Volatility has been one of the most active and successful areas of research in time series
econometrics and economic forecasting in recent decades. This chapter provides a selective …

The interest in forecasting the Value at Risk (VaR) has been growing over the last two
decades, due to the practical relevance of this risk measure for financial and insurance …

With the exception of Bitcoin, there appears to be little or no literature on GARCH modelling
of cryptocurrencies. This paper provides the first GARCH modelling of the seven most …

This paper studies computationally and theoretically attractive estimators called here
Laplace type estimators (LTEs), which include means and quantiles of quasi-posterior …

Fully revised and restructured, Measuring Market Risk, Second Edition includes a new
chapter on options risk management, as well as substantial new information on parametric …

The Second Edition of this best-selling book expands its advanced approach to financial risk
models by covering market, credit, and integrated risk. With new data that cover the recent …

In the 20 years following the publication of the ARCH model, there has been a vast quantity
of research uncovering the properties of competing volatility models. Wide‐ranging …

The main focus of this paper is to study empirically the impact of terrorism on the behavior of
stock, bond and commodity markets. We consider terrorist events that took place in 25 …

Financial risk model evaluation or backtesting is a key part of the internal model's approach
to market risk management as laid out by the Basle Committee on Banking Supervision …

Quantile regression has important applications in risk management, portfolio optimization,
and asset pricing. The current paper studies estimation, inference and financial applications …