This paper provides empirical evidence that Croatian companies manage reported earnings to avoid losses and earnings declines. Specifically, we find that the cross-sectional distribution of scaled earnings and changes in earnings show high frequencies of small positive earnings and small...

In financial literature, Value-at-Risk (VaR) and Expected Shortfall (ES) modelling is focused on producing 1-step ahead conditional variance forecasts. The present paper provides a methodological contribution to the multi-step VaR and ES forecasting through a new adaptation of the Monte Carlo...

Academics and practitioners have extensively studied Value-at-Risk (VaR) to propose a unique risk management technique that generates accurate VaR estimations for long and short trading positions. However, they have not succeeded yet as the developed testing frameworks have not been widely...

This paper investigates the time-varying conditional correlation between oil price and stock market volatility for six major oil-importing and oil-exporting countries. The period of the study runs from January 2000 until December 2014 and a Diag-BEKK model is employed. Our findings report the...

The present study compares the performance of the long memory FIGARCH model, with that of the short memory GARCH specification, in the forecasting of multi-period Value-at-Risk (VaR) and Expected Shortfall (ES) across 20 stock indices worldwide. The dataset is comprised of daily data covering...

This paper investigates the time-varying correlation between the EU12-wide business cycle and the initial EU12 member-countries based on Scalar-BEKK and multivariate Riskmetrics model frameworks for the period 1980-2012. The paper provides evidence that changes in the business cycle...

The paper investigates the ability of oil price returns, oil price shocks and oil price volatility to provide predictive information on the state (high/low risk environment) of the US stock market returns and volatility. The disaggregation of oil price shocks according to their origin allows us...

The Basel Committee regulations require the estimation of Value-at-Risk at 99% confidence level for a 10-trading-day-ahead forecasting horizon. The paper provides a multivariate modelling framework for multi-period VaR estimates for leptokurtic and asymmetrically distributed real-estate...

Fractionally integrated autoregressive moving average (ARFIMA) and Heterogeneou Autoregressive (HAR) models are estimated and their ability to predict the one-trading-day-ahead CAC40 realized volatility is investigated. In particular, this paper follows three steps: (i) The optimal sampling...

Τhis paper focuses on the performance of three alternative Value-at-Risk (VaR) models to provide suitable estimates for measuring and forecasting market risk. The data sample consists of five international developed and emerging stock market indices over the time period from 2004 to 2008. The...