This study aims to overcome the problem of dimensionality, accurate estimation, and forecasting Value-at-Risk (VaR) and …

In this paper, we argue that certain recent findings concerning the predictive ability of tail risk exposure, defined … related to biases in the estimation procedure of the tail dependence coefficient (TDC) computed based on the joint behavior of … between crash risk exposure and future excess returns. We proceed to show that these results do not hold when we control for …

Risk estimation or volatility estimation at financial markets, particularly stock exchange markets, is complex issue of … pricing of stocks and better risk management. The aim of this research is to test applicability of simple models like Simple … Moving Average (SMA) and Exponentially Weighted Moving Average (EWMA) to estimate risk. The performance of SMA and EWMA with …