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 …

This paper evaluates the performance of several skewed and symmetric distributions by
modeling the tail behavior of daily returns and forecasting value-at-risk (VaR). First, we use …

The experience of past financial market turmoil suggests that in addition to eroding investor
wealth, the severe consequences of rare extreme market events can spillover and impair the …

This paper provides a selected review of the recent developments and applications of
mixtures of normal (MN) distribution models in empirical finance. One attractive property of …

Purpose This paper aims to investigate the effect of non-normality in returns and market
capitalization of stock portfolios and stock indices on value at risk and conditional VaR …

This paper defends the wisdom of not considering the Digital Economy to be one
homogeneous sector. Our hypothesis is that it is best to consider it the result of adding four …

We present an empirical study of the Aumann-Serrano performance index for multi-period
gambles when the underlying stochastic process is assumed to be a normal mixture process …

We evaluate stock market indexes by the Aumann–Serrano (AS) performance index for multi-
period gambles and one-period gambles and the Sharpe ratio. Our results show the AS …

В статье на основе систематизации трудов российских и зарубежных авторов
обобщается накопленный опыт по методам расчета величины Value at Risk (VaR) с …

This paper's goal is to fit the evolution of the business cycle into a simple statistical model.
The price of gold was chosen as an economical indicator due to increased stability at …