Purpose – The paper aims to model multiple-period market risk forecasts under long memory persistence in market volatility. Design/methodology/approach – The paper proposes volatility forecasts based on a combination of the GARCH(1,1)-model with potentially fat-tailed and skewed innovations...

This paper addresses market risk prediction for high frequency foreign exchange rates under nonlinear risk scaling behaviour. We use a modified version of the multifractal model of asset returns (MMAR) where trading time is represented by the series of volume ticks. Our dataset consists of...

This article takes a closer look at the productspecific risks of European Exchange Traded Funds (ETFs) and presents approaches to risk minimization. Since the assets invested in ETFs by capital investment companies are classified as special asset funds, ETFs are often referred to as extremely...