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Semiparametric GARCH models with long memory applied to value-at-risk and expected shortfall

Letmathe, Sebastian; Feng, Yuanhua; Uhde, André - In: Journal of risk 25 (2022) 2, pp. 75-105

Persistent link: https://www.econbiz.de/10014342468

Evaluation of volatility models for forecasting Value-at-Risk and Expected Shortfall in the Portuguese stock market

Sobreira, Nuno; Louro, Rui - In: Finance research letters 32 (2020), pp. 1-7

Persistent link: https://www.econbiz.de/10012430745

Textual risk disclosures and investors’ risk perceptions

Kravet, Todd; Muslu, Volkan - In: Review of accounting studies 18 (2013) 4, pp. 1088-1122

Persistent link: https://www.econbiz.de/10010234289

Value at risk estimation for heavy tailed distributions

Gammoudi, Imed; BelKacem, Lotfi; El Ghourabi, Mohamed - In: The international journal of business and finance … 8 (2014) 3, pp. 109-125

Persistent link: https://www.econbiz.de/10010241908

Behaviour of Johannesburg Stock Exchange all share index returns : an asymmetric GARCH and news impact effects approach

Korkpoe, Carl H.; Owusu Junior, Peterson - In: Spoudai : journal of economics and business 68 (2018) 1, pp. 26-42

market was shown to react to news unequally. Volatility spikes sharply when unexpected adverse news reaches the market while …

Persistent link: https://www.econbiz.de/10011843965

Value at risk (VaR) analysis for fat tails and long memory in returns

Günay, Samet - In: Eurasian economic review : a journal in applied … 7 (2017) 2, pp. 215-230

Persistent link: https://www.econbiz.de/10011684346

On the volatility of daily stock returns of Total Nigeria Plc : evidence from GARCH models, value-at-risk and backtesting

Emenogu, Ngozi G.; Adenomon, Monday Osagie; Nweze, … - In: Financial innovation : FIN 6 (2020) 18, pp. 1-25

investigation of the volatility, VaR, and backtesting of the daily stock price of Total Nigeria Plc is important as most previous …This study investigates the volatility in daily stock returns for Total Nigeria Plc using nine variants of GARCH models … backtesting. We use daily data for Total Nigeria Plc returns for the period January 2, 2001 to May 8, 2017, and conclude that …

Persistent link: https://www.econbiz.de/10012268756

Forecasting market risk of portfolios: copula-Markov switching multifractal approach

Segnon, Mawuli; Trede, Mark - In: The European journal of finance 24 (2018) 14, pp. 1123-1143

Persistent link: https://www.econbiz.de/10012258877

Volatility and models based on the extreme value theory for gold returns

Krężołek, Dominik; Piontek, Krzysztof - In: Statistics in transition : an international journal of … 25 (2024) 2, pp. 1-22

volatility and models based on the extreme value theory (EVT). ES forecasts were calculated for conditional APARCH models formed … verified using the backtesting procedure proposed by Acerbi and Szekely. The results show that EVT models provide more accurate …

Persistent link: https://www.econbiz.de/10015125518

ESG trade-off with risk and return in Chinese energy companies

Naseer, Mirza Muhammad; Guo, Yongsheng; Zhu, Xiaoxian - In: International journal of energy sector management 18 (2024) 5, pp. 1109-1126

Persistent link: https://www.econbiz.de/10015419481