Journals A-Z
All Subjects
Free Journals
sciepub.com

6 results for value-at-risk.

Parameters for your search query:
Keyword    value-at-risk

Open AccessArticle
Export: RIS | BibTeX | EndNote
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: 13544Downloads: 13309
value-at-risk GARCH models risk Stock market indices Islamic finance
Abstract Full Text PDF (786 KB) Full Text HTML Full Text ePUB (1051 KB)
Figure of 2
Open AccessArticle
Export: RIS | BibTeX | EndNote
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: 14043Downloads: 12995
Value-at-Risk foreign exchange rate ARMA-GARCH wavelet wavelet decomposed VAR Kupiec backtesting procedures
Abstract Full Text PDF (391 KB) Full Text HTML Full Text ePUB (194 KB)
Open AccessArticle
Export: RIS | BibTeX | EndNote
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: 11678Downloads: 11070
Value-at-Risk crude oil ARMA-GARCH Wavelet Wavelet Denoised VaR Kupiec Backtesting procedures
Abstract Full Text PDF (184 KB) Full Text HTML Full Text ePUB (249 KB)
Open AccessArticle
Export: RIS | BibTeX | EndNote
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: 36481Downloads: 30906
risk measurement oil natural gas and phosphate markets filtered data conditional EVT value-at-risk expected shortfull
Abstract Full Text PDF (507 KB) Full Text HTML Full Text ePUB (714 KB)
Figure of 10
Open AccessArticle
Export: RIS | BibTeX | EndNote
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: 1301Downloads: 1530
interval-valued fuzzy number possibilistic variance value-at-risk entropy portfolio
Abstract Full Text PDF (336 KB) Full Text HTML Full Text ePUB (264 KB)
Open AccessArticle
Export: RIS | BibTeX | EndNote
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: 17495Downloads: 15104
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)
Results: sort by Relevance

Filter by

Date

Published between:

and

Subjects

Journals

Article Types