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Value-at-Risk effectiveness : a high-frequency data approach with semi-heavy tails

Contreras-Valdez, Mario Ivan; Sahu, Sonal; … - In: Risks : open access journal 12 (2024) 3, pp. 1-23

In the broader landscape of cryptocurrency risk management, this study delves into the nuanced estimation of Value-at-Risk (VaR) for a uniformly weighted portfolio of cryptocurrencies, employing the bivariate Normal Inverse Gaussian distribution renowned for its semi-heavy tails. Utilizing...

Persistent link: https://www.econbiz.de/10014497426

A comparison of delta hedging under two price distribution assumptions by likelihood ratio

Cao, Lingyan; Guo, Zheng-feng - In: The international journal of business and finance … 6 (2012) 1, pp. 25-34

Persistent link: https://www.econbiz.de/10009389689

Estimation of geometric Brownian motion model with a t-distribution-based particle filter

Nkemnole, Bridget; Abass, Olaide - In: Journal of economic and financial sciences : JEF 12 (2019) 1, pp. 1-9

Persistent link: https://www.econbiz.de/10012018946

Bayesian estimation of stochastic tail index from high-frequency financial data

Doğan, Osman; Taṣpınar, Süleyman; Bera, Anil K. - In: Empirical economics : a quarterly journal of the … 61 (2021) 5, pp. 2685-2711

Persistent link: https://www.econbiz.de/10012664628

Equity index variance : evidence from flexible parametric jump-diffusion models

Kaeck, Andreas; Rodrigues, Paulo Jorge Maurício; … - In: Journal of banking & finance 83 (2017), pp. 85-103

Persistent link: https://www.econbiz.de/10011816827

A jumping index of jumping stocks? : an MCMC analysis of continuous-time models for individual stocks

Pollastri, Alessandro; Rodrigues, Paulo Jorge Maurício; … - In: Journal of empirical finance 70 (2023), pp. 322-341

Persistent link: https://www.econbiz.de/10014423714

Gram-Charlier methods, regime-switching and stochastic volatility in exponential Lévy models

Asmussen, Søren; Bladt, Mogens - In: Quantitative finance 22 (2022) 4, pp. 675-689

Persistent link: https://www.econbiz.de/10013367850

Defaultable claims in switching models with partial information

Gapeev, Pavel V.; Jeanblanc, Monique - In: International journal of theoretical and applied finance 22 (2019) 4, pp. 1-18

Persistent link: https://www.econbiz.de/10012030897

Modeling manager confidence in forecasted excess returns under active portfolio management

Birge, John R.; Chávez-Bedoya, Luis - In: The journal of asset management 15 (2014) 6, pp. 353-365

Persistent link: https://www.econbiz.de/10010476259

A conditional heteroscedastic VaR approach with alternative distributions

Serrano Bautista, Ramona; Mata Mata, Leovardo - In: EconoQuantum : Revista de Economía y Negocios 17 (2020) 2, pp. 81-98

Persistent link: https://www.econbiz.de/10012617079

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