volatility index (VIX) via a nonparametric copula method. Specifically, we propose a conditional dependence index to investigate … that the nonparametric leverage effect is much stronger than the nonparametric volatility feedback effect, although, in …

index returns. The proposed models capture key stylized facts of such returns, namely heavy tails, asymmetry, volatility … asymmetric. Volatility is modeled parametrically. The new model is applied to the daily returns of the S\&P 500, FTSE 100, and … EUROSTOXX 50 indices and is compared to GARCH, Stochastic Volatility, and other Bayesian semi-parametric models …

apply extreme value theory (EVT) distributions to predict extreme losses of five South African (SA) financial times stock … better distribution than the generalized extreme value (GEV) in estimating extreme loses and that the computation of economic … capital using Glue-value-at-risk (VaR) is more conservative than using other risk measures under the GEV distribution. …