't forecast these hazards. Consequently, we witness a growing interest in coherent risk measures, sensitive to high moments and …In 2008, the S&P500 aggregated a loss of 30.16% during three selected days. Unfortunately, benchmark risk measures didn … heavy tail risk. Such measures were proposed by Aumann-Serrano (2007) and Foster-Hart (2008). As a generalization of these …

turmoil with an analysis of geopolitical risk. We find that gold shows a unique behavior among all precious metals with a … increase in gold return volatility due to geopolitical risks and geopolitical risk is not captured by the stock market …

coefficients to depend on idiosyncratic stock information and overall changing market conditions. We observe superior risk … forecasting performance of the HAR forest across multiple forecast horizons and across 186 S&P 500 constituents. This leads to … significantly higher utility for volatility managed portfolios. Superior forecast performance is especially pronounced for firms …

returns without ruling out normality. This contribution illustrates their usefulness in predicting the downside risk of …

The paper intends to measure the daily Value-at-Risk (VaR) for Rial-Euro exchange rate fluctuations risk. Since in this … case we deal with a single risk factor, so we will not use the Monte Carlo simulation method to measure the VaR and we will …, the obtained results are brought and compared with each other, and we draw conclusions using the obtained results. Value-at-Risk …

) approach to evaluating the hedging effectiveness of clean energy stocks. The out-of-sample forecast evaluations of the oil risk …-based and climate risk-based clean energy predictive models are explored using Clark and West's model (2007) and a modified … Diebold & Mariano forecast evaluation test for nested and non-nested models, respectively. Findings - The study finds ample …

the period 1972:1-2014:12 to forecasts our tail risk indicators with each model in pseudo-real time. Our key finding is …