Accurate modelling of risk is very important in finance. There are many alternative risk measures, however none of them is dominating. This paper proposes to use the family of Sign RCA models to obtain the Value-at-Risk ...
After Black and Scholes’s groundbreaking work, the literature concerning pricing options has become a very important area of research. Numerous option valuation methods have been developed. This paper shows how one can ...
In the paper we argue that a general formula for the unconditional kurtosis of sign-switching GARCH(p,q,k) processes proposed by Thavaneswaran and Appadoo (2006) does not give correct results. To show that we revised the ...
Evaluating Value at Risk (VaR) methods of predictive accuracy in an objective and effective framework is important for both efficient capital allocation and loss prediction. From this reasons, finding an adequate method ...
This paper proposes to use the following models: RCA, RCA-MA, RCA-GARCH, Sign RCA, Sign RCA-MA and Sign RCA-GARCH to obtain forecasts of conditional mean of returns. For comparison, the forecasts of conditional mean from ...
