Dynamic VaR; GARCH; EVT; Johnson SU; Pearson Type IV; Mixture of Normal Distributions; Manly; John Draper; Yeo-Johnson Transformations - Articles

A Comparison of VaR Estimation Procedures for Leptokurtic Equity Index Returns (Articles)

Malay Bhattacharyya, Siddarth Madhav R

Journal of Mathematical Finance Vol.2 No.1, February 28, 2012

DOI: 10.4236/jmf.2012.21002 5,771 Downloads 11,619 Views Citations
Using Conditional Extreme Value Theory to Estimate Value-at-Risk for Daily Currency Exchange Rates (Articles)

Cyprian O. Omari, Peter N. Mwita, Antony G. Waititu

Journal of Mathematical Finance Vol.7 No.4, November 2, 2017

DOI: 10.4236/jmf.2017.74045 2,364 Downloads 8,669 Views Citations
From Normal vs Skew-Normal Portfolios: FSD and SSD Rules (Articles)

Francesco Blasi, Sergio Scarlatti

Journal of Mathematical Finance Vol.2 No.1, February 28, 2012

DOI: 10.4236/jmf.2012.21011 6,533 Downloads 11,437 Views Citations
Variable Selection for Robust Mixture Regression Model with Skew Scale Mixtures of Normal Distributions (Articles)

Tingzhu Chen, Wanzhou Ye

Advances in Pure Mathematics Vol.12 No.3, March 7, 2022

DOI: 10.4236/apm.2022.123010 332 Downloads 1,245 Views Citations
A Research on Interbank Loan Interest Rate Fluctuation Characteristics and the VaR Risk of China’s Commercial Banks (Articles)

Baoqian Wang, Cheng Wang, Xikun Zhang

Modern Economy Vol.3 No.6, October 31, 2012

DOI: 10.4236/me.2012.36097 6,042 Downloads 9,428 Views Citations
Measuring and Comparing the Value-at-Risk Using GARCH and CARR Models for CSI 300 Index (Articles)

Chunchou Wu

Theoretical Economics Letters Vol.8 No.6, April 23, 2018

DOI: 10.4236/tel.2018.86078 1,207 Downloads 5,795 Views Citations
This article belongs to the Special Issue on Computational Economics and Econometrics
The Predictive Performance of Extreme Value Analysis Based-Models in Forecasting the Volatility of Cryptocurrencies (Articles)

Cyprian Omari, Anthony Ngunyi

Journal of Mathematical Finance Vol.11 No.3, August 5, 2021

DOI: 10.4236/jmf.2021.113025 505 Downloads 2,408 Views Citations
Sulfonylurea Glimepiride: A Proven Cost Effective, Safe and Reliable War Horse in Combating Hyperglycemia in Type 2 Diabetes (Articles)

Udaya M. Kabadi

Journal of Diabetes Mellitus Vol.5 No.4, October 16, 2015

DOI: 10.4236/jdm.2015.54026 4,428 Downloads 8,236 Views Citations
Dynamic Volatility Spillovers among Green Bonds, Green Stocks and Carbon Markets under the COVID-19: Evidence from China (Articles)

Siya Ye, Haomin Zhang, Qiao Lou

American Journal of Industrial and Business Management Vol.15 No.1, January 21, 2025

DOI: 10.4236/ajibm.2025.151004 159 Downloads 873 Views Citations
Statistical Tools for Estimation of Threshold Values at Data Classification Task Solution (Articles)

V. V. Glinskiy, L. K. Serga, E. Yu. Chemezova, K. A. Zaykov

Open Journal of Statistics Vol.4 No.9, October 15, 2014

DOI: 10.4236/ojs.2014.49068 4,517 Downloads 7,081 Views Citations
Estimating the Components of a Mixture of Extremal Distributions under Strong Dependence (Articles)

Carolina Crisci, Gonzalo Perera, Lia Sampognaro

Advances in Pure Mathematics Vol.13 No.7, July 12, 2023

DOI: 10.4236/apm.2023.137027 269 Downloads 904 Views Citations
Can Choice of Reference Density Improve Power of M-Estimation Based Unit Root Tests? (Articles)

Tapan Kar, Malay Bhattacharyya

Journal of Mathematical Finance Vol.12 No.2, May 12, 2022

DOI: 10.4236/jmf.2022.122019 319 Downloads 1,279 Views Citations
Generalized Method of Moments and Generalized Estimating Functions Based on Probability Generating Function for Count Models (Articles)

Andrew Luong

Open Journal of Statistics Vol.10 No.3, June 11, 2020

DOI: 10.4236/ojs.2020.103031 795 Downloads 2,687 Views Citations
Currency Portfolio Risk Measurement with Generalized Autoregressive Conditional Heteroscedastic-Extreme Value Theory-Copula Model (Articles)

Cyprian O. Omari, Peter N. Mwita, Antony W. Gichuhi

Journal of Mathematical Finance Vol.8 No.2, May 31, 2018

DOI: 10.4236/jmf.2018.82029 1,438 Downloads 3,549 Views Citations
Variable Selection in Finite Mixture of Time-Varying Regression Models (Articles)

Jing Liu, Wanzhou Ye

Advances in Pure Mathematics Vol.10 No.3, March 6, 2020

DOI: 10.4236/apm.2020.103007 701 Downloads 1,766 Views Citations
Prediction Based on Generalized Order Statistics from a Mixture of Rayleigh Distributions Using MCMC Algorithm (Articles)

Tahani A. Abushal, Areej M. Al-Zaydi

Open Journal of Statistics Vol.2 No.3, July 9, 2012

DOI: 10.4236/ojs.2012.23044 5,195 Downloads 10,202 Views Citations
Using Pearson’s System of Curves to Approximate the Distributions of the Difference between Two Correlated Estimates of Signal-to-Noise Ratios: The Cases of Bivariate Normal and Bivariate Lognormal Distributions (Articles)

Mohamed M. Shoukri

Open Journal of Statistics Vol.14 No.3, May 30, 2024

DOI: 10.4236/ojs.2024.143010 210 Downloads 794 Views Citations
Valuing European Put Options under Skewness and Increasing [Excess] Kurtosis (Articles)

John-Peter D. Chateau

Journal of Mathematical Finance Vol.4 No.3, May 6, 2014

DOI: 10.4236/jmf.2014.43015 4,593 Downloads 7,224 Views Citations
Forecasting Value-at-Risk of Financial Markets under the Global Pandemic of COVID-19 Using Conditional Extreme Value Theory (Articles)

Cyprian Omari, Simon Mundia, Immaculate Ngina

Journal of Mathematical Finance Vol.10 No.4, October 22, 2020

DOI: 10.4236/jmf.2020.104034 1,722 Downloads 5,015 Views Citations
Simulated Minimum Hellinger Distance Inference Methods for Count Data (Articles)

Andrew Luong, Claire Bilodeau, Christopher Blier-Wong

Open Journal of Statistics Vol.8 No.1, February 28, 2018

DOI: 10.4236/ojs.2018.81012 958 Downloads 2,165 Views Citations

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