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Time varying volatility indices and their determinants : evidence from developed and emerging stock markets

Prasad, Nalin; Grant, Andrew; Kim, Suk-Joong - In: International review of financial analysis 60 (2018), pp. 115-126

Persistent link: https://www.econbiz.de/10012007551

Essays in computational statistics with applications to volatility forecasting and forecast combination

Knaus, Simon D. - 2014

Der erste Aufsatz der vorliegenden Dissertation untersucht die Dynamik der realisierten Volatilität. Ein erfolgreiches Model in diesem Bereich ist das sogenannte heterogene auto-regressive Modell (HAR), das konzeptionell einfach und gut für Vorhersagen geeignet ist. Eine neue Herangehensweise...

Persistent link: https://www.econbiz.de/10010350528

Extreme loss risk in financial turbulence – evidence from the global financial crisis

Uppal, Jamshed Y.; Mangla, Inayat Ullah - In: Managerial Finance 39 (2013), pp. 653-666

Purpose – This study aims to examine the stock returns distributions in ten countries in the periods before and after the global financial crisis (GFC) to evaluate how well the empirical distributions conformed to the extreme value theory (EVT) which underlies a family of risk management...

Persistent link: https://www.econbiz.de/10010691526

How well do risk measurement models estimate VaR during good and bad times? Evidence from the Korean stock market

Dockery, Everton; Efentakis, Miltiadis - In: International Journal of Financial Markets and Derivatives 3 (2013) 2, pp. 114-136

VaR risk measure during good and bad times. The soundness of model performance in the accuracy of estimated VaRs are …

Persistent link: https://www.econbiz.de/10010817022

Extreme loss risk in financial turbulence – evidence from the global financial crisis

Uppal, Jamshed Y.; Mangla, Inayat Ullah - In: Managerial Finance 39 (2013), pp. 653-666

Persistent link: https://www.econbiz.de/10010709743

Comparison of Alternative Approaches to VaR Evaluation

Łupiński, Marcin - In: Ekonomia journal 33 (2013)

with popular Value at Risk (VaR) approach. Four main methods: analytical, historical, simulation and hybrid (Filtered … Historical Simulation, FHS) of VaR are presented and then three of them are applied to evaluate interest risk stemming from … government bonds’ portfolio held by Polish banks. Adequacy of VaR measures counted with particular methods is compared with the …

Persistent link: https://www.econbiz.de/10011271594