EWS-GARCH: New Regime Switching Approach to Forecast Value-at-Risk
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- Chlebus Marcin, 2017. "EWS-GARCH: New Regime Switching Approach to Forecast Value-at-Risk," Central European Economic Journal, Sciendo, vol. 3(50), pages 01-25, December.
References listed on IDEAS
- Dimitrakopoulos, Dimitris N. & Kavussanos, Manolis G. & Spyrou, Spyros I., 2010. "Value at risk models for volatile emerging markets equity portfolios," The Quarterly Review of Economics and Finance, Elsevier, vol. 50(4), pages 515-526, November.
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"A robust VaR model under different time periods and weighting schemes,"
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- Degiannakis, Stavros & Floros, Christos & Livada, Alexandra, 2012. "Evaluating Value-at-Risk Models before and after the Financial Crisis of 2008: International Evidence," MPRA Paper 80463, University Library of Munich, Germany.
- Engle, Robert F. & Manganelli, Simone, 2001. "Value at risk models in finance," Working Paper Series 75, European Central Bank.
- Marcin Chlebus, 2016. "One-Day Prediction of State of Turbulence for Portfolio. Models for Binary Dependent Variable," Working Papers 2016-01, Faculty of Economic Sciences, University of Warsaw.
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- Mateusz Buczyński & Marcin Chlebus, 2019. "Old-fashioned parametric models are still the best. A comparison of Value-at-Risk approaches in several volatility states," Working Papers 2019-12, Faculty of Economic Sciences, University of Warsaw.
More about this item
KeywordsValue-at-Risk; GARCH; forecasting; state of turbulence; regime switching; risk management; risk measure; market risk.;
- G17 - Financial Economics - - General Financial Markets - - - Financial Forecasting and Simulation
- C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation
- C52 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Evaluation, Validation, and Selection
- C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ETS-2016-03-23 (Econometric Time Series)
- NEP-FOR-2016-03-23 (Forecasting)
- NEP-RMG-2016-03-23 (Risk Management)
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