Related papers: Bayesian Realized-GARCH Models for Financial Tail …
It is well known that the probability distribution of high-frequency financial returns is characterized by a leptokurtic, heavy-tailed shape. This behavior undermines the typical assumption of Gaussian log-returns behind the standard…
We compare systematically several classes of stochastic volatility models of stock market fluctuations. We show that the long-time return distribution is either Gaussian or develops a power-law tail, while the short-time return distribution…
This paper proposes a novel hybrid model, termed GARCH-FIS, for recursive rolling multi-step forecasting of financial time series. It integrates a Fuzzy Inference System (FIS) with a Generalized Autoregressive Conditional Heteroskedasticity…
Univariate Weibull distribution is a well-known lifetime distribution and has been widely used in reliability and survival analysis. In this paper, we introduce a new family of bivariate generalized Weibull (BGW) distributions, whose…
The Bayesian estimation of GARCH-family models has been typically addressed through Monte Carlo sampling. Variational Inference is gaining popularity and attention as a robust approach for Bayesian inference in complex machine learning…
Modeling and predicting extreme movements in GDP is notoriously difficult and the selection of appropriate covariates and/or possible forms of nonlinearities are key in obtaining precise forecasts. In this paper, our focus is on using large…
Volatility clustering is an important characteristic that has a significant effect on the behavior of stock markets. However, designing robust models for accurate prediction of future volatilities of stock prices is a very challenging…
As the increasing application of AI in finance, this paper will leverage AI algorithms to examine tail risk and develop a model to alter tail risk to promote the stability of US financial markets, and enhance the resilience of the US…
The aim of the present work is to investigate the performances of a specific Bayesian control chart used to compare two processes. The chart monitors the ratio of the percentiles of a key characteristic associated with the processes. The…
The study of long-horizon returns has received a great deal of attention in recent years (see, for example, Boudoukh, Richardson, and Whitelaw (2008), Neuberger (2012) and Lee (2013), Fama and French (2018)). While most of the discussions…
Estimating conditional quantiles of financial time series is essential for risk management and many other applications in finance. It is well-known that financial time series display conditional heteroscedasticity. Among the large number of…
Volatility forecasting is essential for risk management and decision-making in financial markets. Traditional models like Generalized Autoregressive Conditional Heteroskedasticity (GARCH) effectively capture volatility clustering but often…
We provide a set of probabilistic laws for estimating the quadratic variation of continuous semimartingales with realized range-based variance -- a statistic that replaces every squared return of realized variance with a normalized squared…
Recent financial disasters emphasised the need to investigate the consequence associated with the tail co-movements among institutions; episodes of contagion are frequently observed and increase the probability of large losses affecting…
We introduce a new volatility model for option pricing that combines Markov switching with the Realized GARCH framework. This leads to a novel pricing kernel with a state-dependent variance risk premium and a pricing formula for European…
Various natural phenomena exhibit spatial extremal dependence at short spatial distances. However, existing models proposed in the spatial extremes literature often assume that extremal dependence persists across the entire domain. This is…
The extreme value theory is very popular in applied sciences including Finance, economics, hydrology and many other disciplines. In univariate extreme value theory, we model the data by a suitable distribution from the general max-domain of…
We test various volatility models using the Bitcoin spot price series. Our models include HIST, EMA ARCH, GARCH, and EGARCH, models. Both of our in-sample-fit and out-of-sample-forecast results suggest that GARCH and EGARCH models perform…
Tail risk measures are fully determined by the distribution of the underlying loss beyond its quantile at a certain level, with Value-at-Risk, Expected Shortfall and Range Value-at-Risk being prime examples. They are induced by law-based…
Modern risk modelling approaches deal with vectors of multiple components. The components could be, for example, returns of financial instruments or losses within an insurance portfolio concerning different lines of business. One of the…