Generalised autoregressive conditional heteroscedasticity (Garch)
The convenience yield implied in the European natural gas markets: the impact of storage and weather
This paper aims to determine the convenience yield implied in the European natural gas markets by investigating driving factors and according dynamics.
Testing value-at-risk models in emerging markets during crises: a case study on South Eastern European countries
This paper examines the applicability of a wide range of VaR models in emerging markets, focusing on South Eastern European countries.
Evaluating the performance of the skewed distributions to forecast value-at-risk in the global financial crisis
This paper models the tail behavior of daily returns and forecasting VaR in order to evaluate the performance of several skewed and symmetric distributions.
Risk model validation for BRICS countries: a value-at-risk, expected shortfall and extreme value theory approach
The authors of this paper employ value-at-risk (VaR) and expected shortfall (ES) as risk measures to assess the competency of several volatility models, based on the stock indexes of the BRICS countries (Brazil, Russia, India, China and South Africa)…
Cutting Edge introduction: living la vida local
Living la vida local
Smile in the low moments
Smile in the low moments
Profile: NYU’s Robert Engle on volatility, liquidity and systemic risk
An Arch economist