Abstract Dominance-based Rough Sets Approach (DRSA) has received much attention
since it is able to acquire knowledge from information with preference ordered attribute …

This paper employs a combination of the Copula-CoVaR approach and the ARMA-GARCH-
skewed Student-t model to investigate the tail dependence structure and extreme risk …

Beyond their importance from the regulatory policy point of view, Value-at-Risk (VaR) and
Expected Shortfall (ES) play an important role in risk management, portfolio allocation …

In large panels of financial time series with dynamic factor structure on the levels or returns,
the volatilities of the common and idiosyncratic components often exhibit strong correlations …

We study the performance and behavior of Value at Risk measures used by a number of
large US banks before, during and after the financial crisis. Alternative benchmark VaR …

Abstract Based on a General Dynamic Factor Model with infinite-dimensional factor space
and MGARCH volatility models, we develop new estimation and forecasting procedures for …

We employ a two-stage general dynamic factor model to analyze co-movements between
returns and between volatilities of stocks from the US, European, and Japanese financial …

We consider the core problems of the conventional value-at-risk (VaR) based on the price
probability determined by frequencies of trades at a price p during an averaging time interval …

General dynamic factor models have demonstrated their capacity to circumvent the curse of
dimensionality in the analysis of high-dimensional time series and have been successfully …

We study the performance and behavior of Value at Risk (VaR) measures used by a number
of large banks during and before the financial crisis. Alternative benchmark VaR measures …