalent in international equity markets. This has been widely documented with statistical tools such as exceedance correlation, extreme value theory, and Gaussian bivariate GARCH or regime-switching models. We point to limits of these tools to...