... the regression to find the general relations of two variables, and then examine the lead-lag relation between investor sentiment proxies and risk neutral skewness through VAR analysis. Contrary to the previous studies, we observe that sentiment proxies show different signs by the economic conditions. Overall...

... to the previous researches. Also futures hedging is more effective in reducing the VaR than the others. Secondly, the optimal hedge ratios of futures in minimizing total risk and down-side risk are turned out to be 0.97~0.98 and 0.94~0.95 respectively. Third, OTM short call hedge is the best hedging instrument...

...Chan-Soo Jeon The aim of this paper is to compare the performance of VaR (value-at-risk) using Realized Volatility Models (which use intraday returns) with VaR the performance of GARCH-type Models (which use daily returns) with three different distribution innovations (normal distribution, t...

... such as VAR (vector autoregressive model), Granger causality test, impulse response and variance decomposition model for the dynamic empirical tests. Followings are the major findings and implications drawn from the empirical analysis of the Korean options market. Most previous researches claims that options...

... of this article (for both commercial and non-commercial purposes), subject to full attribution to the original publication and authors. The full terms of this licence may be seen at http://creativecommons.org/licences/by/4.0/legalcode Currency Futures Currency Spot VAR Jump-Diffusion Model BEKK...

... market risk applying three different approaches, namely, 99% VaR. EVT and the historical time periods when the market exhibited extreme volatility. We found that from six member companies to as many as 16 companies could face settlement failures, which are represented by having the operating-income...

...Dam Cho I perform the backtesting of 10-day VaR's using daily returns of KOSPI 200 from January 1994 to December 1993 (2,692 days). The seven volatility measures are calculated with the last 300-day data; those are the historical standard deviations, the exponentially weighted moving average (EWMA...

...Jin Yoo This paper raises an issue of calculating a value at risk (VaR) of a stock price in the presence of daily price limits, suggests an appropriate methodology for it, and discusses its practical implications. One finding is that the VaR with price limits is never bigger than without. It turns...