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Chabi-Yo, Fousseni; Huggenberger, Markus; Weigert, Florian - 2019 - This version: February 2019

This paper investigates whether multivariate crash risk is priced in the cross- section of expected stock returns. Motivated by a theoretical asset pricing model, we capture the multivariate crash risk of a stock by a combined measure based on its expected shortfall and its multivariate lower...

Persistent link: https://www.econbiz.de/10011993538

Multivariate crash risk

Chabi-Yo, Fousseni; Huggenberger, Markus; Weigert, Florian - 2021 - This version: May 21, 2021

This paper investigates whether multivariate crash risk (MCRASH), defined as exposure to extreme realizations of multiple systematic factors, is priced in the cross-section of expected stock returns. We derive an extended linear model with a positive premium for MCRASH and we empirically confirm...

Persistent link: https://www.econbiz.de/10012585546

The Limitations of the Value at Risk (VaR) Model in Portfolio Volatility Evaluation; Pitfalls and Mitigations

Lawal, Solomon - 2022

Determining multiple assets’ portfolio volatility using the VaR model has proven to have so many pitfalls; once the … expected volatility to compute the amended VaR. While executing the adjusted VaR using this introduced optimization method, it …

Persistent link: https://www.econbiz.de/10013406039

Forecasting the Risk of Speculative Assets by Means of Copula Distributions

Beckers, Benjamin - 2013

The GARCH(1,1) model and its extensions have become a standard econometric tool for modeling volatility dynamics of …

Persistent link: https://www.econbiz.de/10013084434

Forecasting the risk of speculative assets by means of copula distributions

Beckers, Benjamin; Herwartz, Helmut; Seidel, Moritz - 2013

The GARCH(1,1) model and its extensions have become a standard econometric tool for modeling volatility dynamics of …

Persistent link: https://www.econbiz.de/10009723920

Risk spillovers in international equity portfolios

Bonato, Matteo; Caporin, Massimiliano; Ranaldo, Angelo - 2012

assets. Building on this idea, we propose the use of a highly flexible and tractable model to forecast the volatility of an …

Persistent link: https://www.econbiz.de/10010407672

A g-and-h Copula Approach to Risk Measurement in Multivariate Financial Models

Huggenberger, Markus - 2010

We propose and backtest a multivariate Value-at-Risk model for financial returns based on Tukey's g-and-h distribution. This distributional assumption is especially useful if (conditional) asymmetries as well as heavy tails have to be considered and fast random sampling is of importance. To...

Persistent link: https://www.econbiz.de/10013138164

Multivariate Backtests and Copulas for Risk Evaluation

David, Boris; Zumbach, Gilles O. - 2022

long-memory ARCH volatility model is used …

Persistent link: https://www.econbiz.de/10013405681

Stylized facts, volatility dynamics and risk measures of cryptocurrencies

Bruzgė, Rasa; Černevičienė, Jurgita; … - In: Journal of business economics and management 24 (2023) 3, pp. 527-550

This study explores the stylized facts, volatility clustering, other highly irregular behaviour, and risk measures of … there was confirmed existence of volatility clusters when high volatility periods are followed by low volatility periods … expect in the worst case scenario. Our results confirm the existence of predictability, volatility clustering, and …

Persistent link: https://www.econbiz.de/10014420375

A Multivariate Approach for the Simultaneous Modelling of Market Risk and Credit Risk for Cryptocurrencies

Fantazzini, Dean - 2019

-form formulas in case of normally distributed errors are also developed using recent results from barrier option theory. A …

Persistent link: https://www.econbiz.de/10012863029