[PDF] Top 20 Modeling and forecasting value-at-risk for the Portuguese stock market
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Modeling and forecasting value-at-risk for the Portuguese stock market
... Xiong and Idzore, “extreme events seem to occur 10 times more often than the normal distribution predicts” ...do the left – negative skewness - or to the right – positive skewness) and ... See full document
27
Forecasting stock market returns by summing the frequency-decomposed parts
... compute the Sharpe ratio (SR) of the portfolio, i.e. the mean portfolio return in excess of the risk-free rate divided by the standard deviation of the excess portfolio ... See full document
35
Stock Return and Financial Ratios - Evidence from the Portuguese Stock Market
... OP and HP presenting what they named as value drivers for earnings, risk, growth and competitive advantages, and an agglomerate of ratios as formers did as well as the use of ... See full document
68
Modeling volatility: an assessment of the value at risk approach
... influence the VaR estimate. So, Boudoukl, et. al. (1998) introduced the hybrid approach which combines “The Best of Both Worlds”: Risk Metrics introduced by ...(1996) and Historical ... See full document
43
Return distribution and value at risk estimation for BELEX15
... in the financial markets of EU new member states are very ...methodology and historical simulation on the Croatian stock market indices in an effort to measure ...MALTEX and ... See full document
16
Momentum Strategies in the Portuguese Stock Market
... identify the significance of existing data that others neglect. The overconfident investors perceive themselves as more able to value stocks than they actually are, so, they underestimate their ... See full document
47
Herding behaviour in the portuguese stock market
... to the authors, Christie and Huang (1995) method was very strict because was based on a powerful degree of non-linearity to achieve better results of herding ...behaviour. The Cross-Sectional ... See full document
30
An analytical method of estimating Value-at-Risk on the Belgrade Stock Exchange
... Although the zone of evaluating and analyzing market risk exposure remained the main field of VaR implementation, applications were expanded to other types of risk as ...In ... See full document
20
Estimate of Market Risk Premium by Considering the Market Leverage in Tehran Stock Exchange
... test the hypothesis and to evaluate the predictive ability of the market risk premium by Lally model, it was defined ...regard, the 7-year period was divided into two sub- ... See full document
10
MARKOWITZ EFFICIENT FRONTIER AND CAPITAL MARKET LINE – EVIDENCE FROM THE PORTUGUESE STOCK MARKET
... Under the assumption of economic rationality, investors choose to maintain efficient portfolios, ...maximize the return for a certain level of risk, or that minimize the risk for a ... See full document
21
Comparing value-at-risk methodologies
... of market risk exposure, which are analyzed by the institutions’s decision ...internal and external auditors and regulatory agen- cies, who enforce that those institutions set aside ... See full document
29
Modeling stock markets through the reconstruction of market processes
... average risk-adjusted returns, the agents try a variety of tools that they have at their ...study the structure of complex systems whose emergent behavior cannot be reduced to the study ... See full document
49
Risk assessment and stock market volatility in the Eurozone: 1986-2014
... studies the stock market return’s volatility in the Eurozone as an input for evaluating the market ...risk. Stock market returns are endogenously determined ... See full document
19
Momentum and contrarian strategies in the Portuguese stock market
... addressed the Portuguese stock ...markets and consider Portugal as just one of a number of countries included in the ...Ji, and Martin (2003) illustrates that Portugal has no ... See full document
108
Herd behaviour and market efficiency: evidence from the portuguese stock exchange
... markets the research on the subject of herd behaviour offers valuable insights for developing new models able to address the idiosyncrasies of human ...behaviour and the ... See full document
70
Modeling Longevity Risk using Extreme Value Theory: An Empirical Investigation using Portuguese and Spanish Population Data
... society and science have come in improving general living conditions, promoting healthier lifestyles, offering better medical and healthcare services that helped prolong our ...result, the ... See full document
31
Modeling and Forecasting Volatility of the Malaysian Stock Markets
... to the literature of volatility modeling in two ...emerging market. Secondly we estimate the alternative GARCH-type models (symmetric and asymmetric GARCH ...Models). The ... See full document
7
The value relevance of GRI reports in the Portuguese stock market
... enormously and the publication of reports has increased in developed economies in recent ...years. The fact that this type of reporting is on a voluntary basis in several countries raises questions ... See full document
18
The Value and Momentum Effect In The Portuguese Stock Market
... Value and momentum are two well documented market phenomena that suggest the possibility of consistently achieving abnormal returns, challenging the Efficient Market Hypothesis ... See full document
64
Backtesting Value-at-Risk Models
... of the VaR models that was most important to the spread of VaR ...became the most common and less restrictive conditional VaR, relying in a restricted generalized autoregressive conditional ... See full document
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