&P 500 index than RV models. Furthermore, the assumption of conditional normality is shown to be not sufficient to obtain …

estimated using the MIDAS (Mixed Data Sampling) regression methodology, which supports estimation of regressions with variables …

Value Theory (EVT). Three existing models are reviewed; these models include: Mordern Portfolio Theory, Black-Scholes, and … the SET100 index. From the sample distribution F(X), extreme values were identified. A tail index E was calculated to … different distributions. Therefore, price volatility index is a better indicator for risk management …

horizon. By examining local long-range dependence (measured by the rolling Rescaled Range estimates of the Hurst index) of an … strategy is observed. Moreover, the significant positive cross-correlation between the local Hurst index estimates and the …

strong evidence that theTrump election has increased the level/trend and lowered the volatility of S&P 500 index inboth ex …