This paper addresses market risk prediction for high frequency foreign exchange rates
under nonlinear risk scaling behaviour. We use a modified version of the multifractal model …

Purpose–The purpose of this paper is to examine the degree of dependence and extreme
correlation (ie tail dependence) among US industry sectors. Design/methodology/approach …

Purpose This paper investigates the dependence structure and market risk of the currency
exchange rate portfolio from the Malaysian ringgit perspective. Design/methodology …

In this paper, we develop ARMA-GARCH type models for modelling volatility and financial
market risk of shares on the Johannesburg Stock Exchange under the assumption of a …

The need to compare and contrast emerging market economies (EMEs) has never been
greater, especially following shocks to the global financial system. The quest to characterise …

Purpose This study aims to forecast daily value-at-risk (VaR) for international stock indices
by using the conditional extreme value theory (EVT) with the Realized GARCH (RGARCH) …

Extreme equity market returns demand the use of specialised techniques for standardised
treatment that focuses exclusively on rare tail events. Extreme Value Theory (EVT) is used in …

We consider a problem from stock market modeling, precisely, choice of adequate
distribution of modeling extremal behavior of stock market data. Generalized extreme value …

In this paper, we investigate the goodness-of-fit of the flexible four-parameter generalized
Lambda Distribution (GLD) for high-frequency 5-min returns sampled from the DJI30 Index …

Purpose This paper aims to propose a framework based on the unbiased extreme value
volatility estimator (namely, the AddRS estimator) to compute and predict the long position …