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Evaluating an EGARCH model with fat tails, skewness and leverage in forecasting VaR

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Volatility modeling of the JSE all share index and risk estimation using the Bayesian and frequentist approaches

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The role of trading volume in forecasting market risk

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Volatility vs. downside risk : optimally protecting against drawdowns and maintaining portfolio performance

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Model risk in risk models : quantifying statistical uncertainty in active risk

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Mutual funds herding behavior, sentiment, and market volatility

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The effectiveness of Value-at-Risk models in various volatility regimes

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A neural network with shared dynamics for multi‐step prediction of value‐at‐risk and volatility

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Estimating and forecasting conditional risk measures with extreme value theory : a review

Bee, Marco; Trapin, Luca - In: Risks : open access journal 6 (2018) 2, pp. 1-16

One of the key components of financial risk management is risk measurement. This typically requires modeling … financial econometrics literature have developed several models based on Extreme Value Theory (EVT) to carry out these tasks …

Persistent link: https://ebvufind01.dmz1.zbw.eu/10011866456