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Risk,VaR,CVaR and their associated Portfolio Optimizations when Asset Returns have a Multivariate Student T Distribution
VaR CVaR Portfolio Optimization VaR Optimization CVaR Optimization Optimisation
2011/3/25
We show how to reduce the problem of computing VaR and CVaR with Student T return distributions to evaluation of analytical functions of the moments. This allows an analysis of the risk properties of ...
On Asymmetry，Holiday and Day-of-the-week Effects in Volatility of Daily Stock Returns：The Case of Japan
Asymmetry effect daily stock returns day-of-the-week effect holiday effect Nikkei 225 stock average stochastic variance model U.S. stock price change effect volatility volatility transmission
2009/3/10
In this paper, we investigate volatility in Japanese stock returns, using the state-space model. The daily data of Nikkei 225 stock average from January 4, 1985 to June 10, 2004 are utilized and the s...
Modelling Stock Returns with AR-GARCH Processes
autoregressive process GARCH and EGARCH models conditional heteroscedastic variance financial log returns
2009/2/23
Financial returns are often modelled as autoregressive time series with random disturbances having conditional heteroscedastic variances, especially with GARCH type processes. GARCH processes have bee...