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The Role of High-Frequency Prices, Long Memory and Jumps for Value-at-Risk Prediction

Fuertes, Ana-Maria - 2012

individual VaR rejections and a block-bootstrap unconditional coverage test that is robust to estimation uncertainty and model …

Persistent link: https://www.econbiz.de/10013105936

Forecasting expected shortfall : should we use a multivariate model for stock market factors?

Fortin, Alain-Philippe; Simonato, Jean-Guy; Dionne, Georges - In: International journal of forecasting 39 (2023) 1, pp. 314-331

Persistent link: https://www.econbiz.de/10014462782

Backtesting of value at risk methodology : analysis of banking shares in India

Patra, Biswajit; Padhi, Puja - In: Margin: the journal of applied economic research 9 (2015) 3, pp. 254-277

Persistent link: https://www.econbiz.de/10011400407

Forecasting the impact of information security breaches on stock market returns and VaR backtest

Colivicchi, Ilaria; Vignaroli, Riccardo - In: Journal of mathematical finance 9 (2019) 3, pp. 402-454

Persistent link: https://www.econbiz.de/10012210337

Price index modeling and risk prediction of sharia stocks in Indonesia

Hersugondo; Ghozali, Imam; Handriani, Eka; Trimono, Trimono - In: Economies : open access journal 10 (2022) 1, pp. 1-13

This study aimed to predict the JKII (Jakarta Islamic Index) price as a price index of sharia stocks and predict the loss risk. This study uses geometric Brownian motion (GBM) and Value at Risk (VaR; with the Monte Carlo Simulation approach) on the daily closing price of JKII from 1 August...

Persistent link: https://www.econbiz.de/10012800645