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Correlation between Shanghai crude oil futures, stock, foreign exchange, and gold markets : a GARCH-vine-copula method

He, Chaohua; Li, Guangchen; Fan, Hai; Wei, Weixian - In: Applied economics 53 (2021) 11, pp. 1249-1263

Persistent link: https://www.econbiz.de/10012485170

Regime changes in Bitcoin GARCH volatility dynamics

Ardia, David; Bluteau, Keven; Rüede, Maxime - In: Finance research letters 29 (2019), pp. 266-271

Persistent link: https://www.econbiz.de/10012419095

Regime-switching processes and mean-reverting volatility models in value-at-risk estimation : evidence from the Taiwan Stock Index

Chen, Yi-Wen; Lin, Chu-Bin; Tu, Anthony H. - In: Emerging markets, finance & trade : a journal of the … 56 (2020) 12, pp. 2693-2710

Persistent link: https://www.econbiz.de/10012312671

On the volatility of daily stock returns of Total Nigeria Plc : evidence from GARCH models, value-at-risk and backtesting

Emenogu, Ngozi G.; Adenomon, Monday Osagie; Nweze, … - In: Financial innovation : FIN 6 (2020) 18, pp. 1-25

investigation of the volatility, VaR, and backtesting of the daily stock price of Total Nigeria Plc is important as most previous …This study investigates the volatility in daily stock returns for Total Nigeria Plc using nine variants of GARCH models … backtesting. We use daily data for Total Nigeria Plc returns for the period January 2, 2001 to May 8, 2017, and conclude that …

Persistent link: https://www.econbiz.de/10012268756

Forecasting market risk of portfolios: copula-Markov switching multifractal approach

Segnon, Mawuli; Trede, Mark - In: The European journal of finance 24 (2018) 14, pp. 1123-1143

Persistent link: https://www.econbiz.de/10012258877

Value at risk (VaR) analysis for fat tails and long memory in returns

Günay, Samet - In: Eurasian economic review : a journal in applied … 7 (2017) 2, pp. 215-230

Persistent link: https://www.econbiz.de/10011684346

Volatility and quantile forecasts by realized stochastic volatility models with generalized hyperbolic distribution

Takahashi, Makoto; Watanabe, Toshiaki; Omori, Yasuhiro - In: International journal of forecasting 32 (2016) 2, pp. 437-457

Persistent link: https://www.econbiz.de/10011597142

Behaviour of Johannesburg Stock Exchange all share index returns : an asymmetric GARCH and news impact effects approach

Korkpoe, Carl H.; Owusu Junior, Peterson - In: Spoudai : journal of economics and business 68 (2018) 1, pp. 26-42

market was shown to react to news unequally. Volatility spikes sharply when unexpected adverse news reaches the market while …

Persistent link: https://www.econbiz.de/10011843965

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

Forecasting Value-at-Risk (VaR) in the major Asian economies

Zargar, Faisal Nazir; Kumar, Dilip - In: Theoretical economics letters 8 (2018) 9, pp. 1565-1581

Persistent link: https://www.econbiz.de/10011888646