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Volatility timing in CPF investment funds in Singapore : do they outperform non-CPF funds?

Shen, Xiaoyi; Tsui, Albert K.; Zhang, Zhaoyong - In: Risks : open access journal 7 (2019) 4/106, pp. 1-16

will provide the CPF board with a new method for risk classification. We employ the GARCH models and modified factor models …

Persistent link: https://www.econbiz.de/10012127925

Empirical testing of models of autoregressive conditional heteroscedasticity used for prediction of the volatility of Bulgarian investment funds

Petrova, Mariana; Todorov, Teodor - In: Risks : open access journal 11 (2023) 11, pp. 1-30

investment decisions. The used risk attribution quantification models GARCH (1.1), EGARCH (1.1), GARCH-M (1.1) and TGARCH (1 … concentration of investment funds (in Bulgaria) through the testing of complex, analytical and specialized models from the GARCH … models GARCH, EGARCH, GARCH-M and TGARCH with specification (1.1). The research covers the net balance sheet value of forty …

Persistent link: https://www.econbiz.de/10014436423

Evaluating risk measures and capital allocations based on multi-losses driven by a heavy-tailed background risk : the multivariate Pareto-II model

Asimit, Alexandru V.; Vernic, Raluca; Zitikis, Riċardas - In: Risks : open access journal 1 (2013) 1, pp. 14-33

Evaluating risk measures, premiums, and capital allocation based on dependent multi-losses is a notoriously difficult task. In this paper, we demonstrate how this can be successfully accomplished when losses follow the multivariate Pareto distribution of the second kind, which is an attractive...

Persistent link: https://www.econbiz.de/10009754682

When the US stock market becomes extreme?

Aboura, Sofiane - In: Risks : open access journal 2 (2014) 2, pp. 211-225

Over the last three decades, the world economy has been facing stock market crashes, currency crisis, the dot-com and real estate bubble burst, credit crunch and banking panics. As a response, extreme value theory (EVT) provides a set of ready-made approaches to risk management analysis....

Persistent link: https://www.econbiz.de/10010399734

Tail dependence in financial markets : a dynamic copula approach

Cortese, Federico Pasquale - In: Risks : open access journal 7 (2019) 4/116, pp. 1-14

This article is concerned with the study of the tail correlation among equity indices by means of dynamic copula functions. The main idea is to consider the impact of the use of copula functions in the accuracy of the model´s parameters and in the computation of Value-at-Risk (VaR). Results...

Persistent link: https://www.econbiz.de/10012127765

Risk model validation : an intraday VaR and ES approach using the multiplicative component GARCH

Summinga-Sonagadu, Ravi; Narsoo, Jason - In: Risks : open access journal 7 (2019) 1/10, pp. 1-23

assess the competency of the Multiplicative Component Generalised Autoregressive Heteroskedasticity (MC-GARCH) models based … that non-normal distributions are best suited for both model fitting and forecasting. The MC-GARCH(1,1) model under the …’ knowledge) in: (1) forecasting the intraday Expected Shortfall (ES) under different distributional assumptions for the MC-GARCH …

Persistent link: https://www.econbiz.de/10012018629

A credit-risk valuation under the variance-gamma asset return

Ivanov, Roman V. - In: Risks : open access journal 6 (2018) 2, pp. 1-25

This paper considers risks of the investment portfolio, which consist of distributed mortgages and sold European call options. It is assumed that the stream of the credit payments could fall by a jump. The time of the jump is modeled by the exponential distribution. We suggest that the returns...

Persistent link: https://www.econbiz.de/10011867389

Formulating MCoVaR to quantify joint transmissions of systemic risk across crypto and non-crypto markets : a multivariate copula approach

Hakim, Arief; Syuhada, Khreshna - In: Risks : open access journal 11 (2023) 2, pp. 1-45

Evidence that cryptocurrencies exhibit speculative bubble behavior is well documented. This evidence could trigger global financial instability leading to systemic risk. It is therefore crucial to quantify systemic risk and investigate its transmission mechanism across crypto markets and other...

Persistent link: https://www.econbiz.de/10014234393