On the Statistical GARCH Model for Managing the Risk by Employing a Fat-Tailed Distribution in Finance
The Conditional Value-at-Risk (CVaR) is a coherent measure that evaluates the risk for different investing scenarios. On the other hand, since the extreme value distribution has been revealed to furnish better financial and economical data adjustment in contrast to the well-known normal distribution...
Main Authors: | H. Viet Long, H. Bin Jebreen, I. Dassios, D. Baleanu |
---|---|
Format: | Article |
Language: | English |
Published: |
MDPI AG
2020-10-01
|
Series: | Symmetry |
Subjects: | |
Online Access: | https://www.mdpi.com/2073-8994/12/10/1698 |
Similar Items
-
CoCDaR and mCoCDaR: New Approach for Measurement of Systemic Risk Contributions
by: Rui Ding, et al.
Published: (2020-11-01) -
Does copula beat linearity? : Comparison of copulas and linear correlation in portfolio optimization.
by: Blom, Joakim, et al.
Published: (2016) -
Portfolio optimization from a Copulas-GJR-GARCH-EVT-CVAR model: Empirical evidence from ASEAN stock indexes
by: Sang Phu Nguyen, et al.
Published: (2019-09-01) -
Modelo de valoración de riesgo financiero en la gestión de contratos de suministro de energía eléctrica
by: Mónica Sánchez, et al.
Published: (2014-01-01) -
Value at Risk Estimation Using the GARCH-EVT Approach with Optimal Tail Selection
by: Krzysztof Echaust, et al.
Published: (2020-01-01)