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Raúl de Jesús-Gutiérrez,Roberto J. Santillán-Salgado
Pág. 127 - 141
The purpose of this work is to extend McNeil and Frey´s (2000) methodology by combining two component GARCH models and extreme value theory to evaluate the performance of the Value at Risk (VaR) and Expected Shortfall (ES) measures in the Latin American ...
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Neil A. Wilmot
Financial times series, and commodity prices in particular, are known to exhibit fat tails in the distribution of prices. As with many natural resources price series, the arrival of new information can lead to unexpectedly rapid changes?or jump?in prices...
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Charan Raj Chimrani,Farhan Ahmed,Vinesh Kumar Panjwani
Pág. 319 - 324
Modeling volatility in financial markets is one of the factors that results in direct impact and effect on pricing, risk and portfolio management. This study aims to examine the volatility of stock indices in PSX that include; volatility clustering, fat ...
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Christian Jonnatan Jacobsen Soto Herrera,Fernanda Finotti Cordeiro Perobelli
Pág. 285 - 335
This article empirically test the lower partial moments models, Sortino, Upside Potential Ratio, Omega and Kappa, comparing them with the traditional CAPM, for listed shares of Ibovespa and Dow Jones index. These two classes of models are distinguished i...
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Prashant Sharma,Prashant Gupta,Anurag Singh
Pág. 1815 - 1826
With the assumption that the returns are normally distributed with no fat tails, most of the existing studies have used ordinary least square (OLS) method to test the pricing ability of asset pricing models. These assumptions are not valid in numerous ca...
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Samet Günay
In this study, the performance of the Multifractal Model of Asset Returns (MMAR) was examined for stock index returns of four emerging markets. The MMAR, which takes into account stylized facts of financial time series, such as long memory, fat tails and...
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Samet Gunay
In this study, we analyzed the multifractality and the source of multifractality of the returns of GBP/USD, EUR/USD, USD/JPY and USD/CHF currencies. In the examination of multifractality we performed the Multifractal Detrended Fluctuation Analysis (MF-DF...
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Julija Cerovic
Pág. 175 - 189
The concept of value at risk (VaR) is a measure that is increasingly used for estimation of the maximum loss of financial position at a given time for a given probability. The aim of this manuscript is to show the most recent approaches for quantifying m...
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