Search Results - subject:"value‐at‐risk"

On the effectiveness of stock index futures for tail risk protection

Zouari, Hammadi - In: International journal of economics and financial issues … 12 (2022) 3, pp. 38-52

Persistent link: https://www.econbiz.de/10013259361

Best-arm identification using extreme value theory estimates of the CVaR

Troop, Dylan; Godin, Frédéric; Yu, Jia Yuan - In: Journal of risk and financial management : JRFM 15 (2022) 4, pp. 1-15

multiple applications in financial risk management. We introduce a new conditional value-at-risk (CVaR) estimation procedure …

Persistent link: https://www.econbiz.de/10013273036

Portfolio optimization on multivariate regime-switching garch model with normal tempered stable innovation

Peng, Cheng; Kim, Young Shin; Mittnik, Stefan - In: Journal of risk and financial management : JRFM 15 (2022) 5, pp. 1-23

Hidden Markov Model. (ii) We use tail risk measures, namely conditional value-at-risk (CVaR) and conditional drawdown …

Persistent link: https://www.econbiz.de/10013273511

Forecasting risk measures based on structural breaks in the correlation matrix

Duan, Fang - 2022

) GARCH model, play a crucial role in forecasting Value-at-Risk (VaR) or Expected Shortfall (ES). The additional inclusion of … bedingten Korrelation (DCC), spielen eine entscheidende Rolle bei der Vorhersage des Value-at-Risk (VaR) oder des Expected …

Persistent link: https://www.econbiz.de/10013171617

Risk-adverse optimization by Conditional Value-at-Risk and stochastic approximation

Audet, Charles; Bigeon, Jean; Couderc, Romain; … - 2022

Persistent link: https://www.econbiz.de/10013179421

Copulas and portfolios in the electric vehicle sector

Stenšin, Andrej; Bloznelis, Daumantas - In: Journal of risk and financial management : JRFM 15 (2022) 3, pp. 1-20

How can investors unlock the returns on the electric vehicle industry? Available investment choices range from individual stocks to exchange traded funds. We select six representative assets and characterize the time-varying joint distribution of their returns by copula-GARCH models. They...

Persistent link: https://www.econbiz.de/10013164959