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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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Bridget Nkemnole,Olaide Abass
AbstractOrientation: Geometric Brownian motion (GBM) model basically suggests whether the distribution of asset returns is normal or lognormal. However, many empirical studies have revealed that return distributions are usually not normal. These stu...
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Serpil TURKYILMAZ,Mesut BALIBEY
Pág. 400 - 410
This study examines the weak-form market efficiency of Pakistan Stock Market namely Karachi Stock Exchange for the period 2010-2013. The efficiency of stock market has tested by using ARFIMA-FIGARCH models estimated under different distribution assumptio...
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Mesut BALIBEY,Serpil TURKYILMAZ
Pág. 836 - 848
Value-at-Risk (VaR) is a standard tool for measuring potential risk of economic losses in financial markets. In this study, we examine the convenience of the FIGARCH (1, d, 1) and FIAPARCH (1, d, 1) models in evaluating asymmetry features and long memory...
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José Santiago Fajardo Barbachan,Aquiles Rocha de Farias,José Renato Haas Ornelas
Pág. 139 - 155
To verify whether an empirical distribution has a speci?c theoretical distribution, several tests have been used like the Kolmogorov-Smirnov and the Kuiper tests. These tests try to analyze if all parts of the empirical distribution has a speci?c theoret...
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