Similar Search Results

On the volatility of daily stock returns of Total Nigeria Plc : evidence from GARCH models, value-at-risk and backtesting

Emenogu, Ngozi G.; Adenomon, Monday Osagie; Nweze, … - In: Financial innovation : FIN 6 (2020) 18, pp. 1-25

This study investigates the volatility in daily stock returns for Total Nigeria Plc using nine variants of GARCH models … investigation of the volatility, VaR, and backtesting of the daily stock price of Total Nigeria Plc is important as most previous … to converge; the mean reverting number of days for returns differed from model to model. From the analysis of VaR and its …

Persistent link: https://www.econbiz.de/10012268756

Robust value-at-risk forecasting of Karachi Stock Exchange

Iqbal, Farhat - In: Afro-Asian Journal of Finance and Accounting : AAJFA 7 (2017) 2, pp. 130-146

Persistent link: https://www.econbiz.de/10011748632

Modeling and valuation of energy structures : analylsis., econometrics, and numerics

Mahoney, Daniel - 2016

Persistent link: https://www.econbiz.de/10011399615

Modeling and Valuation of Energy Structures : Analytics, Econometrics, and Numerics

Mahoney, Daniel - 2016

Commodity markets present several challenges for quantitative modeling. These include high volatilities, small sample data sets, and physical, operational complexity. In addition, the set of traded products in commodity markets is more limited than in financial or equity markets, making value...

Persistent link: https://www.econbiz.de/10014306581

Value-at-risk and expected shortfall : a dual long memory framework

Mighri, Zouheir; Mansouri, Fayçal; Hewings, Geoffrey - In: Global business & economics review 16 (2014) 4, pp. 416-451

Persistent link: https://www.econbiz.de/10010495693

Forecasting volatility of tanker freight rates based on asymmetric regime-switching GARCH models

Lauenstein, Philipp; Walther, Thomas - In: International journal of financial engineering and risk … 2 (2016) 3, pp. 172-199

Persistent link: https://www.econbiz.de/10011778834

Volatility forecasting and risk management in some MENA stock markets : a nonlinear framework

Aloui, Chaker - In: Afro-Asian Journal of Finance and Accounting : AAJFA 5 (2015) 2, pp. 160-192

Persistent link: https://www.econbiz.de/10011529632

GARCH volatilities applied to an asset selection algorithm : the case of fixed income markets

Corelli, Angelo - In: International journal of bonds and derivatives 4 (2018) 1, pp. 52-62

Persistent link: https://www.econbiz.de/10012253412

Pro-cyclicality of risk measurements - empirical quantification and theoretical confirmation

Bräutigam, Marcel - 2020

Persistent link: https://www.econbiz.de/10012488824

Who are the net senders and recipients of volatility spillovers in China's financial markets?

Wang, Gang-Jin; Chi, Xie; Jiang, Zhi-Qiang; Stanley, H. … - In: Finance research letters 18 (2016), pp. 255-262

Persistent link: https://www.econbiz.de/10011657061