In this article we present a theoretical review of the existing literature on Value at Risk (VaR)
specifically focussing on the development of new approaches for its estimation. We effect a …

The stock market is heavily influenced by global sentiment, which is full of uncertainty and is
characterized by extreme values and linear and nonlinear variables. High-frequency data …

From a theoretical point of view, the selection of thresholds is a critical issue in the
framework of the Peaks Over Threshold (POT) approach, which is why in the last decade …

Penalized quantile regressions are proposed for the combination of Value-at-Risk forecasts.
The primary reason for regularization of the quantile regression estimator with the elastic …

This paper investigates the impact of financial stability policy on downside risk in stock
returns. Various risk measures are employed to estimate the downside risk of individual …

This paper adopts a simple but valid value-at-risk (VaR) approach to measuring the risk in
the dry bulk ship** market by means of Baltic Dry Index (BDI). To have a better …

During the recent years, the importance of effective risk management has become extremely
crucial. Value at Risk (VaR) is a standard downside measure to explain the behavior of …

This paper examines whether the comparison of value-at-risk (VaR) models depends on the
loss function used for such a purpose. We show a detailed comparison for several VaR …

The COVID-19 pandemic has had a substantial and far-reaching impact on global economic
growth, extending its effects to Indonesia as well. Various sectors have witnessed a decline …

We evaluate the impact of extreme market shifts on equity portfolios and study the difference
in negative and positive reactions to market jumps with implications for portfolio risk …