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Bayesian estimation for a semiparametric nonlinear volatility model

Hu, Shuowen; Poskitt, Donald Stephen; Zhang, Xibin - In: Economic modelling 98 (2021), pp. 361-370

Persistent link: https://www.econbiz.de/10012793996

The accuracy of risk measurement models on bitcoin market during COVID-19 pandemic

Likitratchoaroen, Danai; Kronprasert, Nopadon; … - In: Risks : open access journal 9 (2021) 12, pp. 1-16

paper displayed backtesting methods to investigate the accuracy of VaR models, which consisted of the Kupiec's POF and the …

Persistent link: https://www.econbiz.de/10012794186

Estimating and backtesting risk under heavy tails

Pitera, Marcin; Schmidt, Thorsten - In: Insurance / Mathematics & economics 104 (2022), pp. 1-14

Persistent link: https://www.econbiz.de/10013264930

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

HRP performance comparison in portfolio optimization under various codependence and distance metrics

Barziy, Illya; Chlebus, Marcin - 2020

Persistent link: https://www.econbiz.de/10012322189

Accuracy in risk estimation based on simple SMA and EWNA models : evidence from Macedonain Stock Market

Angelovska, Julijana; Ivanovski, Zoran - In: UTMS journal of economics / University of Tourism and … 9 (2018) 1, pp. 17-27

Risk estimation or volatility estimation at financial markets, particularly stock exchange markets, is complex issue of great importance to theorists and practitioners. Models used to estimate volatility forecasts are translated into better pricing of stocks and better risk management. The aim...

Persistent link: https://www.econbiz.de/10011901688

Asymmetric volatility effects in risk management: an empirical analysis using a stock index futures

Benavides, Guillermo - 2020

In this research paper ARCH-type models and option implied volatilities (IV) are applied in order to estimate the Value-at-Risk (VaR) of a stock index futures portfolio for several time horizons. The relevance of the asymmetries in the estimated volatility estimation is considered. The empirical...

Persistent link: https://www.econbiz.de/10012292347

Risk quantification and validation for Bitcoin

Jiménez, Inés; Mora-Valencia, Andrés; Perote, Javier - In: Operations research letters 48 (2020) 4, pp. 534-541

Persistent link: https://www.econbiz.de/10012294824

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

backtesting. We use daily data for Total Nigeria Plc returns for the period January 2, 2001 to May 8, 2017, and conclude that … investigation of the volatility, VaR, and backtesting of the daily stock price of Total Nigeria Plc is important as most previous … studies covering the Nigerian stock market have not paid much attention to the application of backtesting as a primary …

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

Backtesting lambda value at risk

Corbetta, Jacopo; Peri, Ilaria - In: The European journal of finance 24 (2018) 13, pp. 1075-1087

Persistent link: https://www.econbiz.de/10012258870