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Assessing the risk characteristics of the cryptocurrency market: A GARCH-EVT-Copula approach
Bruhn, Pascal; Ernst, Dietmar - In: Journal of Risk and Financial Management 15 (2022) 8, pp. 1-28
Theory. We utilise the GARCH-EVT approach in combination with a novel algorithm to automatically determine the optimal …
Persistent link: https://www.econbiz.de/10014332547
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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 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/10013201021
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Can bitcoin replace gold in an investment portfolio?
Henriques, Irene; Sadorsky, Perry A. - In: Journal of Risk and Financial Management 11 (2018) 3, pp. 1-19
several different multivariate GARCH models (dynamic conditional correlation (DCC), asymmetric DCC (ADCC), generalized … orthogonal GARCH (GO-GARCH)) to estimate minimum variance equity portfolios. Both long and short portfolios are considered. An …
Persistent link: https://www.econbiz.de/10012611022
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Neural network predictive modeling on dynamic portfolio management: A simulation-based portfolio optimization approach
Yu, Jiayang; Chang, Kuo-Chu - In: Journal of Risk and Financial Management 13 (2020) 11, pp. 1-23
-based Predictive Model (EFPM). Then, we combine it with the Copula-GARCH simulation model and the Mean-Conditional Value at Risk (Mean …
Persistent link: https://www.econbiz.de/10012611483
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Analysis of a global futures trend-following strategy
Nokes, Derek; Fulton, Lawrence - In: Journal of Risk and Financial Management 12 (2019) 3, pp. 1-18
Systematic traders employ algorithmic strategies to manage their investments. As a result of the deterministic nature of such strategies, it is possible to determine their exact responses to any conceivable set of market conditions. Consequently, sensitivity analysis can be conducted to...
Persistent link: https://www.econbiz.de/10012611182
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Impact of COVID-19, political, and financial events on the performance of commercial banking sector
Ghouse, Ghulam; Bhatti, Muhammad Ishaq; Shahid, … - In: Journal of Risk and Financial Management 15 (2022) 4, pp. 1-18
the GARCH model, which explains the current financial and political distress for the case of shocks from COVID-19. We …
Persistent link: https://www.econbiz.de/10014332387
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Do ESG Ratings Reduce the Asymmetry Behavior in Volatility?
Zarafat, Hashem; Liebhardt, Sascha; Eratalay, Mustafa Hakan - In: Journal of Risk and Financial Management 15 (2022) 8, pp. 1-32
apply autoregressive moving average models for the conditional means and GARCH and stochastic volatility models for the …
Persistent link: https://www.econbiz.de/10014332521
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Price stability properties and volatility analysis of precious metals: An ICSS algorithm aqpproach
Fatima, Sameen; Gan, Christopher; Hu, Baiding - In: Journal of Risk and Financial Management 15 (2022) 10, pp. 1-15
market stock performances, we use the ICSS algorithm along with the GARCH model to evaluate how the number of rapid changes …
Persistent link: https://www.econbiz.de/10014332664
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The governance and disclosure of IFRS 9 economic scenarios
Stander, Yolanda S. - In: Journal of Risk and Financial Management 16 (2023) 1, pp. 1-27
Extraordinary economic conditions during the COVID-19 pandemic caused many IFRS 9 impairment models to produce unreliable results. Severe market reactions, resulting from unprecedented events, prompted swift action from the regulatory authorities to maintain the financial system's stability....
Persistent link: https://www.econbiz.de/10014332822
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COVID-19 pandemic & financial market volatility: Evidence from GARCH models
Khan, Maaz; Kayani, Umar Nawaz; Khan, Mrestyal; Mughal, … - In: Journal of Risk and Financial Management 16 (2023) 1, pp. 1-20
-19 pandemic. We applied the GARCH (1, 1), GJR-GARCH (1, 1), and EGARCH (1, 1) econometric models on the daily time series … and for the whole period, each GARCH family evenly models the volatile behavior of the six financial markets. This study …
Persistent link: https://www.econbiz.de/10014332825