This study examines the dependence structure and estimates the Value at Risk (V a R) and
risk spillover between cryptocurrencies, oil, and Gold market data. In this paper, we estimate …

The study investigates the relative performance of Value-at-Risk (VaR) models using daily
share price index data from six different countries across Asia, Europe and the United States …

Numerous advances in the modeling techniques of value-at-risk (VaR) have provided
financial institutions with a wide range of market risk approaches. However, which model to …

Sažetak The aim of this paper is to investigate the performance of Value at Risk (VaR)
models in selected Central and Eastern European (CEE) emerging capital markets. Daily …

The aim of the presented study was to assess the quality of VaR forecasts in various states
of the economic situation. Two approaches based on the extreme value theory were …

Purpose Our research revisits the study “Optimized Portfolios: All Seasons Strategy,” where
we support diversified portfolios to minimize risk, considering the principle of Markowitz …

The purpose of this work is to extend McNeil and Freys (2000) methodology by combining
two component GARCH models and extreme value theory to evaluate the performance of …

This paper investigates the relative performance of Value-at-Risk (VaR) and expected
shortfall (ES) models using daily overall index data from TSE for a period of 8 years from …

In recent times, investing in volatile security increases the risk of losses and reduces gains.
Many traders who depend on these risks indulge in multiple volatility procedures to inform …

Objetivo: Nossa pesquisa revisita o estudo “Carteiras otimizadas: estratégia para qualquer
contexto”, no qual apoiamos o uso de carteiras diversificadas para minimizar riscos …