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Bitcoin return volatility forecasting : a comparative study between GARCH and RNN

Shen, Ze; Wan, Qing; Leatham, David J. - In: Journal of risk and financial management : JRFM 14 (2021) 7, pp. 1-18

forecasting accuracy and risk management efficiency. The results demonstrate that the RNN outperforms GARCH and EWMA in average …

Persistent link: https://www.econbiz.de/10012626254

Oil price risk evaluation using a novel hybrid model based on time-varying long memory

Zhao, Lu-Tao; Liu, Kun; Duan, Xin-Lei; Li, Ming-Fang - In: Energy economics 81 (2019), pp. 70-78

Persistent link: https://www.econbiz.de/10012172659

Value-at-risk for South-East Asian stock markets : stochastic volatility vs. GARCH

Quang, Paul Bui; Klein, Tony; Nguyen Nam Hai; Walther, … - In: Journal of risk and financial management : JRFM 11 (2018) 2, pp. 1-20

markets. We use filtered historical simulations, GARCH models, and stochastic volatility models. The out-of-sample performance … models, we obtain better Value-at-Risk forecasts compared to GARCH. The quality varies over forecasting horizons and across …

Persistent link: https://www.econbiz.de/10011855291

Optimizing portfolio risk of cryptocurrencies using data-driven risk measures

Bowala, Sulalitha; Singh, Japjeet - In: Journal of risk and financial management : JRFM 15 (2022) 10, pp. 1-16

Portfolio risk management plays an important role in successful investments. Portfolio standard deviation, value-at-risk, expected shortfall, and maximum absolute deviation are widely used portfolio risk measures. However, the existing portfolio risk measures are vulnerable to larger skewness...

Persistent link: https://www.econbiz.de/10013471488

Forecasting crude oil price volatility and value-at-risk : evidence from historical and recent data

Lux, Thomas; Segnon, Mawuli; Gupta, Rangan - In: Energy economics 56 (2016), pp. 117-133

Persistent link: https://www.econbiz.de/10011663878

Value-at-Risk estimation of energy commodities : a long-memory GARCH-EVT approach

Youssef, Manel; Belkacem, Lotfi; Mokni, Khaled - In: Energy economics 51 (2015), pp. 99-110

Persistent link: https://www.econbiz.de/10011564809

Extreme risk spillovers between crude oil and stock markets

Du, Limin; He, Yanan - In: Energy economics 51 (2015), pp. 455-465

Persistent link: https://www.econbiz.de/10011564907

Dependence and extreme dependence of crude oil and natural gas prices with applications to risk management

Aloui, Riadh; Ben Aïssa, Mohamed Safouane; Hammoudeh, … - In: Energy economics 42 (2014), pp. 332-342

Persistent link: https://www.econbiz.de/10010503584

Tail risk of electricity futures

Peña Sánchez de Rivera, Juan Ignacio; Rodríguez, Rosa; … - In: Energy economics 91 (2020), pp. 1-16

Persistent link: https://www.econbiz.de/10012518716

Joint price and volumetric risk in wind power trading : a copula approach

Pircalabu, A.; Hvolby, T.; Jung, J.; Høg, E. - In: Energy economics 62 (2017), pp. 139-154

Persistent link: https://www.econbiz.de/10011748068

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