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On the devolatised returns and dynamic conditional correlations GARCH modelling in selected European indices
Stavroyiannis, Stavros; Zarangas, Leonidas P. - In: Global business & economics review 17 (2015) 3, pp. 256-267
Persistent link: https://www.econbiz.de/10011498510
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Three regime bivariate normal distribution : a new estimation method for co-value-at-risk, CoVaR
Choi, Ji-Eun; Shin, Dong-wan - In: The European journal of finance 25 (2019) 18, pp. 1817-1833
Persistent link: https://www.econbiz.de/10012207151
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Financial crisis, Value-at-Risk forecasts and the puzzle of dependency modeling
Berger, Theo; Missong, Martin - In: International review of financial analysis 33 (2014), pp. 33-38
Persistent link: https://www.econbiz.de/10010520086
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Dynamic volatility transmission and portfolio management across major cryptocurrencies : evidence from hourly data
Mensi, Walid; Al-Yahyaee, Khamis Hamed; Al-Jarrah, … - In: The North American journal of economics and finance : a … 54 (2020), pp. 1-14
Persistent link: https://www.econbiz.de/10012665455
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Dependency modeling and value-at-risk forecasts for financial portfolios
Berger, Theo - 2013
Persistent link: https://www.econbiz.de/10013432837
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Hedging effectiveness of the hedged portfolio : the expected utility maximization subject to the value-at-risk approach
Chuang, Chung-Chu; Wang, Yi-Hsien; Yeh, Tsai-Jung; … - In: Applied economics 47 (2015) 19/21, pp. 2040-2052
Persistent link: https://www.econbiz.de/10010513350
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Mean univariate-GARCH VaR portfolio optimization : actual portfolio approach
Ranković, Vladimir; Drenovak, Mikica; Urosevic, Branko; … - 2016
Conditional Heteroscedasticity (GARCH) volatility model. The optimization was performed by employing a Nondominated Sorting … to those obtained from applying more customary mean-multivariate GARCH and historical VaR models. The results hold true …
Persistent link: https://www.econbiz.de/10011420698
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Forecasting VaR models under different volatility processes and distributions of return innovations
Dendramis, Yiannis; Spungin, Giles E.; Tzavalis, Elias - In: Journal of forecasting 33 (2014) 7, pp. 515-531
Persistent link: https://www.econbiz.de/10011282095
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Can the Lasota (1977)'s model compete with the Mackey-Glass (1977)'s model in nonlinear modelling of financial time series?
Hennani, Rachida - 2015
Persistent link: https://www.econbiz.de/10011300800
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Adaptive polar sampling with an application to a Bayes measure of value-at-risk
Bauwens, Luc; Bos, Charles S.; Dijk, Herman K. van - 1999
applied within a Bayesian analysisof a GARCH-mixture model which is used for the evaluation of theValue-at-Risk of the return …
Persistent link: https://www.econbiz.de/10011302625