standard sample sizes. In an application to international government bonds, we detect a high tail{risk and low return situation … during the last decade which can essentially be attributed to increased higher-order tail risk. We also illustrate the … empirical consequences from ignoring higher-dimensional tail risk. …

investment’s effectiveness and risk. At first, we give an overview of various methods of bootstrap confidence interval estimation …This paper is aimed at presenting application of bootstrap interval estimation methods to the assessment of financial …, i.e. bootstrap-t interval, percentile interval and BCa interval. Then, bootstrap confidence interval estimation methods …

We introduce a new hybrid approach to joint estimation of Value at Risk (VaR) and Expected Shortfall (ES) for high … lower cost in capital reserves. In ES estimation the hybrid model yields the smallest error statistics surpassing even the … EV models, especially in the developed markets. -- value at risk ; expected shortfall ; hybrid historical simulation …

-correction step to improve Value-at-Risk (VaR) forecasting ability of the n-EGARCH (normal EGARCH) model and correct the VaR for both …