Volume 22 (2022)
Volume 21 (2021)
Volume 20 (2020)
Volume 19 (2019)
Volume 18 (2018)
Volume 17 (2017)
Volume 16 (2016)
Volume 15 (2015)
Volume 14 (2014)
Volume 13 (2013)
Volume 12 (2012)
Volume 11 (2011)
Volume 10 (2010)
Volume 9 (2009)
Volume 8 (2008)
Volume 7 (2007)
Volume 6 (2006)
Volume 5 (2005)
Volume 4 (2004)
Volume 3 (2003)
Volume 2 (2002)
Volume 1 (2001)
Evaluation of the Value-at-Risk Estimation Methods with applying a Penalty for Risk Overestimation

Ghlamreza Keshavarz-Haddad; Mohammad Amin Zabol

Volume 20, Issue 77 , July 2020, , Pages 1-28

https://doi.org/10.22054/joer.2020.12076

Abstract
  In this paper, Value at Risk for Gold prices Is estimated by the Extreme Value theory and parametric method with Normal and t-student distribution for disturbance term in the mean equation together with a range of the conditional variances estimation techniques including, GARCH (1.1), TGARCH, EGARCH, ...  Read More

Estimation of Optimal Investment Portfolio Using Value at Risk (VaR) and Expected Shortfall (ES) Models: GARCH-EVT-Copula Approach

Reza Taleblou; mohammad mahdi davoudi

Volume 18, Issue 71 , January 2019, , Pages 91-125

https://doi.org/10.22054/joer.2018.9830

Abstract
  In this paper, an optimal investment portfolio including securities of four sectors: financial, chemical, pharmaceutical and automotive is estimated. Various types of Copula models are used to study the structure of asset co-dependency. Different types of GARCH models are used to explain volatility of ...  Read More