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Katleho Makatjane and Tshepiso Tsoku
This study aims to overcome the problem of dimensionality, accurate estimation, and forecasting Value-at-Risk (VaR) and Expected Shortfall (ES) uncertainty intervals in high frequency data. A Bayesian bootstrapping and backtest density forecasts, which a...
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Dimitrios Dadakas, Christos Karpetis, Athanasios Fassas and Erotokritos Varelas
The stock beta coefficient literature extensively discusses the proper methods for the estimation of beta as well as its use in asset valuation. However, there are fewer references with respect to the appropriate time horizon that investors should utiliz...
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Rafik Nazarian,Esmaeil Naderi,Nadiya Gandali Alikhani,Ashkan Amiri
Pág. 16 - 26
This study is an attempt to review the theory and applications of autoregressive fractionally integrated moving average (ARFIMA) and fractionally integrated generalized autoregressive conditional heteroskedasticity (FIGARCH) models, mainly for the purpos...
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