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As geopolitical risk spikes, a major index gets a revamp

Geovol risk gauge built by Nobel laureate Robert Engle to become Global Covol ....

Robert Engle , Risk Institute , From Kyiv , Nobel Prize Winning , Global Covol , Common Volatility , Federal Reserve , Systemic Risk , Political Risk , Climate Change , Generalised Autoregressive Conditional Heteroscedasticity Garch , Tail Risk , Natural Disasters , Russia Ukraine Conflict , Risk Management ,

Size does matter: a study on the required window size for optimal-quality market risk models

In this paper the authors study different moving-window lengths for value-at-risk evaluation, and also address subjectivity in choosing the window size by ....

Financial Times Stock Exchange , Warsaw Stock Exchange , Value At Risk Var , Historical Simulation , Generalised Autoregressive Conditional Heteroscedasticity Garch , Risk Model Validation , Original Research ,

Covariance estimation for risk-based portfolio optimization: an integrated approach

This paper presents a stochastic optimization framework for integrating time-varying factor covariance models in a risk-based portfolio optimization setting. ....

Generalised Autoregressive Conditional Heteroscedasticity Garch , Regression Analysis , Neural Networks ,

Reinvestigating international crude oil market risk spillovers

This paper develops a copula-GARCH-MIDAS model to estimate the joint probability distribution of multivariate variables, and then derives CoVaR-type risk ....

Oil Market , Financial Markets , Conditional Value At Risk Cvar , Generalised Autoregressive Conditional Heteroscedasticity Garch , Original Research ,

Forecasting stock market volatility: an asymmetric conditional autoregressive range mixed data sampling (ACARR-MIDAS) model

This paper proposes an extension of the classical CARR model, the ACARR-MIDAS model, to model volatility and capture the volatility asymmetry as well as ....

Generalised Autoregressive Conditional Heteroscedasticity Garch , Stock Market , Stochastic Volatility , Original Research ,