Abstract We investigate the effect of estimation error on backtests expected shortfall (ES) forecasts. These are based first-order conditions a recently introduced family jointly consistent loss functions for value-at-risk (VaR) and ES. For both single multiperiod horizons, we provide explicit expressions additional terms in asymptotic covariance matrix that result from error, propose robust te...

This paper investigates the price returns and volatility linkages between the foreign exchange (KRW) and stock (KOSPI) markets in Korea, using the cointegration test, and bivariate GJR-GARCH model. Our findings from empirical analysis are summarized as follows. First, there is no long-term equilibrium relationship between the KRW and KOSPI markets. Second, exogenous variables (yen/dollar exchan...

This paper features an analysis of the relationship between the volatility of the Dow Jones Industrial Average (DJIA) Index and a sentiment news series using daily data obtained from the Thomson Reuters News Analytics (TRNA) provided by SIRCA (The Securities Industry Research Centre of the Asia Pacific). The expansion of on-line financial news sources, such as internet news and social media sou...

We use a time-varying copula model to investigate the impact of the introduction of the Euro on the dependence between seventeen European stock markets during the period 1994-2003. The model is implemented with a GJR-GARCH-t model for marginal distributions and the Gaussian copula for the joint distribution, which allows capturing time-varying, non-linear relationships. The results show that wi...

This paper aims at analyzing the financial risk and co-movement of stock markets in three countries: Indonesia, Philippine and Thailand. It consists of analyzing the conditional volatility and test the leverage effect in the stock markets of the three countries. To capture the pairwise and conditional dependence between the variables, we use the method of vine copulas. In addition, we illustrat...

This study examines the impact of oil price volatility on macroeconomic variables of the economy of Pakistan. We employed the Glosten, Jagannathan and Runkle (GJR) and Vector Autoregressive (VAR) models. The outcomes of the GJR model show the symmetric effect of oil price shock on conditional variance. Whereas Impulse Response Functions (IRFs) show the hostile effect on the employment and the o...

Empirical studies show that there is stronger dependency between large losses than large profit in financial market, which undermine the performance of using symmetric distribution for modeling these asymmetric. That is why the assuming normal joint distribution of returns is not suitable because of considering the linier dependence, and can be lead to inappropriate estimate of VaR. Copula theo...