Numerous advances in the modeling techniques of value-at-risk (VaR) have provided financial institutions with a wide range of market risk approaches. However, which model to use depends on the state ...

This is a preview. Log in through your library . Abstract Previous research indicates that the price-output correlation is time varying. This paper therefore estimates a vector autoregression (VAR) ...

This paper aims to evaluate the performance of different value-at-risk (VaR) calculation methods, allowing us to identify models that are valid for use in emerging markets. We apply several widely ...

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 ...

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 ...