In financial literature, Value-at-Risk (VaR) and Expected Shortfall (ES) modelling is focused on producing 1-step ahead conditional variance forecasts. The present paper provides a methodological contribution to the multi-step VaR and ES forecasting through a new adaptation of the Monte Carlo...

The present study compares the performance of the long memory FIGARCH model, with that of the short memory GARCH specification, in the forecasting of multi-period Value-at-Risk (VaR) and Expected Shortfall (ES) across 20 stock indices worldwide. The dataset is comprised of daily data covering...

In financial literature, Value-at-Risk (VaR) and Expected Shortfall (ES) modelling is focused on producing 1-step ahead conditional variance forecasts. The present paper provides a methodological contribution to the multi-step VaR and ES forecasting through a new adaptation of the Monte Carlo...

The present study compares the performance of the long memory FIGARCH model, with that of the short memory GARCH specification, in the forecasting of multi-period Value-at-Risk (VaR) and Expected Shortfall (ES) across 20 stock indices worldwide. The dataset is comprised of daily data covering...

Stationarity of hedge ratios can be viewed as a first step for portfolio hedging since it represents that the sensitivity of spot and futures returns follow a process whose main characteristics do not depend on time. However, we provide evidence that the hedge ratios of the main European stock...

Fractionally integrated autoregressive moving average (ARFIMA) and Heterogeneou Autoregressive (HAR) models are estimated and their ability to predict the one-trading-day-ahead CAC40 realized volatility is investigated. In particular, this paper follows three steps: (i) The optimal sampling...