Search Results - subject:"Autoregressive conditional heteroscedasticity"

A False Discovery Rate approach to optimal volatility forecasting model selection

Hassanniakalager, Arman; Baker, Paul L.; Platanakis, … - In: International journal of forecasting 40 (2024) 3, pp. 881-902

Persistent link: https://www.econbiz.de/10014547223

An evaluation of the adequacy of Lévy and extreme value tail risk estimates

Mozumber, Sharif; Hassan, M. Kabir; Kabir, M. Humayun - In: Financial innovation : FIN 10 (2024), pp. 1-26

This study investigates the simplicity and adequacy of tail-based risk measures-valueat-risk (VaR) and expected shortfall (ES)-when applied to tail targeting of the extreme value (EV) model. We implement Lévy-VaR and ES risk measures as full density-based alternatives to the generalized Pareto...

Persistent link: https://www.econbiz.de/10014547241

Asymmetric connectedness between conventional and Islamic cryptocurrencies : evidence from good and bad volatility spillovers

Bouri, Elie; Asl, Mahdi Ghaemi; Darehshiri, Sahar; … - In: Financial innovation : FIN 10 (2024), pp. 1-26

This paper examines the dynamics of the asymmetric volatility spillovers across four major cryptocurrencies comprising nearly 61% of cryptocurrency market capitalization and covering both conventional (Bitcoin and Ethereum) and Islamic (Stellar and Ripple) cryptocurrencies. Using a novel...

Persistent link: https://www.econbiz.de/10014548184