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Bootstrapping time-varying uncertainty intervals for extreme daily return periods

Makatjane, Katleho - In: International Journal of Financial Studies : open … 10 (2022) 1, pp. 1-23

This study aims to overcome the problem of dimensionality, accurate estimation, and forecasting Value-at-Risk (VaR) and … bulk distribution components. This implies that the combination of a stochastic econometric model with extreme value theory …

Persistent link: https://www.econbiz.de/10012804913

A comparison of tail behaviour of stock market returns

Echaust, Krzysztof - In: Folia oeconomica Stetinensia : FOS 14 (2014) 1, pp. 22-34

Persistent link: https://www.econbiz.de/10010518936

Measuring and testing tail dependence and contagion risk between Major stock markets

Su, Ender - In: Computational economics 50 (2017) 2, pp. 325-351

Persistent link: https://www.econbiz.de/10011762384

Semi-parametric method for estimating tail related risk measures in the stock market

Lee, Ho Jin - In: The Korean economic review 32 (2016) 2, pp. 295-329

Persistent link: https://www.econbiz.de/10011649371

Reexamining the likelihood of extreme returns in international stock market

Wang, Yun-Yi; Kao, Tzu-Chuan; Lin, Chu-Hsiung; Wei, Tsun-Jen - In: Investment management and financial innovations 12 (2015) 4, pp. 106-114

Persistent link: https://www.econbiz.de/10011575057

Predicting extreme daily regime shifts in financial time series exchange/Johannesburg stock exchange : all share index

Makatjane, Katleho; Moroke, Ntebogang Dinah - In: International Journal of Financial Studies : open … 9 (2021) 2, pp. 1-18

During the past decades, seasonal autoregressive integrated moving average (SARIMA) had become one of a prevalent linear models in time series and forecasting. Empirical research advocated that forecasting with non-linear models can be an encouraging alternative to traditional linear models....

Persistent link: https://www.econbiz.de/10012508859

Modelling tail behavior of returns using the generalized extreme value distribution

Makhwiting, Monnye Rhoda; Sigauke, Caston; Lesaoana, Maseka - In: Economics, management and financial markets 9 (2014) 1, pp. 41-52

Persistent link: https://www.econbiz.de/10011543664

Can volatility models explain extreme events?

Trapin, Luca - In: Journal of financial econometrics : official journal of … 16 (2018) 2, pp. 297-315

Persistent link: https://www.econbiz.de/10011987768

Measuring contagion risk in high volatility state among Taiwanese major banks

Su, Ender - In: Risk management : a journal of risk, crisis and disaster 20 (2018) 3, pp. 185-241

Persistent link: https://www.econbiz.de/10011885900

Idiosyncratic tail risk and expected stock returns : evidence from the Chinese stock markets

Long, Huaigang; Jiang, Yuexiang; Zhu, Yanjian - In: Finance research letters 24 (2018), pp. 129-136

Persistent link: https://www.econbiz.de/10011982519