This paper is concerned with linear portfolio value-at-risk (VaR) and expected shortfall (ES) computation when the portfolio risk factors are leptokurtic, imprecise and/or vague. Following Yoshida (2009), the risk factors are modeled as fuzzy random variables in order to handle both their random...

Over the last four decades, several estimation issues of the beta have been discussed extensively in many articles. An emerging consensus is that the betas are time-dependent and their estimates are impacted by the return interval and the length of the estimation period. These findings lead to...

In this paper, following the notion of probabilistic risk adjusted performance measures, we introduce that of fuzzy risk adjusted performance measures (FRAPM). In order to deal efficiently with the closing-based returns bias induced by market microstructure noise, as well as to handle their...

The aim of this article is the study of complex structures which are behind the short-term predictability of stock returns series. In this regard, we employ a seasonal version of the Mackey-Glass-GARCH(p,q) model, initially proposed by Kyrtsou and Terraza (2003) and generalized by Kyrtsou (2005,...

The nonlinear testing and modeling of economic and financial time series has increased substantially in recent years, enabling us to better understand market and price behavior, risk and the formation of expectations. Such tests have also been applied to commodity market behavior, providing...