In this article we present a theoretical review of the existing literature on Value at Risk (VaR)
specifically focussing on the development of new approaches for its estimation. We effect a …

Market Risk Analysis is the most comprehensive, rigorous and detailed resource available
on market risk analysis. Written as a series of four interlinked volumes each title is self …

Given the growing need for managing financial risk, risk prediction plays an increasing role
in banking and finance. In this study we compare the out-of-sample performance of existing …

The use of Markov-switching models to capture the volatility dynamics of financial time
series has grown considerably during past years, in part because they give rise to a …

This article reviews some of the most important concepts and distributional models that are
used in empirical finance to capture the (almost) ubiquitous stochastic properties of returns …

In this paper, we forecast energy market volatility using both univariate and multivariate
GARCH-class models. First, we forecast volatilities of individual assets and find that …

In this paper we compare a set of different standard GARCH models with a group of Markov
Regime-Switching GARCH (MRS-GARCH) in terms of their ability to forecast the US stock …

We propose a practical and flexible method to introduce skewness in multivariate symmetric
distributions. Applying this procedure to the multivariate Student density leads to a …

Knowledge of the statistical distribution of the prices of emission allowances, and their
forecastability, are crucial in constructing, among other things, purchasing and risk …

Some recent specifications for GARCH error processes explicitly assume a conditional
variance that is generated by a mixture of normal components, albeit with some parameter …