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Market risk valuation modeling for the European countries at the financial crisis of 2008
Shcherba, Alexandr - In: Applied Econometrics 27 (2012) 3, pp. 20-35
The work is dedicated to VaR models, estimated on the equities quotes of the six European countries. The time series …
Persistent link: https://www.econbiz.de/10010992071
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Value at Risk forecasting with the ARMA-GARCH family of models in times of increased volatility
Rippel, Milan; Jánský, Ivo - Institut ekonomických studií, Univerzita Karlova v Praze - 2011
The paper evaluates several hundred one-day-ahead VaR forecasting models in the time period between the years 2004 and …
Persistent link: https://www.econbiz.de/10009216657
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Value at risk forecasting with the ARMA-GARCH family of models in times of increased volatility
Jánský, Ivo; Rippel, Milan - 2011
The paper evaluates several hundred one-day-ahead VaR forecasting models in the time period between the years 2004 and …
Persistent link: https://www.econbiz.de/10010322244
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Systemic risk for financial institutions of major petroleum-based economies: The role of oil
Khalifa, Ahmed; Caporin, Massimiliano; Costola, Michele; … - 2017
This paper examines the relationship between oil price movements and systemic risk of many financial institutions in major petroleum-based economies. We estimate ΔcoVaR for those institutions and thereby observe the presence of elevated increases in the levels corresponding to the subprime and...
Persistent link: https://www.econbiz.de/10012064299
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Systemic risk for financial institutions of major petroleum-based economies : the role of oil
Khalifa, Ahmed; Caporin, Massimiliano; Costola, Michele; … - 2017 - This version: November 5, 2017
This paper examines the relationship between oil price movements and systemic risk of many financial institutions in major petroleum-based economies. We estimate ΔCoVaR for those institutions and thereby observe the presence of elevated increases in the levels corresponding to the subprime and...
Persistent link: https://www.econbiz.de/10012062097
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Systemic risk for financial institutions of major petroleum-based economies : the role of oil
Khalifa, Ahmed; Caporin, Massimiliano; Costola, Michele; … - 2017 - This version: June 2017
conditional VaR (CoVaR) for the financial institutions and verify the interdependence between the systemic risk and oil, both on a …
Persistent link: https://www.econbiz.de/10011662132
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Comparison of VaR estimation methods for different forecasting samples for Russian stocks
Shcherba, Alexandr - In: Applied Econometrics 24 (2011) 4, pp. 58-70
The paper aims at finding the most accurate VaR model for the four most liquid Russian stocks. Among the possible VaR …
Persistent link: https://www.econbiz.de/10010841045
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Level changes in volatility models
Craioveanu, Mihaela; Hillebrand, Eric - In: Annals of Finance 8 (2012) 2, pp. 277-308
Persistent link: https://www.econbiz.de/10010866518
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Is intraday data useful for forecasting VaR? : the evidence from EUR/PLN exchange rate
Będowska-Sójka, Barbara - In: Risk management : a journal of risk, crisis and disaster 20 (2018) 4, pp. 326-346
Persistent link: https://www.econbiz.de/10011962183
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Comparing the Supremum Augmented Dickey Fuller and Log Periodic Power Law Frameworks for Identifying Bubbles
Bertelsen, Kristoffer Pons - 2020
This paper compares the ability of the log periodic power law (LPPL) procedure and the supremum augmented Dickey Fuller (supremum ADF) tests to confirm or reject the presence of bubbles in various time series simulations. We develop a time stamping method for the LPPL procedure and derive a more...
Persistent link: https://www.econbiz.de/10012849157