Stock markets. Value at Risk. Multivariate GARCH models. Extreme value theory. Backtesting.
Risk Measurement of Chinese Stock Market Based on GARCH Model and Extreme Value Theory
... The GARCH model not only reveals the “fluc- tuating agglomeration” characteristics of financial markets, but also reflects the “thick tail” ...the GARCH model can be used to charac- terize financial ...
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Crisis, Value at Risk and Conditional Extreme Value Theory via the NIG + Jump Model
... five models in one-day VaR ...five models by giving the smallest deviation of its number of exceedences from the expected figures at both the 99 percent (one percent of the number of daily observations in ...
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Modelling Kenyan Foreign Exchange Risk Using Asymmetry Garch Models and Extreme Value Theory Approaches
... the GARCH-EVT, because of the higher ...asymmetry GARCH models in modelling and forecasting the Value-at- ...in backtesting procedures. In accordance to that the Exponential ...
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Risk Correlation Based on Time Varying Copula Function and Extreme Value Theory
... the risk of ...the GARCH model and random fluctuation in the SV ...copula theory when studying correlation of risks [10] [11] ...the GARCH model cannot be proved theoretically ...copula ...
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A Comparative Study of GARCH and EVT Model in Modeling Value at Risk
... tail risk, particularly the day ahead forecast of Value-at-Risk (VaR), using Extreme Value Theory (EVT) and GARCH ...both models onto major countries stock ...
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Filtered Extreme Value Theory for Value At Risk Estimation
... to GARCH based parametric value-at-risk estimation ...that value-at-risk models do not give the proper risk estimation in volatile market conditions while the EVT has more ...
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Dependence and Value at Risk in the Stock Markets from the Americas: A Copula Approach
... financial markets; copula studies on emerging markets are still ...copula theory in VaR valuation about Latin American emerging market ...Moroccan stock markets. Hussain and Li (2015) ...
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Measuring market risk using extreme value theory
... develop value-at-risk (VaR) models to measure market ...VaR models are considered using the peaks-over-threshold (POT) approach of the extreme value theory: (1) static EVT ...
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Predictive Performance of Conditional Extreme Value Theory and Conventional Methods in Value at Risk Estimation
... level risk measures such as the aggregate ...and risk management process. A multivariate approach should be adopted to have a complete picture of the risk and to know the optimal portfolio ...
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Using Conditional Extreme Value Theory to Estimate Value at Risk for Daily Currency Exchange Rates
... one-day Value-at-Risk (VaR) forecast for a portfolio of four currency exchange ...The GARCH models and its extensions have been widely used in financial econometrics to model the conditional ...
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On the volatility of daily stock returns of Total Nigeria Plc: evidence from GARCH models, value-at-risk and backtesting
... the models was stable except in few cases where iGARCH and eGARCH were ...gjrGARCH models failed to ...selected models revealed that the risk of VaR losses was high at a 99% confidence level, ...
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On the Volatility of Daily Stock Returns of Total Petroleum Company of Nigeria: Evidence from GARCH Models, Value-at-Risk and Backtesting
... Total stock returns and cleansed ...the models at 1% level of ...the stock has the potentials to improve in the future. Again, though the risk is high at 99% confidence level, this in line ...
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Nonlinear Combination of Financial Forecast with Genetic Algorithm
... financial markets requires intelligent forecasting models for return ...simulation, GARCH, GARCH with skewed student-t distribution and asymmetric normal mixture GRJ-GARCH models ...
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An application of extreme value theory to cryptocurrencies
... the extreme returns of Litecoin in the left tail and of Bitcoin in the right tail are the lowest ones according to both 𝑉𝑎𝑅 and ...of risk than traditional currencies according to both risk ...
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Estimating strategies for multiparameter Multivariate Extreme Value copulas
... In Fig. 2 we plot the empirical and fitted Pickands’ func- tions A’s for all the pairs of stations and the models of inter- est. The graphs allow for a preliminary visual analysis of the different performances: ...
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Volatility and the Euro: an Irish perspective
... Extreme Value Theory is used to address nominal exchange rate stability in two ways in this ...rate markets are not supposed to happen, but unfortunately, reality dictates that they ...in ...
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Liquidity Dynamics of Indian Stock Market in Financial Shocks: Extreme Value Theory
... Chordia and Subrahmanyam [5] produce empirical evidence for statistically sig- nificant and negative effect of liquidity on risk-adjusted returns by employing the turnover rate and the trading volume as a proxy ...
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Margin Exceedences for European Stock Index Futures using Extreme Value Theory
... a value less than or equal to two have stable paretian characteristics of which the cauchy and normal distributions have values of one and two respectively, whereas, GARCH related specifications have values ...
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Extreme Risk In Resource Indices And The Generalized Logistic Distribution
... An extreme event ...finance, extreme events affect aspects such as risk assessment, modeling and ...example, extreme negative share movements may have a ripple effect on the entire market and ...
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Estimating Inflation at Risk (IaR) using Extreme Value Theory (EVT)
... the Value-at-Risk (VaR) used to estimate risk in the financial ...is extreme enough to be considered an imminent threat to its inflation ...The extreme value theory (EVT), ...
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