Search Results - subject:"value-at risk (VaR)"

Hybrid GARCH-LSTM forecasting for foreign exchange risk

Nsengiyumva, Elysee; Mung'atu, Joseph K.; Ruranga, Charles - In: FinTech 4 (2025) 2, pp. 1-17

Heteroskedasticity (GARCH) model with a Long Short-Term Memory (LSTM) neural network to estimate Value at Risk (VaR) in the Rwandan …

Persistent link: https://www.econbiz.de/10015432831

On the risk-based contagion of G7 banking system and the COVID-19 pandemic

Matos, Paulo; Costa, Antonio; Silva, Cristiano da Costa da - In: Global business review 25 (2024) 6, pp. 1634-1654

Persistent link: https://www.econbiz.de/10015163189

The effect of COVID-19 on cryptocurrencies and the stock market volatility: A two-stage DCC-EGARCH model analysis

Ampountolas, Apostolos - In: Journal of Risk and Financial Management 16 (2023) 1, pp. 1-17

financial portfolio returns from 2019 to 2020. Moreover, we used value-at-risk (VaR) and value-at-risk measurements based on the …

Persistent link: https://www.econbiz.de/10014332800

Anticipating extreme losses using score-driven shape filters

Ayala, Astrid; Blazsek, Szabolcs; Escribano, Álvaro - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 27 (2023) 4, pp. 449-484

Persistent link: https://www.econbiz.de/10014372905

The effect of COVID-19 on cryptocurrencies and the stock market volatility : a two-stage DCC-EGARCH model analysis

Ampountolas, Apostolos - In: Journal of risk and financial management : JRFM 16 (2023) 1, pp. 1-17

financial portfolio returns from 2019 to 2020. Moreover, we used value-at-risk (VaR) and value-at-risk measurements based on the …

Persistent link: https://www.econbiz.de/10014295230

GARCH-UGH : a bias-reduced approach for dynamic extreme Value-at-Risk estimation in financial time series

Kaibuchi, Hibiki; Kawasaki, Yoshinori; Stupfler, G. - In: Quantitative finance 22 (2022) 7, pp. 1277-1294

Persistent link: https://www.econbiz.de/10013367899

Operational risk assessment of third-party payment platforms : a case study of China

Yao, Yinhong; Li, Jianping - In: Financial innovation : FIN 8 (2022), pp. 1-20

Operational risk events have severely impacted the development of third-party payment (TPP) platforms, and have even led to a discussion on the operational risk capital charge settlement by relevant international regulators. However, prior studies have mostly focused on qualitative mechanism...

Persistent link: https://www.econbiz.de/10013169756

Exact and heuristic solution techniques for mixed-integer quantile minimization problems

Cattaruzza, Diego; Labbé, Martine; Petris, Matteo; … - In: INFORMS journal on computing : JOC ; charting new … 36 (2024) 4, pp. 1084-1107

Persistent link: https://www.econbiz.de/10015163756

The power of news data in forecasting tail risk : evidence from China

Ma, Yong; Yan, Lu; Pan, Dongtao - 2024

Persistent link: https://www.econbiz.de/10015142108

A study of China's financial market risks in the context of Covid-19, based on a rolling generalized autoregressive score model using the asymmetric Laplace distribution

Han, Guanghui; Liu, Panpan; Zhang, Yueqiang; Li, Xiaobo - In: The journal of risk model validation 18 (2024) 1, pp. 83-96

Persistent link: https://www.econbiz.de/10014556673