The goal of this study is to estimate the impact of cross-listing on stock returns, on liquidity, and on risk. A sample of 24 companies from the Gulf Cooperation Council countries which cross-listed their stocks in a foreign market over the period 2000–2010 were chosen for study. An event...

Risk management has attracted a great deal of attention, and Value at Risk (VaR) has emerged as a particularly popular and important measure for detecting the market risk of financial assets. The quantile regression method can generate VaR estimates without distributional assumptions; however,...

Teniendo en cuenta el nuevo esquema de multifondos en Colombia, perteneciente al Régimen de Ahorro Individual, se realizó un análisis mediante la aplicación de herramientas estocásticas y actuariales, con el fin de determinar el momento en el cual un agente (de acuerdo con sus...

Value at Risk (VaR) has been used as an important tool to measure the market risk under normal market. Usually the VaR of log returns is calculated by assuming a normal distribution. However, log returns are frequently found not normally distributed. This paper proposes the estimation approach...

Mean-Variance theory of portfolio construction is still regarded as the main building block of modern portfolio theory. However, many authors have suggested that the mean-variance criterion, conceived by Markowitz (1952), is not optimal for asset allocation, because the investor expected utility...

This paper analyzes weekly closing price data of the S&P 500 stock index and electrical insulation element lifetimes data based on generalized extreme value distribution. A new estimation method, modified maximum spacings (MSP) method, is proposed and obtained by using interior penalty function...

We analyze a sample of 64 oil and gas companies of the nonrenewable energy sector from 24 countries using daily observations on return on stock from July 15, 2003 to August 14, 2012.

This paper proposes a two-regime threshold model for the conditional distribution of stock returns in which returns follow a distinct skewed Student t distribution within each regime: the model allows capturing time variation in the conditional distribution of returns, as well as higher order...

We proposed a method to estimate extreme conditional quantiles by combining quantile GARCH model of Xiao and Koenker (2009) and extreme value theory (EVT) approach. We first estimate the latent volatility process using the information of intermediate quantiles. We then apply EVT to the tail...

This study derives the quantiles of the standardized generalized t (GT) in terms of a nonlinear equation which contains a regularized incomplete beta function. Then the quantiles are evaluated by utilizing Secant numerical approach to solve this nonlinear equation. Subsequently, the exponential...