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Volatility modeling of the JSE all share index and risk estimation using the Bayesian and frequentist approaches

Sigauke, Casto - In: Economics, management and financial markets 11 (2016) 4, pp. 33-48

Persistent link: https://www.econbiz.de/10011868092

Can bitcoin replace gold in an investment portfolio?

Henriques, Irene; Sadorsky, Perry A. - In: Journal of risk and financial management : JRFM 11 (2018) 3, pp. 1-19

several different multivariate GARCH models (dynamic conditional correlation (DCC), asymmetric DCC (ADCC), generalized … orthogonal GARCH (GO-GARCH)) to estimate minimum variance equity portfolios. Both long and short portfolios are considered. An …

Persistent link: https://www.econbiz.de/10011895634

The effectiveness of Value-at-Risk models in various volatility regimes

Schiffers, Aleksander; Chlebus, Marcin - 2021

Persistent link: https://www.econbiz.de/10012816709

Assessing the risk characteristics of the cryptocurrency market : a GARCH-EVT-Copula approach

Bruhn, Pascal; Ernst, Dietmar - In: Journal of risk and financial management : JRFM 15 (2022) 8, pp. 1-28

Theory. We utilise the GARCH-EVT approach in combination with a novel algorithm to automatically determine the optimal …

Persistent link: https://www.econbiz.de/10013380409

Forecasting risk with Markov-switching GARCH models : a large-scale performance study

Ardia, David; Bluteau, Keven; Boudt, Kris; Catania, Leopoldo - In: International journal of forecasting 34 (2018) 4, pp. 733-747

Persistent link: https://www.econbiz.de/10012031094

The importance of accurate risk modelling techniques for corporate ownders and managers : an application of distribution fitting to illiquid securities

O'Connell, Darren; O'Grady, Barry - In: Corporate ownership & control : international … 11 (2013/14) 2, pp. 8-20

Persistent link: https://www.econbiz.de/10011337224

Hull-White's value at risk model : case study of Baltic equities market

Radivojević, Nikola; Ćurčić, Nikola V.; … - In: Journal of business economics and management 18 (2017) 5, pp. 1023-1041

Persistent link: https://www.econbiz.de/10011781020

On the characteristics of dynamic correlations between asset pairs

Jacobs, Michael <Jr.>; Karagozoglu, Ahmet K. - In: Research in international business and finance 32 (2014), pp. 60-82

Persistent link: https://www.econbiz.de/10010434475

On the appraisal of LVaR throughout the close-out period : an investment management outlook from recent global financial crisis

Janabi, Mazin A. M. al - In: International journal of management practice : IJMP 6 (2013) 3, pp. 248-285

Persistent link: https://www.econbiz.de/10009790987

On the role of the estimation error in prediction of expected shortfall

Lönnbark, Carl - In: Journal of banking & finance 37 (2013) 3, pp. 847-853

Persistent link: https://www.econbiz.de/10009708735

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