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A non-elliptical orthogonal GARCH model for portfolio selection under transaction costs
Paolella, Marc S.; Polak, Pawel; Walker, Patrick S. - In: Journal of banking & finance 125 (2021), pp. 1-20
Persistent link: https://www.econbiz.de/10012819586
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Estimating risk on the capital market with VaR method
Bogdan, Sinisa; Baresa, Suzana; Ivanovic, Zoran - In: UTMS journal of economics / University of Tourism and … 6 (2015) 1, pp. 165-175
The two basic questions that every investor tries to answer before investment are questions about predicting return and risk. Risk and return are generally considered two positively correlated sizes, during the growth of risk it is expected increase of return to compensate the higher risk. The...
Persistent link: https://www.econbiz.de/10011299237
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Efficient density estimation and value at risk using Fejér-type kernel functions
Kosta, Olga; Stepanova, Natalia - In: Journal of mathematical finance 5 (2015) 5, pp. 480-504
Persistent link: https://www.econbiz.de/10011440699
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Value-at-Risk-Schätzung mit Gauß'schen Mischverteilungen und künstlichen neuronalen Netzen
Prinzler, Ralf - 2001
Persistent link: https://www.econbiz.de/10001583953
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Single-index expectile models for estimating conditional value at risk and expected shortfall
Jiang, Rong; Hu, Xueping; Yu, Keming - In: Journal of financial econometrics 20 (2022) 2, pp. 345-366
Persistent link: https://www.econbiz.de/10013187986
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Extreme value statistics using related variables
Ahmed, Hanan - 2022
Persistent link: https://www.econbiz.de/10013263346
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Performance evaluation of the Bayesian and classical value at risk models with circuit breakers set up
Haddad, GholamReza Keshavarz; Heidari, Hadi - In: International journal of computational economics and … 10 (2020) 3, pp. 222-241
Persistent link: https://www.econbiz.de/10012271056
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Comparison of methods for estimating the uncertainty of value at risk?
Gamba Santamaría, Santiago; Jaulín Méndez, Oscar Fernando - 2016
Persistent link: https://www.econbiz.de/10011580566
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A Bayesian encompassing test using combined value-at-risk estimates
Tsiotas, Georgios - In: Quantitative finance 18 (2018) 3, pp. 395-417
Persistent link: https://www.econbiz.de/10011906387
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GARCH modelling of cryptocurrencies
Chu, Jeffrey; Chan, Stephen; Nadarajah, Saralees; … - In: Journal of risk and financial management : JRFM 10 (2017) 4, pp. 1-15
With the exception of Bitcoin, there appears to be little or no literature on GARCH modelling of cryptocurrencies. This paper provides the first GARCH modelling of the seven most popular cryptocurrencies. Twelve GARCH models are fitted to each cryptocurrency, and their fits are assessed in terms...
Persistent link: https://www.econbiz.de/10011854856