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Stable mixture GARCH models
Broda, Simon A.; Haas, Markus; Krause, Jochen; … - In: Journal of Econometrics 172 (2013) 2, pp. 292-306
A new model class for univariate asset returns is proposed which involves the use of mixtures of stable Paretian distributions, and readily lends itself to use in a multivariate context for portfolio selection. The model nests numerous ones currently in use, and is shown to outperform all its...
Persistent link: https://www.econbiz.de/10010608465
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Essays on financial models
Amilon, Henrik - 2000
Persistent link: https://www.econbiz.de/10001534304
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International asset pricing and the benefits from world market diversification
Nilsson, Birger (contributor) - 2002 - [Elektronische Ressource]
Persistent link: https://www.econbiz.de/10001652002
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Chapter 17. Financial Risk Measurement for Financial Risk Management
Andersen, Torben G.; Bollerslev, Tim; Christoffersen, … - 2013
Current practice largely follows restrictive approaches to market risk measurement, such as historical simulation or RiskMetrics. In contrast, we propose flexible methods that exploit recent developments in financial econometrics and are likely to produce more accurate risk assessments, treating...
Persistent link: https://www.econbiz.de/10014025361
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A comparative study between retail sukuk and retail bonds in Indonesia
Danila, Nevi; Noor Azlinna Azizan; Noreen, Umara - In: International journal of business and globalisation : IJBG 33 (2023) 3, pp. 373-386
Persistent link: https://www.econbiz.de/10014232791
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Regime-switching angular correlation diversification
Lee, Hsiang-Tai - In: Finance research letters 50 (2022), pp. 1-15
Persistent link: https://www.econbiz.de/10014234140
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Forecasting volatility of Saudi stock market (TASI) and sectoral indices
Kumaran, Sunitha - In: Afro-Asian Journal of Finance and Accounting : AAJFA 13 (2023) 6, pp. 819-842
Persistent link: https://www.econbiz.de/10014434354
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Empirical testing of models of autoregressive conditional heteroscedasticity used for prediction of the volatility of Bulgarian investment funds
Petrova, Mariana; Todorov, Teodor - In: Risks : open access journal 11 (2023) 11, pp. 1-30
investment decisions. The used risk attribution quantification models GARCH (1.1), EGARCH (1.1), GARCH-M (1.1) and TGARCH (1 … concentration of investment funds (in Bulgaria) through the testing of complex, analytical and specialized models from the GARCH … models GARCH, EGARCH, GARCH-M and TGARCH with specification (1.1). The research covers the net balance sheet value of forty …
Persistent link: https://www.econbiz.de/10014436423
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Is idiosyncratic volatility related to returns?evidence from a subset of firms with quality idiosyncratic volatility estimates
Bergbrant, Mikael; Kassa, Haimanot - In: Journal of banking & finance 127 (2021), pp. 1-20
Persistent link: https://www.econbiz.de/10012821006
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On the appraisal of LVaR throughout the close-out period : an investment management outlook from recent global financial crisis
Al Janabi, Mazin A. M. - In: International journal of management practice : IJMP 6 (2013) 3, pp. 248-285
Persistent link: https://www.econbiz.de/10009790987