Matches in SemOpenAlex for { <https://semopenalex.org/work/W2236426406> ?p ?o ?g. }
Showing items 1 to 87 of
87
with 100 items per page.
- W2236426406 abstract "It compares the predictive ability of eight Value-at-Risk methods includingGARCH(1,1) with Normal and t-Student innovations, Exponential GARCH(1,1) with Normal and t-Student innovations, Exponentially Weighted Moving Average (EWMA), Historical Simulation, Block Maxima (GEV Distribution) and Peaks over Threshold (GP Distribution) for the period 1/6/1989-2/3/2007 on cash and 3-month futures logarithmic price changes of Copper, Tin, Zinc, Nickel and Aluminium, metals that trade in the London Metal Exchange. It also analyzed equity market data (FTSE-100 & LIFFE FTSE-100) and Gold Bullion data for the same period, in order to compare the industrial metals market with equity and precious metals. The metals of the London Metal Exchange proved riskier than equity and gold, with Nickel being the riskier of all in terms of mean VaR. Its findings support the models that assume time-varying volatility as they proved very important in predicting the Value-at-Risk measure, especially the GARCH and EGARCH with t-Student distributed innovations. Block Maxima performed badly whereas Peaks over Threshold showed some forecasting ability especially in the Nickel time series. Moreover, Stress Testing proved that conditional volatility models and especially the t-Student GARCH(1,1) and EGARCH(1,1) can predict large negative returns. Extreme Value Theory is an important tool in Risk Management but one should be cautious as the methods of EVT need large data sets for the estimation process and moreover different assumptions about the block size and the number of blocks for Block Maxima and the determination of the threshold u for Peaks over Threshold may lead to different than expected results." @default.
- W2236426406 created "2016-06-24" @default.
- W2236426406 creator A5065185282 @default.
- W2236426406 date "2007-10-29" @default.
- W2236426406 modified "2023-09-27" @default.
- W2236426406 title "Extreme value theory and value-at-risk : empirical evidence from the London Metal Exchange" @default.
- W2236426406 hasPublicationYear "2007" @default.
- W2236426406 type Work @default.
- W2236426406 sameAs 2236426406 @default.
- W2236426406 citedByCount "0" @default.
- W2236426406 crossrefType "dissertation" @default.
- W2236426406 hasAuthorship W2236426406A5065185282 @default.
- W2236426406 hasConcept C10138342 @default.
- W2236426406 hasConcept C105795698 @default.
- W2236426406 hasConcept C106159729 @default.
- W2236426406 hasConcept C106306483 @default.
- W2236426406 hasConcept C111919701 @default.
- W2236426406 hasConcept C142362112 @default.
- W2236426406 hasConcept C147581598 @default.
- W2236426406 hasConcept C149782125 @default.
- W2236426406 hasConcept C162324750 @default.
- W2236426406 hasConcept C17744445 @default.
- W2236426406 hasConcept C196985124 @default.
- W2236426406 hasConcept C199539241 @default.
- W2236426406 hasConcept C199728807 @default.
- W2236426406 hasConcept C23922673 @default.
- W2236426406 hasConcept C32896092 @default.
- W2236426406 hasConcept C33923547 @default.
- W2236426406 hasConcept C41008148 @default.
- W2236426406 hasConcept C52119013 @default.
- W2236426406 hasConcept C554144382 @default.
- W2236426406 hasConcept C74746147 @default.
- W2236426406 hasConcept C91528185 @default.
- W2236426406 hasConcept C91602232 @default.
- W2236426406 hasConcept C94128290 @default.
- W2236426406 hasConcept C98045186 @default.
- W2236426406 hasConceptScore W2236426406C10138342 @default.
- W2236426406 hasConceptScore W2236426406C105795698 @default.
- W2236426406 hasConceptScore W2236426406C106159729 @default.
- W2236426406 hasConceptScore W2236426406C106306483 @default.
- W2236426406 hasConceptScore W2236426406C111919701 @default.
- W2236426406 hasConceptScore W2236426406C142362112 @default.
- W2236426406 hasConceptScore W2236426406C147581598 @default.
- W2236426406 hasConceptScore W2236426406C149782125 @default.
- W2236426406 hasConceptScore W2236426406C162324750 @default.
- W2236426406 hasConceptScore W2236426406C17744445 @default.
- W2236426406 hasConceptScore W2236426406C196985124 @default.
- W2236426406 hasConceptScore W2236426406C199539241 @default.
- W2236426406 hasConceptScore W2236426406C199728807 @default.
- W2236426406 hasConceptScore W2236426406C23922673 @default.
- W2236426406 hasConceptScore W2236426406C32896092 @default.
- W2236426406 hasConceptScore W2236426406C33923547 @default.
- W2236426406 hasConceptScore W2236426406C41008148 @default.
- W2236426406 hasConceptScore W2236426406C52119013 @default.
- W2236426406 hasConceptScore W2236426406C554144382 @default.
- W2236426406 hasConceptScore W2236426406C74746147 @default.
- W2236426406 hasConceptScore W2236426406C91528185 @default.
- W2236426406 hasConceptScore W2236426406C91602232 @default.
- W2236426406 hasConceptScore W2236426406C94128290 @default.
- W2236426406 hasConceptScore W2236426406C98045186 @default.
- W2236426406 hasLocation W22364264061 @default.
- W2236426406 hasOpenAccess W2236426406 @default.
- W2236426406 hasPrimaryLocation W22364264061 @default.
- W2236426406 hasRelatedWork W152517921 @default.
- W2236426406 hasRelatedWork W1969673660 @default.
- W2236426406 hasRelatedWork W2048510902 @default.
- W2236426406 hasRelatedWork W2301309405 @default.
- W2236426406 hasRelatedWork W2564905549 @default.
- W2236426406 hasRelatedWork W3084889325 @default.
- W2236426406 hasRelatedWork W3124371584 @default.
- W2236426406 hasRelatedWork W3124595933 @default.
- W2236426406 hasRelatedWork W3124704628 @default.
- W2236426406 hasRelatedWork W3124877783 @default.
- W2236426406 hasRelatedWork W3125295054 @default.
- W2236426406 hasRelatedWork W3125320288 @default.
- W2236426406 hasRelatedWork W3125327045 @default.
- W2236426406 hasRelatedWork W3131612887 @default.
- W2236426406 hasRelatedWork W3131921017 @default.
- W2236426406 hasRelatedWork W3136361824 @default.
- W2236426406 hasRelatedWork W3149325033 @default.
- W2236426406 hasRelatedWork W3149896228 @default.
- W2236426406 hasRelatedWork W2264839257 @default.
- W2236426406 hasRelatedWork W3124905484 @default.
- W2236426406 isParatext "false" @default.
- W2236426406 isRetracted "false" @default.
- W2236426406 magId "2236426406" @default.
- W2236426406 workType "dissertation" @default.