Kim, Young Shin; Račev, Svetlozar T.; Bianchi, Michele … - 2010
the failure of financial modeling. More specifically, current risk models have failed to properly assess the risks … models for forecasting financial market meltdowns. Then we set forth a framework capable of forecasting both extreme events … over prevailing models for evaluating stock market risk exposure during distressed market periods. -- ARMA-GARCH model ; α …