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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

Risk of Bitcoin Market : Volatility, Jumps, and Forecasts

Hu, Junjie - 2020

as futures and options. Those will depend on the dynamics, volatility, or even the jumps of cryptos. In this paper, the … risk characteristics for Bitcoin are analyzed from a realized volatility dynamics view. The realized variance RV is …

Persistent link: https://www.econbiz.de/10012827656

Forecasting Bitcoin Risk Measures : A Robust Approach

Trucíos, Carlos - 2018

, we compare the predictability of the one-step-ahead volatility and Value-at-Risk of Bitcoin using several volatility … models. We also include procedures that take into account the presence of outliers and estimate the volatility and Value … volatility and estimating the Value-at-Risk. These results suggest that the presence of outliers play an important role in the …

Persistent link: https://www.econbiz.de/10012917666

Estimating Low Sampling Frequency Risk Measure by High-Frequency Data

Wesselhöfft, Niels - 2020

Weekly, quarterly and yearly risk measures are crucial for risk reporting according to Basel III and Solvency II. For the respective data frequencies, the authors show in a simulation and back-test study that available data series are not sufficient in order to estimate Value at Risk and...

Persistent link: https://www.econbiz.de/10012827639

Portfolio Return Prediction and Risk Price Heterogeneity

Taylor, Nicholas - 2023

A model of portfolio return dynamics is considered in which the price of risk is permitted to be heterogeneous. In doing this, a novel method is proposed that delivers improved out-of-sample forecasts of portfolio returns. The main innovation is the use of a set of predictors that account for...

Persistent link: https://www.econbiz.de/10014350699

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

Value at risk and returns of cryptocurrencies before and after the crash : long-run relations and fractional cointegration

Tan, Zhengxun; Huang, Yilong; Xiao, Binuo - In: Research in international business and finance 56 (2021), pp. 1-17

Persistent link: https://www.econbiz.de/10013266119

Jointly forecasting the value-at-risk and expected shortfall of Bitcoin with a regime-switching CAViaR model

Gao, Lingbo; Ye, Wuyi; Guo, Ranran - In: Finance research letters 48 (2022), pp. 1-10

Persistent link: https://www.econbiz.de/10013459321

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