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Broda, Simon A.; Haas, Markus; Krause, Jochen; … - 2011

Paretian density. Estimation issues related to problems associated with mixture models are discussed, and a new, general …

Persistent link: https://www.econbiz.de/10009313940

CHICAGO: a fast and accurate method for portfolio risk calculation

Broda, Simon A.; Paolella, Marc S. - 2008

The estimation of multivariate GARCH models remains a challenging task, even in modern computer environments. This … of the time otherwise required. The proposed method is a two-step procedure, separating the estimation of the correlation …

Persistent link: https://www.econbiz.de/10003961455

An alternative conditional asymmetry specification for stock returns

Brännäs, Kurt; Nordman, Niklas - 2001

The paper advances the log-generalized gamma distribution as a suitable generator of conditional skewness. Based on the NYSE composite daily returns an asMA-asQGARCH model along with skewness dynamics is estimated. The results indicate a skewness that varies between sizeable negative skewness...

Persistent link: https://www.econbiz.de/10011398115

The choice of GARCH models to forecast value-at-risk for currencies (euro exchange rates), crypto assets (Bitcoin and Ethereum), gold, silver and crude oil : automated processes, s...

Gohs, Andreas Marcus - 2022

Regular or automated processes require reliable software applications that provide accurate volatility and Value-at-Risk forecasts. The univariate and multivariate GARCH models proposed in the literature are reviewed and the suitability of selected R functions for automated forecasting systems...

Persistent link: https://www.econbiz.de/10013474092

Alternative statistical distributions for estimating value-at-risk : theory and evidence

Lee, Cheng F.; Su, Jung-bin - In: Review of quantitative finance and accounting 39 (2012) 3, pp. 309-331

Persistent link: https://www.econbiz.de/10009673712

Risk estimation with a time-varying probability of zero returns

Sucarrat, Genaro; Grønneberg, Steffen - In: Journal of financial econometrics 20 (2022) 2, pp. 278-309

Persistent link: https://www.econbiz.de/10013187979

Systemic risk measurement : multivariate GARCH estimation of CoVaR

Girardi, Giulio; Ergün, Tolga A. - In: Journal of banking & finance 37 (2013) 8, pp. 3169-3180

Persistent link: https://www.econbiz.de/10009778470

GARCH models in value at risk estimation : empirical evidence from the Montenegrin stock exchange

Cerovic Smolovic, Julija; Lipovina-Božović, Milena; … - In: Economic research 30 (2017) 1,1, pp. 477-498

Persistent link: https://www.econbiz.de/10012223947

Making Cornish-Fisher fit for risk measurement

Lamb, John D.; Monville, Maura E.; Tee, Kaihong - In: Journal of risk 21 (2018/2019) 5, pp. 53-81

Persistent link: https://www.econbiz.de/10012059934

Estimation window strategies for value-at-risk and expected shortfall forecasting

Berens, Tobias; Weiß, Gregory N. F.; Ziggel, Daniel - In: Journal of risk 20 (2017/2018) 5, pp. 33-82

Persistent link: https://www.econbiz.de/10011914663