vary according to whether they are in low or high volatility regimes …

Value-at-Risk (VaR) has become the universally accepted risk metric adopted internationally under the Basel Accords for … derivatives as hedges for equity market risk. The techniques used to model tail risk such as VaR have attracted criticism for … Theory (EVT) and evaluate different methods that may be used to calculate VaR ranging from well known econometrics models of …

This paper will examine some commonly adopted approaches to the measurement of risk in finance and the various … economics and its accompanying limitations; the various approaches in financial econometrics to modelling volatility (ARCH …, GARCH, stochastic volatility, realised volatility and attempts to capture 'tail risk'); the measurement of risk implicit in …

vary according to whether they are in low or high volatility regimes. …

vary according to whether they are in low or high volatility regimes. …

degree of volatility risk in stock and index returns, where we characterize volatility risk by the extent to which … forecasting errors in realized volatility are substantive. Even though returns standardized by ex post quadratic variation … distribution of returns. Explicitly modeling this volatility risk is fundamental. We propose a dually asymmetric realized …

Hafner and Herwartz (2006) analysis of multivariate GARCH models using volatility impulse response analysis. We use two sets … of data, daily realized volatility estimates taken from the Oxford Man RV library, running from the beginning of 2000 to …) and the subsequent European Sovereign Debt Crisis (ESDC). The spillover index captures the transmission of volatility to …