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Value-at-risk for long and short trading positions : evidence from developed and emerging equity markets

Diamandis, Panayotis F.; Drakos, Anastassios A.; … - In: International review of financial analysis 20 (2011) 3, pp. 165-176

Persistent link: https://www.econbiz.de/10009295738

Forecasting value at risk and expected shortfall using high-frequency data of domestic and international stock markets

Wang, Man; Cheng, Yihan - In: Journal of forecasting 41 (2022) 8, pp. 1595-1607

Persistent link: https://www.econbiz.de/10013465725

Forecasting value at risk (VaR) for emerging and developed markets

Naimy, Viviane; Bou Zeidan, Melissa - In: Estudios de economía aplicada : revista promovida por … 37 (2019) 3, pp. 153-174

Persistent link: https://www.econbiz.de/10012173924

Optimal portfolio using volatility anomaly concept and Sharpe optimisation technique

Mitra, Pradip Kumar; Mascarenhas, Edward - In: International journal of business excellence : IJBEX 25 (2021) 4, pp. 474-490

Persistent link: https://www.econbiz.de/10012798425

Enhanced indexing using weighted conditional value at risk

Sehgal, Ruchika; Mehra, Aparna - 2019

Persistent link: https://www.econbiz.de/10012116217

Risk measure index tracking model

Sant'Anna, Leonardo Riegel; Righi, Marcelo Brutti; … - In: International review of economics & finance : IREF 80 (2022), pp. 361-383

Persistent link: https://www.econbiz.de/10013342032

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

The quantum harmonic oscillator expected shortfall model

Markovic, Vladimir M.; Radivojevic, Nikola; Ivanovic, … - In: Estudios de economía 50 (2023) 2, pp. 233-261

This paper presents a new Expected Shortfall (ES) model based on the Quantum Harmonic Oscillator (QHO). It is used to estimate market risk in banks and other financial institutions according to Basel III standard. Predictions of the model agree with the empirical data which displays deviations...

Persistent link: https://www.econbiz.de/10014450737

Dynamic tail risk forecasting : what do realized skewness and kurtosis add?

Gallo, Giampiero M.; Okhrin, Ostap; Storti, Giuseppe - 2024 - Prima edizione

Persistent link: https://www.econbiz.de/10015099208

Volatility and models based on the extreme value theory for gold returns

Krężołek, Dominik; Piontek, Krzysztof - In: Statistics in transition : an international journal of … 25 (2024) 2, pp. 1-22

volatility and models based on the extreme value theory (EVT). ES forecasts were calculated for conditional APARCH models formed …

Persistent link: https://www.econbiz.de/10015125518