The Value-at-Risk (VaR) risk measure has been widely used in finance and insurance for capital and risk management. However, in recent years it has fallen somewhat out of favour due to a seminal paper by Artzner et al. (1999) who showed that VaR does not in general have all the four coherence...

In this paper, we extend the standard Gaussian stochastic-volatility Bayesian VAR by employing the generalized hyperbolic skew Student's t distribution for the innovations. Allowing the skewness parameter to vary over time, our specification permits flexible modelling of innovations in terms of...

This paper compares the renowned GARCH model with a novel one, the Generalized Autoregressive Score (GAS) model in terms of forecasting performance. Considering the gap in the literature, this study focuses on the Turkish stock and FX markets. The analysis covers 25 years (1999-2023), of which...