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Estimation and performance assessment of value-at-risk and expected shortfall based on long-memory GARCH-class models

Aloui, Chaker; Ben Hamida, Hela - In: Finance a úvěr 65 (2015) 1, pp. 30-54

Persistent link: https://www.econbiz.de/10010474200

The quantum harmonic oscillator expected shortfall model

Markovic, Vladimir M.; Radivojevic, Nikola; Ivanovic, … - In: Estudios de economía 50 (2023) 2, pp. 233-261

This paper presents a new Expected Shortfall (ES) model based on the Quantum Harmonic Oscillator (QHO). It is used to estimate market risk in banks and other financial institutions according to Basel III standard. Predictions of the model agree with the empirical data which displays deviations...

Persistent link: https://www.econbiz.de/10014450737

Relative efficiency of component GARCH-EVT approach in managing intraday market risk

Paul, Samit; Karmakar, Madhusudan - In: Multinational finance journal 21 (2017) 4, pp. 247-283

Persistent link: https://www.econbiz.de/10012547567

On the network topology of variance decompositions : measuring the connectedness of financial firms

Diebold, Francis X.; Yılmaz, Kamil - In: Journal of econometrics 182 (2014) 1, pp. 119-134

Persistent link: https://www.econbiz.de/10010497110

How to choose the return model for market risk? : getting towards a right magnitude of stressed VaR

Lichtner, Mark - In: Quantitative finance 19 (2019) 8, pp. 1391-1407

Persistent link: https://www.econbiz.de/10012194794

Predictors of Excess Return in a Green Energy Equity Portfolio : Market Risk, Market Return, Value-at-Risk and or Expected Shortfall?

El-Chaarani, Hani - 2022

(beta), as indicated by the single-factor Capital Asset Pricing Model (CAPM), and the multifactor Fama–French Three …

Persistent link: https://www.econbiz.de/10013294393

Value-at-risk: the comparison of state-of-the-art models on varous assets

Kielak, Karol; Ślepaczuk, Robert - 2020

Persistent link: https://www.econbiz.de/10012322235

Realized quantity extended conditional autoregressive value-at-risk models

Götz, Pit - In: Journal of risk : JOR 26 (2023) 2, pp. 33-63

Persistent link: https://www.econbiz.de/10014487299

Predictors of excess return in a green energy equity portfolio : market risk, market return, value-at-risk and or expected shortfall?

Abraham, Rebecca; El-Chaarani, Hani; Tao, Zhi - In: Journal of risk and financial management : JRFM 15 (2022) 2, pp. 1-31

(beta), as indicated by the single-factor Capital Asset Pricing Model (CAPM), and the multifactor Fama-French Three …

Persistent link: https://www.econbiz.de/10012872607

Mexican REITs (FIBRAS) in retirement funds (AFORES) : different pricing approaches and market risk measurement implications

Cruz-Aké, Salvador; García-Ruiz, Reyna Susana; … - In: International journal of bonds and derivatives 2 (2016) 3, pp. 211-232

Persistent link: https://www.econbiz.de/10011742332