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We introduce a new hybrid approach to joint estimation of Value at Risk (VaR) and Expected Shortfall (ES) for high … lower cost in capital reserves. In ES estimation the hybrid model yields the smallest error statistics surpassing even the … ; extreme value theory ; bootstrapping …
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Recently, a body of academic literature has focused on the area of stable distributions and their application potential for improving our understanding of the risk of hedge funds. At the same time, research has sprung up that applies standard Bayesian methods to hedge fund evaluation. Little or...
Persistent link: https://www.econbiz.de/10008653564
Generalized Method of Moments (GMM) estimation procedure to cope with the documented difficulties of previous methodologies. We … foreign exchange markets. -- Random Lognormal cascades ; GMM estimation ; best linear forecasting ; volatility of financial …
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are analysed and insights from the theory of industrial organisation are given. Governments intervene in the market for …
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