19 research outputs found
Parameter estimates for two-state MS-GJR-GARCH(1,1) model with skewed Studentās-<i>t</i> distribution.
<p>Parameter estimates for two-state MS-GJR-GARCH(1,1) model with skewed Studentās-<i>t</i> distribution.</p
Back-testing results following sGARCH(1,1) and GJR-GARCH(1,1) models with skewed studentās-<i>t</i> errors.
<p>Back-testing results following sGARCH(1,1) and GJR-GARCH(1,1) models with skewed studentās-<i>t</i> errors.</p
Forecasts daily VaR estimates and daily profit and loss (P&L) plots for an investment in a portfolio consisting of all banks following Bayesian GJR-GARCH(1,1) Frank copula EVT VaR model.
<p>Forecasts daily VaR estimates and daily profit and loss (P&L) plots for an investment in a portfolio consisting of all banks following Bayesian GJR-GARCH(1,1) Frank copula EVT VaR model.</p
POT parameter estimates, <i>VaR</i><sub><i>q</i></sub>(<i>Z</i>) and following Bayesian MS-GJR-GARCH(1,1) Frank and Studentās-<i>t</i> copula-EVT models.
<p>POT parameter estimates, <i>VaR</i><sub><i>q</i></sub>(<i>Z</i>) and following Bayesian MS-GJR-GARCH(1,1) Frank and Studentās-<i>t</i> copula-EVT models.</p
Forecasts daily VaR estimates and daily profit and loss (P&L) plots for an investment in a portfolio consisting of all banks following Bayesian MS-GJR-GARCH(1,1) Studentās-<i>t</i> copula EVT VaR model.
<p>Forecasts daily VaR estimates and daily profit and loss (P&L) plots for an investment in a portfolio consisting of all banks following Bayesian MS-GJR-GARCH(1,1) Studentās-<i>t</i> copula EVT VaR model.</p
Back-testing results following Bayesian MS-GJR-GARCH(1,1) Studentās-<i>t</i> and Frank copula-EVT VaR models.
<p>Back-testing results following Bayesian MS-GJR-GARCH(1,1) Studentās-<i>t</i> and Frank copula-EVT VaR models.</p
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Mean excess function plot demonstrating the <i>hybrid</i> method for threshold selection.
<p>Mean excess function plot demonstrating the <i>hybrid</i> method for threshold selection.</p
Expected versus observed number of exceptions following Bayesian MS-GJR-GARCH(1,1) and GJR-GARCH(1,1) copula-EVT VaR model.
<p>Expected versus observed number of exceptions following Bayesian MS-GJR-GARCH(1,1) and GJR-GARCH(1,1) copula-EVT VaR model.</p
Kendallās <i>Ļ</i>; <i>Ļ</i><sub><i>Ļ</i></sub>(<i>Ļ</i><sub><i>SE</i></sub>) for Gaussian and Studentās-<i>t</i> copula parameter estimates.
<p>Kendallās <i>Ļ</i>; <i>Ļ</i><sub><i>Ļ</i></sub>(<i>Ļ</i><sub><i>SE</i></sub>) for Gaussian and Studentās-<i>t</i> copula parameter estimates.</p