Will Kenton is an expert on the economy and investing laws and regulations. He previously held senior editorial roles at Investopedia and Kapitall Wire and holds a MA in Economics from The New School ...

Volatility forecasting is perhaps the most important concept in risk management. In fact when we say 'portfolio risk' in the traditional sense, what we mean is volatility. And while every investor ...

The asymptotic theory for the sample autocorrelations and extremes of a GARCH(1, 1) process is provided. Special attention is given to the case when the sum of the ARCH and GARCH parameters is close ...

Journal of Applied Econometrics, Vol. 23, No. 1, Themes in Financial Econometrics (Jan. - Feb., 2008), pp. 65-90 (26 pages) We investigate the empirical relevance of structural breaks for GARCH models ...

We apply vine copulas with generalized autoregressive conditional heteroscedasticity (GARCH) marginals to the problem of capturing asset dependence and tail dynamics for currency and commodity ...

This paper investigates the estimation of a 10-day value-at-risk (VaR) based on a data set of 250 daily values. The commonly used square-rootof-time rule, which scales the one-day 99% VaR with a ...