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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
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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
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Construction and backtesting of a multi-factor stress-scenario for the stock market
Boldyrev, Kirill; Andrianov, Dmitry; Ivliev, Sergey - In: Financial econometrics and empirical market microstructure, (pp. 37-45). 2015
Persistent link: https://www.econbiz.de/10011326724
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Risk-parameter estimation in volatility models
Francq, Christian; Zakoïan, Jean-Michel - In: Journal of econometrics 184 (2015) 1, pp. 158-173
Persistent link: https://www.econbiz.de/10011326796
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GARCH models, tail indexes and error distributions : an empirical investigation
Šopov, Boril; Horváth, Roman - 2015
heteroskedasticity (GARCH) models capture extreme events in stock market returns. We estimate Hill's tail indexes for individual S&P 500 … stock market returns ranging from 1995-2014 and compare these to the tail indexes produced by simulating GARCH models. Our … results suggest that actual and simulated values differ greatly for GARCH models with normal conditional distributions, which …
Persistent link: https://www.econbiz.de/10010529886
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Tail-dependence in stock-return pairs
Fortin, Ines; Kuzmics, Christoph - 2002
employed in a bivariate GARCH model, where the joint distribution of the disturbances is split into its marginals and its …-dependent distribution. -- value-at-risk ; copula ; non-normal bivariate GARCH ; asymmetric dependence ; profile likelihood-ratio test …
Persistent link: https://www.econbiz.de/10009725481