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Sovereign credit ratings, market volatility, and financial gains
Afonso, António; Gomes, Pedro; Taamouti, Abderrahim - 2014
Persistent link: https://www.econbiz.de/10011554962
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Asymmetric jump beta estimation with implications for portfolio risk management
Alexeev, Vitali; Urga, Giovanni; Yao, Wenying - In: International review of economics & finance : IREF 62 (2019), pp. 20-40
Persistent link: https://www.econbiz.de/10012205461
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Value at risk models in Indian markets : a predictive ability evaluation study
Goel, Kushagra; Oswal, Sunny - In: Theoretical economics letters 9 (2019) 8, pp. 2824-2838
Persistent link: https://www.econbiz.de/10012214623
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Value-at-Risk under Lévy GARCH models : evidence from global stock markets
Slim, Skander; Koubaa, Yosra; BenSaïda, Ahmed - In: Journal of international financial markets, … 46 (2017), pp. 30-53
Persistent link: https://www.econbiz.de/10011745291
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Currency portfolio risk measurement with generalized autoregressive conditional heteroscedastic-extreme value theory-Copula Model
Omari, Cyprian Ondieki; Mwita, Peter N.; Gichuhi, Antony W. - In: Journal of mathematical finance 8 (2018) 2, pp. 457-477
Persistent link: https://www.econbiz.de/10011875347
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Risk and return of a trend-chasing application in financial markets: an empirical test
Ilomäki, Jukka - In: Risk management : a journal of risk, crisis and disaster 20 (2018) 3, pp. 258-272
Persistent link: https://www.econbiz.de/10011885978
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Commodities returns' volatility in financialization era
Handika, Rangga; Putra, Iswahyudi Sondi - In: Studies in economics and finance 34 (2017) 3, pp. 344-362
Persistent link: https://www.econbiz.de/10011961063
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A copula-GARCH model of conditional dependencies : estimating Tehran Market Stock Exchange value-at-risk
Shams, Sedigheh; Haghighi, Fatemeh K. - In: Journal of statistical and econometric methods 2 (2013) 2, pp. 39-50
Modeling the dependency between stock market returns is a difficult task when returns follow a complicated dynamics. It is not easy to specify the multivariate distribution relating two or more return series. In this paper, a methodology based on fitting ARIMA, GARCH and ARMA-GARCH models and...
Persistent link: https://www.econbiz.de/10009769897
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Risk modelling and management : an overview
Chang, Chia-Lin; Allen, David E.; McAleer, Michael; … - 2013
Persistent link: https://www.econbiz.de/10009767001
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GARCH models for daily stock returns : impact of estimation frequency on value-at-risk and expected shortfall forecasts
Ardia, David; Hoogerheide, Lennart - 2013
Persistent link: https://www.econbiz.de/10010191413