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Volatility modeling and Value-at-Risk (VaR) forecasting of emerging stock markets in the presence of long memory, asymmetry, and skewed heavy tails

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Semiparametric GARCH models with long memory applied to value at risk and expected shortfall

Letmathe, Sebastian; Feng, Yuanhua; Uhde, André - 2021

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Forecasting tail risk measures for financial time series : an extreme value approach with covariates

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Long vs. short term asymmetry in volatility and the term structure of risk

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Time series analysis for financial market meltdowns

Kim, Young Shin; Račev, Svetlozar T.; Bianchi, Michele … - 2010

the failure of financial modeling. More specifically, current risk models have failed to properly assess the risks … over prevailing models for evaluating stock market risk exposure during distressed market periods. -- ARMA-GARCH model ; α …-stable distribution ; tempered stable distribution ; value-at-risk (VaR) ; average value-at-risk (AVaR) …

Persistent link: https://www.econbiz.de/10008653556