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 perhaps the most important concept in risk management. In fact when we say 'portfolio risk' in the traditional sense, what we mean is volatility. And while every investor ...

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 ...

This is a preview. Log in through your library . Abstract This paper establishes necessary and sufficient conditions for the stationarity and ergodicity of the GARCH(1,1) process. As a special case, ...

This paper investigates the estimation of a 10-day value-at-risk (VaR) based on a data set of 250 daily values. The commonly used square-rootof-time rule, which scales the one-day 99% VaR with a ...