Purpose – The Basel Committee regulations require the estimation of value-at-risk (VaR) at 99 percent confidence level for a ten-trading-day-ahead forecasting horizon. The paper provides a multivariate modelling framework for multi-period VaR estimates for leptokurtic and asymmetrically...

This paper examines the two financial crises of the Athens Stock Market during the last decade, in order to help investors and academics to understand better its attitude in periods of crises. In this analysis, it was employed a Quandt-Andrews Test, a GJR-GARCH model with two diagnostic tests...

The EC Directive on Financial Instruments Markets (MiFID) has introduced a number of order and trade publication obligations imposed on organized exchanges, Alternative Trading Systems (ATS), and the class of broker dealers that execute transactions in shares internally. This article...

The volatility prediction is the most important issue in finance, as it is the key ingredient variable in forecasting the prices of options, the VaR number and, in general, the risk that investors face. By estimating not only inter-day volatility models that capture the main characteristics of...

The accuracy of parametric, non-parametric and semi-parametric methods in predicting the one-day-ahead Value-at-Risk (VaR) of perfectly diversified portfolios in three types of markets (stock exchanges, commodities and exchange rates) is investigated, both for long and short trading positions....

The accuracy of parametric, non-parametric and semi-parametric methods in predicting the one-day-ahead Value-at-Risk (VaR) of perfectly diversified portfolios in three types of markets (stock exchanges, commodities and exchange rates) is investigated, both for long and short trading positions....

The accuracy of parametric, non-parametric and semi-parametric methods in predicting the one-day-ahead Value-at-Risk (VaR) of perfectly diversified portfolios in three types of markets (stock exchanges, commodities and exchange rates) is investigated, both for long and short trading positions....

Academics and practitioners have extensively studied Value-at-Risk (VaR) to propose a unique risk management technique that generates accurate VaR estimations for long and short trading positions and for all types of financial assets. However, they have not succeeded yet as the testing...

Academics and practitioners have extensively studied Value-at-Risk (VaR) to propose a unique risk management technique that generates accurate VaR estimations for long and short trading positions and for all types of financial assets. However, they have not succeeded yet as the testing...

This paper analyses several volatility models by examining their ability to forecast the Value-at-Risk (VaR) for two different time periods and two capitalization weighting schemes. Specifically, VaR is calculated for large and small capitalization stocks, based on Dow Jones (DJ) Euro Stoxx...