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 …

The literature on multivariate stochastic volatility (MSV) models has developed significantly
over the last few years. This paper reviews the substantial literature on specification …

Although stochastic volatility (SV) models have an intuitive appeal, their empirical
application has been limited mainly due to difficulties involved in their estimation. The main …

This paper uses the specific-to-general methodological approach that is widely used in
science, in which problems with existing theories are resolved as the need arises, to …

In this paper we propose a flexible model to describe nonlinearities and long-range
dependence in time series dynamics. The new model is a multiple regime smooth transition …

Since its conception, the cryptocurrency market has been frequently described as an
immature market, characterized by significant swings in volatility and occasionally described …

In this paper, we analyze five of the most popular models proposed to represent conditional
heteroscedasticity with leverage effect, namely, GQARCH, TGARCH, GJR, EGARCH, and …

ABSTRACT Value‐at‐risk (VaR) forecasting via a computational Bayesian framework is
considered. A range of parametric models is compared, including standard, threshold …

Full article: How can we Define the Concept of Long Memory? An Econometric Survey Skip to
Main Content Taylor and Francis Online homepage Taylor and Francis Online homepage Log …

Since the pioneering work by Tong (1978, 1983), threshold time series modelling and its
applications have become increasingly important for research in economics and finance. A …