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Chun-Kai Huang, Knowledge Chinhamu, Chun-Sung Huang, Jahvaid Hammujuddy
South Africa is a cornucopia of mineral riches and the performance of its mining industry has significant impacts on the economy. Hence, an accurate distributional assumption of the underlying mining index returns is imperative for the forecasting and un...
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Jying-Nan Wang,Yuan-Teng Hsu,Hung-Chun Liu
Pág. 651 - 656
Given the rapid growth of financial markets over the past 20 years, along with the explosive development of financial derivatives, an ever-growing need for accurate and efficient volatility forecasting has emerged. Such forecasts have numerous financial ...
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Huiyu Huang and Tae-Hwy Lee
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Marcelo C. Carvalho,Marco Aurélio S. Freire,Marcelo Cunha Medeiros,Leonardo R. Souza
Pág. pp. 55 - 77
The goal of this paper is twofold. First, using five of the most actively traded stocks in the Brazilian financial market, this paper shows that the normality assumption commonly used in the risk management area to describe the distributions of returns s...
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Marcelo Brutti Righi,Paulo Sergio Ceretta
Pág. 411?464
A fundamental aspect of proper risk management is the measurement, especially forecasting of risk measures. Measures such as variance, volatility and Value at Risk had been considered valid because of their practical intuition. However, a solid theoretic...
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