financial returns and portfolio risk. In this paper, we propose an adjustment of GARCH implied conditional value-at-risk and …, especially the Frank-GARCH models provide most conservative risk forecasts and out-perform all rival models …

financial returns and port-folio risk. In this paper, we propose an adjustment of GARCH implied conditional value-at-risk and …, especially the Frank-GARCH models provide most conservative risk forecasts and out-perform all rival models. -- Copula … distributions ; expected shortfall ; GARCH ; model selection ; non-Gaussian innovations ; risk forecasting ; value-at-risk …

the behaviour of investment strategies that maximize the expected log of wealth (Kelly criterion) for the risky asset and … a risk-free asset. We show that the method behaves similarly to Kelly on Geometric Brownian Motion in that it …

of financial assets proves their effectiveness in modeling multivariate financial series and assessing risk measures …, such as the value at risk and the expected shortfall. …