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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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Carl Hope Korkpoe,Nathaniel Howard
Pág. 69 - 79
We adopt a granular approach to estimating the risk of equity returns in sub-Saharan African frontier equity markets under the assumption that, returns are influenced by developments in the underlying economy. Four countries were studied ? Botswana, Ghan...
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Yolanda Stander,Daniël Marais,Ilse Botha
AbstractA new approach is proposed to identify trading opportunities in the equity market by using the information contained in the bivariate dependence structure of two equities. The relationships between the equity pairs are modelled with bivariate cop...
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Alan Cosme Rodrigues da Silva,Claudio Henrique da Silveira Barbedo,Gustavo Silva Araújo,Myrian Beatriz Eiras das Neves
Pág. pp. 97 - 118
The purpose of this paper is to analyze backtesting methodologies of VaR, focusing on aspects as suitability to volatile markets and limited data set. We verify, from regulatory standpoint, tests to complement the Basel traffic light results, using simul...
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