We present a simple methodology for modeling the time variation in volatilities and other
higher-order moments using a recursive updating scheme that is similar to the familiar …

This paper tests the validity and accuracy of the Capital Asset Pricing Model and the Fama-
French Three-Factor Model, by predicting the variation in excess portfolio returns on the …

Volatility clustering and asymmetry are considered as an essential element in time series
data analysis for portfolio managers. This study is conducted to analyze the volatility …

In this paper we study an extension of the Gram–Charlier (GC) density in Jondeau and
Rockinger (2001) which consists of a Gallant and Nychka (1987) transformation to ensure …

Numerical calculation of Value-at-Risk (VaR) for large-scale portfolios poses great
challenges to financial institutions. The problem is even more daunting for large fixed …

This paper investigates the time-varying conditional higher moments of the daily returns on
WTI crude oil futures, using the GJR-GARCH model with Gram-Charlier expansion (GCE) of …

Orthogonal polynomials can be used to modify the moments of the distribution of a random
variable. In this paper, polynomially adjusted distributions are employed to model the …

A new computational approach based on the pointwise regularity exponent of the price time
series is proposed to estimate Value at Risk. The forecasts obtained are compared with …

Text mining is a very important issue in Statistics, Applied Mathematics, and many other
areas in Sciences, Engineering, and Business because its applications are extremely rich …

When the uni-variate risk measure analysis is generalized into the multi-variate setting,
many complex theoretical and applied problems arise, and therefore the mathematical …