[HTML][HTML] Shifts in volatility driven by large stock market shocks
This paper presents an extension of the stochastic volatility model which allows for level
shifts in volatility of stock market returns, known as structural breaks. These shifts are …
shifts in volatility of stock market returns, known as structural breaks. These shifts are …
Improving variance forecasts: The role of Realized Variance features
In this paper, we effectively extend the Realized-EGARCH (R-EGARCH) framework by
allowing the conditional variance process to incorporate exogenous variates related to …
allowing the conditional variance process to incorporate exogenous variates related to …
Do realized higher moments have information content?-VaR forecasting based on the realized GARCH-RSRK model
In this paper, we develop a new model, the Realized GARCH-RSRK, to determine the time-
varying distribution of financial returns with realized higher moments. Based on Gram …
varying distribution of financial returns with realized higher moments. Based on Gram …
Forecasting value-at-risk with time-varying variance, skewness and kurtosis in an exponential weighted moving average framework
A Gabrielsen, A Kirchner, Z Liu… - Annals of Financial …, 2015 - World Scientific
This paper provides an insight to the time-varying dynamics of the shape of the distribution
of financial return series by proposing an exponential weighted moving average (EWMA) …
of financial return series by proposing an exponential weighted moving average (EWMA) …
Value‐at‐risk under market shifts through highly flexible models
A BenSaïda, S Boubaker, DK Nguyen… - Journal of …, 2018 - Wiley Online Library
Managing market risk under unknown future shocks is a critical issue for policymakers,
investors, and professional risk managers. Despite important developments in market risk …
investors, and professional risk managers. Despite important developments in market risk …
Polynomial adjusted Student-t densities for modeling asset returns
We present a polynomial expansion of the standardized Student-t distribution. Our density,
obtained through the polynomial adjusted method in Bagnato, Potí, and Zoia (2015.“The …
obtained through the polynomial adjusted method in Bagnato, Potí, and Zoia (2015.“The …
Volatility specifications versus probability distributions in VaR forecasting
L Garcia‐Jorcano, A Novales - Journal of Forecasting, 2021 - Wiley Online Library
We provide evidence suggesting that the assumption on the probability distribution for return
innovations is more influential for value‐at‐risk (VaR) performance than the conditional …
innovations is more influential for value‐at‐risk (VaR) performance than the conditional …
Two-sided Lindley distribution with inference and applications
E Altun - Journal of the Indian Society for Probability and …, 2019 - Springer
We propose a new distribution, called two-sided Lindley distribution. Some of its statistical
properties are derived including the probability and cumulative density functions, moments …
properties are derived including the probability and cumulative density functions, moments …
A new generalization of skew-T distribution with volatility models
In this paper, we propose a new generalized alpha-skew-T (GAST) distribution for
generalized autoregressive conditional heteroskedasticity (GARCH) models in modelling …
generalized autoregressive conditional heteroskedasticity (GARCH) models in modelling …
A new approach to Value-at-Risk: GARCH-TSLx model with inference
E Altun - Communications in statistics-simulation and …, 2020 - Taylor & Francis
In this paper, two-sided Lomax (TSLx) distribution is proposed. The usefulness of proposed
distribution is demonstrated in forecasting Value-at-Risk by applying the TSLx distribution to …
distribution is demonstrated in forecasting Value-at-Risk by applying the TSLx distribution to …