Will Kenton is an expert on the economy and investing laws and regulations. He previously held senior editorial roles at Investopedia and Kapitall Wire and holds a MA in Economics from The New School ...
There are several approaches to dealing with heteroscedasticity. If the error variance at different times is known, weighted regression is a good method. If, as is ...
Volatility forecasting is a key component of modern finance, used in asset allocation, risk management, and options pricing. Investors and traders rely on precise volatility models to optimize ...
Forecasting the value at risk (VaR) and expected shortfall (ES) by an object-driven semiparametric GARCH procedure is proposed. A new firm’s loss function and an adjusted traffic-light test for the ES ...
We apply vine copulas with generalized autoregressive conditional heteroscedasticity (GARCH) marginals to the problem of capturing asset dependence and tail dynamics for currency and commodity ...
Will Kenton is an expert on the economy and investing laws and regulations. He previously held senior editorial roles at Investopedia and Kapitall Wire and holds a MA in Economics from The New School ...
Some results have been hidden because they may be inaccessible to you
Show inaccessible results
Feedback