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6 results for Value-at-Risk.

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Keyword    Value-at-Risk

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Parametric Value-at-Risk Analysis: Evidence from Islamic and Conventional Stock Market
by Majoul Neila and Hellara Slaheddine
International Journal of Business and Risk Management. 2018, 1(1), 37-54. DOI: 10.12691/ijbrm-1-1-5
Pub. Date: June 05, 2018Views: 13912Downloads: 13740
value-at-risk GARCH models risk Stock market indices Islamic finance
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A Wavelet-ARMA-GARCH Refinement Method to VaR Estimate for Foreign Exchange Market
by Samia Mederessi and Slaheddine Hallara
International Journal of Business and Risk Management. 2018, 1(1), 28-36. DOI: 10.12691/ijbrm-1-1-4
Pub. Date: April 23, 2018Views: 14431Downloads: 13416
Value-at-Risk foreign exchange rate ARMA-GARCH wavelet wavelet decomposed VAR Kupiec backtesting procedures
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Review on Wavelet Denoised Value at Risk and Application on Crude Oil Market
by Samia Mederessi and Slaheddine Hallara
International Journal of Global Energy Markets and Finance. 2018, 1(1), 4-10. DOI: 10.12691/ijgefm-1-1-2
Pub. Date: April 23, 2018Views: 12019Downloads: 11451
Value-at-Risk crude oil ARMA-GARCH Wavelet Wavelet Denoised VaR Kupiec Backtesting procedures
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Risk Measurement in Commodities Markets Using Conditional Extreme Value Theory
by Ahmed GHORBEL and Sameh SOUILMI
International Journal of Econometrics and Financial Management. 2014, 2(5), 188-205. DOI: 10.12691/ijefm-2-5-4
Pub. Date: September 30, 2014Views: 37279Downloads: 31752
risk measurement oil natural gas and phosphate markets filtered data conditional EVT value-at-risk expected shortfull
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An Interval-Valued Fuzzy Portfolio Decision Model with Entropy and VaR Constraints
by Qiansheng Zhang and Yuanjun Ou
American Journal of Modeling and Optimization. 2024, 11(1), 1-6. DOI: 10.12691/ajmo-11-1-1
Pub. Date: February 01, 2024Views: 1583Downloads: 1891
interval-valued fuzzy number possibilistic variance value-at-risk entropy portfolio
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A Comparative Performance of Conventional Methods for Estimating Market Risk Using Value at Risk
by Cyprian Ondieki Omari
International Journal of Econometrics and Financial Management. 2017, 5(2), 22-32. DOI: 10.12691/ijefm-5-2-1
Pub. Date: April 26, 2017Views: 17914Downloads: 15542
backtesting generalized autoregressive conditionally heteroscedastic (GARCH) models Value-at-Risk (VaR) volatility clustering Conditional and Unconditional Coverage Tests
Abstract Full Text PDF (387 KB) Full Text HTML Full Text ePUB (423 KB)
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