Purpose – The purpose of this paper is to use filtered extreme‐value theory (EVT) model to forecast one of the main emerging market stock returns and compare the predictive performance of this model with other conditional volatility models. Design/methodology/approach – This paper employs...

Model risk in the estimation of value-at-risk is a challenging threat for the success of any financial investments. The degree of the model risk increases when the estimation process is constructed with a portfolio in the emerging markets. The proper model should both provide flexible joint...

Extreme returns in stock returns need to be captured for a successful risk management function to estimate unexpected loss in portfolio. Traditional value-at-risk models based on parametric models are not able to capture the extremes in emerging markets where high volatility and nonlinear...

In this study, variance changing to the scale and multi-scale Capital Asset Pricing Model (CAPM) is tested by Wavelets as a new analysis method in finance and economics. It introduces a new approach to the variance changing to the scale as a general risk indicator, and to multi-scale CAPM...

Long-term memory effect in stock prices might be captured, if any, with alternative models. Though Geweke and Porter-Hudak (1983) test model the long memory with the OLS estimator, a new approach based on wavelets analysis provide WOLS estimator for the memory effect. This article examines the...

Model risk in the estimation of value-at-risk is a challenging threat for the success of any financial investments. The degree of the model risk increases when the estimation process is constructed with a portfolio in the emerging markets. The proper model should both provide flexible joint...

The purpose of this study is to test predictive performance of Asymmetric Normal Mixture Garch (NMAGARCH) and other Garch models based on Kupiec and Christoffersen tests for Turkish equity market. The empirical results show that the NMAGARCH perform better based on %99 CI out-of-sample...

Complexity in the financial markets requires intelligent forecasting models for return volatility. In this paper, historical simulation, GARCH, GARCH with skewed student-t distribution and asymmetric normal mixture GRJ-GARCH models are combined with Extreme Value Theory Hill by using artificial...

This study aims to test the money base, money supply, credit capacity, industrial production index, interest rates, inflation and real exchange rate data of Turkey during the years 1997 – 2006 through the monetary transmission mechanism and passive money hypothesis using the vector error...

Financial modeling in developing markets requires dynamic and complex algorithms, which enable investors to estimate extremes in the returns arising from the chaotic characteristics of those markets. In this research paper, the value-at-risk (VaR) of a portfolio consists of Bombay Stock Exchange...