Search Results - subject:"Skewed student distribution"

Long-memory, asymmetry and fat-tailed GARCH models in value-at-risk estimation : empirical evidence from the global real estate markets

Mighri, Zouheir; Jaziri, Raouf - In: Journal of quantitative economics 21 (2023) 1, pp. 41-97

Persistent link: https://www.econbiz.de/10014259129

Value-at-Risk for long and short trading positions: The case of the Athens Stock Exchange

Diamandis, Panayiotis; Kouretas, Georgios; Zarangas, … - Department of Economics, University of Crete - 2006

univariate models that belong to the class of ARCH models which are based on the skewed Student distribution. We use daily data … APARCH model based on the skewed Student distribution to fully take into account the fat left and right tails of the returns …

Persistent link: https://www.econbiz.de/10004994338

Market risk in commodity markets: a VaR approach

GIOT, Pierre; LAURENT, Sébastien - Center for Operations Research and Econometrics (CORE), … - 2003

We put forward Value-at-Risk models relevant for commodity traders who have long and short trading positions in commodity markets. In a five-year out-of-sample study on aluminium, copper, nickel, Brent crude oil and WTI crude oil daily cash prices and cocoa nearby futures contracts, we assess...

Persistent link: https://www.econbiz.de/10005043519

Value-at-risk for long and short trading positions : evidence from developed and emerging equity markets

Diamandis, Panayotis F.; Drakos, Anastassios A.; … - In: International review of financial analysis 20 (2011) 3, pp. 165-176

Persistent link: https://www.econbiz.de/10009295738

Value-at-risk for long and short trading positions

GIOT, Pierre; LAURENT, Sébastien - Center for Operations Research and Econometrics (CORE), … - 2001

ARCH family based on the skewed Student distribution. We show that models that rely on a symmetric density distribution for … Normal or Student distributions. We suggest using an APARCH model based on the skewed Student distribution to fully take into …

Persistent link: https://www.econbiz.de/10005065352

Modelling Daily Value-at-Risk Using Realized Volatility and ARCH Type Models

Giot, Pierre; Laurent, Sébastien - Society for Computational Economics - SCE - 2002

Persistent link: https://www.econbiz.de/10005706602

VALUE-AT-RISK FOR LONG AND SHORT TRADING POSITIONS

Giot, Pierre; S»bastien Laurent - Society for Computational Economics - SCE - 2001

Persistent link: https://www.econbiz.de/10005132864