can be used in risk measurement and forecasting. Value at risk (VaR) is a widely used measure of financial risk, which … series analysis conducted and led to the forecasting of the returns. It was noted that these methods could not be used in … relation of assets with each other. Furthermore, we also examined the environment as a whole, then applied forecasting models …

evaluation of the methodological and empirical advances in the measurement of the extreme market risk. This paper argues that a …

under the Basel Accord: A Bayesian approach to forecasting value-at-risk of VIX futures, fast clustering of GARCH processes … dynamics of BRICS's country risk ratings and domestic stock markets, U.S. stock market and oil price, forecasting value …

of volatility risk in stock and index returns, where we characterize volatility risk by the extent to which forecasting …